Determine the profit from the arbitrage trade

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Rework problem given 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: EM131323662

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