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: |
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 |