4 Assess the following market information and determine if there is an arbitrage opportunity available for undertaking
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4 Assess the following market information and determine if there is an arbitrage opportunity available for undertaking a basis trade:
Bond coupon: 8.875%
Maturity: December 2003 Price: 102.71 Accrued interest: 3.599 Futures price: 85.31 Conversion factor: 1.203 057 68 Repo rate: 6.803%
Days to delivery: 23 Contract size: 100,000 Accrued interest on delivery: 4.182
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