Determine the implied repo rate on the spread

Assignment Help Financial Management

Reference no: EM131325835

On March 16, the June T-bond futures contract was priced at 100 17/32 and the September contract was at 99 17/32. Determine the implied repo rate on the spread.

Assume the cheapest bond to deliver on both contracts is the 11 1/4 maturing in 28 years and currently priced at 140 21/32. The CF for delivery in June was 1.3593, and the CF for delivery in September was 1.3581.

Delivery is on the first of the month, and the coupons are paid on February 15 and August 15. The accrued interest is 3.29 on June 1 and 6.16 on September 1.

Reference no: EM131325835

Questions Cloud

Design a randomized groups experiment to test the hypothesis : Design a randomized groups experiment to test the hypothesis that children who watch an hour-long violent television show subsequently play in a more aggressive fashion than children who watch a nonviolent TV show or who watch no show whatsoever.

Discuss the various contexts of police administration : How would you encourage and/or facilitate communication between yourself as a first-line supervisor and your subordinates? Between you and management? Discuss the various contexts of police administration, and how they impact current police organiz..

Nature of educational dualism in developing countries : Describe the nature of educational dualism in developing countries and its implications for the character of growth. Also, elaborate on how the LDC educational system actually contributes to the reproduction of social inequality across generation..

Find the cost minimizing quantity of output : A large number of firms selling homogenous (identical) products serve an industry. Each of the firms has the following cost structure: + 10Q + Q2, so that +2Q. The firm-level cost structure holds regardless of how many firms enter the industry. D..

Determine the implied repo rate on the spread : On March 16, the June T-bond futures contract was priced at 100 17/32 and the September contract was at 99 17/32. Determine the implied repo rate on the spread.

What is the purpose of iccpr organization : LAW- 402:What is the purpose of ICCPR organization?What are the two types of privacy in cyberspace? Explain what jurisdiction means, and how does jurisdiction determined?

Analyze organizational culture as it relates to supervision : Analyze organizational culture as it relates to the supervision of criminal justice entities. Officer James Armstrong, School Resource Officer at Riverside High School, has discovered spray painted graffiti on the concession stand of the school's f..

Evaluate the soundness of the companys financial policies : Evaluate the soundness of the company's financial policies (e.g. capital structure, debt, leverage, dividend policy, etc.) based on the material covered during class.

Calculate the implied repo rate for the march june 2011 : Calculate the implied repo rate for the March June 2011 Treasury bond futures spread. If the actual forward repo rate is 4 percent, what do you recommend?

User Account

All Pages