It is October 12, 2020 and a portfolio manager is considering the following portfolio of...
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It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. Bond ISIN Coupon Rate (%) Maturity Date Price Par Value () DE0001102325 2.00 15.Aug.2023 107.990 150,000 DE0001135085 4.75 04.Jul.2028 143.110 450,000 DE0001135275 4.00 04.Jan.2037 173.262 250,000 DE0001102341 2.5 15.Aug.2046 170,597 150,000 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 0.000 15.Feb.2030 0.585618 DE0001102507 0.000 15.Aug.2030 0.568922 Appendix 2 Deliverable bonds spot data (October 12, 2020) Bond ISIN Issue Date Clean Price DE0001102499 10.Jan.2020 105.458 DE0001102507 19.Jun.2020 105.448
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