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It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. The price of the December 2020 Euro-Bund Futures

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It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. 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 Appendix 2 - Deliverable bonds spot data (October 12, 2020) It is October 12, 2020 and a portfolio manager is considering the following portfolio of German bonds. 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 Appendix 2 - Deliverable bonds spot data (October 12, 2020)

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