Design a trading strategy using these securities

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A treasury security will pay a $40 coupon one year from today, and is currently selling for $1,000. A one-year futures contract on this security currently locks in a price of $1,020. The risk free interest rate is 2%. Design a trading strategy using these securities that will earn an arbitrage profit (and calculate the arbitrage profit), or explain why this cannot be done.

Reference no: EM132285116

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