Determine the implied repo rate on the spread

Assignment Help Financial Management

Reference no: EM131325849

Rework problem assuming that the index was at 388.14 at expiration. Determine the profit from the arbitrage trade, and express it in terms of the profit from the spot and futures sides of the transaction. How does your answer relate to that in problem?

Problem:-
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: EM131325849

Questions Cloud

Impact on the market : A sudden and sharp increase in gas prices will have what impact on the market for the following (be sure to discuss both supply and demand):

Determine if an arbitrage opportunity was available : On July 5, a stock index futures contract was at 394.85.- Determine if an arbitrage opportunity was available, and explain what transactions were executed.

Identify and discuss criminal investigative techniques : Describe three of the new-age crimes termed "white collar crime." Identify and discuss criminal investigative techniques employed in the white-collar crimes you described

Why do you believe that laws are needed in our society : You have been discovering what the law is, the sources upon which the U.S. legal system is based, the structures of the state and federal court systems in the United States, the differences between criminal law and civil law, as well as the defini..

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.

Interest in the relationship between the job vacancy rate : In recent years, labor economists have had renewed interest in the relationship between the job vacancy rate (open but unfilled job postings) and the unemployment rate. This relationship is commonly represented by the "Beveridge Curve" (named aft..

Concept of implied repo rate on an index arbitrage trade : Discuss the concept of the implied repo rate on an index arbitrage trade. Determine the implied repo rate on this trade, and explain how you would evaluate it.

Describe the impact of social media on the criminal justice : Describe the impact/interaction the form of social media had upon the criminal justice system.Explain the effects of the positive impact/interaction and suggest additional ways in which the criminal justice system can use this form of social media.

Monthly job vacancy rate and unemployment rate : You have data on the monthly job vacancy rate and unemployment rate in the U.S. and wish to estimate the Beveridge Curve. Use a graph and a static time series model to estimate the Beveridge Curve using the data provided. Interpret your results ..

User Account

All Pages