It is October 12, 2020 and a portfolio manager is considering the following portfolio of German...
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It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. Bond ISIN DE0001102325 DE0001135085 DE0001135275 DE0001102341 Coupon Rate (%) 2.00 4.75 4.00 2.5 DE0001102499 DE0001102507 0.000 0.000 Maturity Date 15.Aug.2023 04.Jul.2028 04.Jan.2037 15.Aug.2046 The price of the December 2020 Euro-Bund Futures (FGBL) contracts are 174.81. Information regarding the deliverable bonds are available in tables 1 and 2. Interest rates for the December 10, 2020 maturity is 0.100% by hypothesis. Justify the conversion factors for the following two bonds: DE0001102499 and DE0001102507. Appendix 1 - FGBL Contract - Deliverable bonds - Expiration month: December 2020 Bond ISIN Coupon Rate (%) Maturity Date Conversion Factor DE0001102499 10.Jan.2020 DE0001102507 19.Jun.2020 15.Feb.2030 15.Aug.2030 Appendix 2-Deliverable bonds spot data (October 12, 2020) Issue Date Bond ISIN Clean Price Price 107.990 143.110 173.262 170,597 105.458 105.448 0.585618 0.568922 Par Value (€) 150,000 450,000 250,000 150,000 It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. Bond ISIN DE0001102325 DE0001135085 DE0001135275 DE0001102341 Coupon Rate (%) 2.00 4.75 4.00 2.5 DE0001102499 DE0001102507 0.000 0.000 Maturity Date 15.Aug.2023 04.Jul.2028 04.Jan.2037 15.Aug.2046 The price of the December 2020 Euro-Bund Futures (FGBL) contracts are 174.81. Information regarding the deliverable bonds are available in tables 1 and 2. Interest rates for the December 10, 2020 maturity is 0.100% by hypothesis. Justify the conversion factors for the following two bonds: DE0001102499 and DE0001102507. Appendix 1 - FGBL Contract - Deliverable bonds - Expiration month: December 2020 Bond ISIN Coupon Rate (%) Maturity Date Conversion Factor DE0001102499 10.Jan.2020 DE0001102507 19.Jun.2020 15.Feb.2030 15.Aug.2030 Appendix 2-Deliverable bonds spot data (October 12, 2020) Issue Date Bond ISIN Clean Price Price 107.990 143.110 173.262 170,597 105.458 105.448 0.585618 0.568922 Par Value (€) 150,000 450,000 250,000 150,000
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Accounting concepts and applications
ISBN: 978-0538745482
11th Edition
Authors: Albrecht Stice, Stice Swain
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