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Pastimes : The Naked Truth - Big Kahuna a Myth
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To: Investor2 who wrote (38713)5/6/1999 8:14:00 AM
From: Defrocked  Read Replies (2) of 86076
 
Points one and two are correct, on an
approximation basis.

The CBOT contract uses an 8% notional
bond for conversion purposes. This
convention has recently changed, however,
for deliveries using contracts dated Mar'00
and later which will use a 6% coupon in order
to increase the deliverable supply. The impact
of the recent change can be seen in the price
difference for the Dec'99 and Mar'00 contracts
which settled last night at 118-06 and 98-25
respectively. The market is not pricing in a
twenty point drop<g> but rather the change in
contract specs.
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