Given the following information, there is a cash-and-carry arbitrage opportunity. What trades are necessary to exploit it and how much profit can be made?
| CTD Bund 8 7/8% 20/12/2011 price: Don't use plagiarized sources. Get Your Custom Essay on given the following information there is a cash and carry arbitrage opportunity 600413 Get an essay WRITTEN FOR YOU, Plagiarism free, and by an EXPERT! Just from $10/Page | 102.71 |
| Accrued coupon: | 3.599 per 100 |
| Bund futures price: | 85.31 |
| Conversion factor for CTD: | 1.2030 |
| Repo rate: | 6.80% |
| Days to futures delivery date: | 24 |
| Futures contract amount: | €100,000 |
| Accrued coupon on CTD at futures delivery date: | 4.182 per 100 |
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