Which of the following statements least accurately describes the characteristics of futures contracts on Treasury bonds?
a) The Treasury bond futures contract requires the delivery of a Treasury bond with a maturity exceeding 15 years from the time that the futures expires.
b) The amount paid by the long position at expiry of the contract is equal to the futures price times a conversion factor that's dependent upon the bond that's being delivered.
c) The coupon rate is irrelevant in determining the eligibility of a bond's deliverability.
d) The fact that any number of bonds may be delivered to fulfill a futures contract is an advantage to the long position.


The correct answer is: d)
The fact that any number of bonds may be delivered to fulfill a futures contract is an advantage to the SHORT position, because this would imply that the short will deliver the bond that cost her the cheapest.
2006 CFA Level 1 LOS: 16.71.k


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