. (20 Points) Below are prices for futures contract on ABC Company assuming that a $ 3.5 cash dividend will be paid in 45 days, a $ 4.0 cash dividend will be paid in 70 days, and a $ 3.5 cash dividend will be paid in 100 days. Its current share price is $146.

Days to Maturity Price

30 146.36

60 145.22

90 139.54

(a) (10 Points) Compute the values of each futures contract on ABC company. Assume the risk free rate of interest is 3 %.

(b) (10 Points) Are there any arbitrage opportunities? If so, compute profits from engaging in conversion arbitrage. Describe in detail the arbitrage portfolio trades that would enable you to profit risklessly.