Would the following bond futures contract trade at a discount or a premium to 100?
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Date: |
27 March 2009 |
|
Futures maturity: |
December 2009 |
|
CTD bond: |
clean price 100 coupon 7% annual |
|
CTD conversion factor: |
1.0000 |
|
9-month money market interest rate: |
5% p.a. |