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I want to know if you can easily convert a notional of a bond futures contract into the nominal of the ctd bond if you have the conversion factor.

For example you have 1000 notional of a futures contract and the conversion factor is 0.80 of a particular ctd bond, how much nominal you would get at expiration.

Thanks

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I'm not sure I follow your question completely but I will try my best to explain how Bond Futures relate to their underlying contracts.

First of all the 5 Year, 10 Year, 30 Year, and Ultrabond Futures that trade on the CME all have a par value of the $100,000.

So let's say you hold short a 10 year future that expired with the price of 126.00. The conversion factor is 0.80. The amount you would receive for the bond would be 126.00 * 100,000 * 0.80 + Accrued Interest.

In general the price is (Notional Value * Settlement Price * Conversion Factor) + Accrued Interest

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Delivery is 1:1. 100k notional of futures calls for delivery of 100k par amount of the underlying bonds.

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