What was the return on arbitrage position

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According to Citigroup's announcement on Feb. 27, 2009, each preferred share (Series F) would be converted to 7.308 common shares. You took advantage of the deviation from the law of one price by buying one preferred share and shorting the number of common shares to be converted to at the Feb. 27 prices (Preferred: $8.14, Common: $1.50). To establish your arbitrage position, you need to satisfy the requirements of Reg. T: deposit a 50% margin for both your long and short positions. This deposited margin is your equity in the arbitrage position. On March 11, the preferred and common share prices moved to $10.07 and $1.54 respectively.

Question 1: What was the return on your arbitrage position - change in your equity position (in percentages, keep two decimals) on March 11, if you held your position till that time, not considering any costs of establishing and maintaining the strategy over time?

Reference no: EM132591786

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