Part (a). A 4% coupon 10-year bond with a par value 100 is selling at par and is deliverable against a futures contract that settles in 4 months. The current repo rate is 6% pa. Assume the futures price is currently 100. Identity an arbitrage opportunity as in the above scenario and demonstrate how to implement a strategy to make profits from the arbitrage opportunity. (3 marks) Part (b). Calculate the no-arbitrage price of the futures contract. (1 mark) Part Ic). You are working for a bank and implement an immunisation strategy by matching the duration of a bond portfolio with the duration of a liability. You notice that the portfolio duration is currently higher than that of the liability. Describe what futures position you should take in order to adjust the duration of your portfolio (1 mark) Part (a). A 4% coupon 10-year bond with a par value 100 is selling at par and is deliverable against a futures contract that settles in 4 months. The current repo rate is 6% pa. Assume the futures price is currently 100. Identity an arbitrage opportunity as in the above scenario and demonstrate how to implement a strategy to make profits from the arbitrage opportunity. (3 marks) Part (b). Calculate the no-arbitrage price of the futures contract. (1 mark) Part Ic). You are working for a bank and implement an immunisation strategy by matching the duration of a bond portfolio with the duration of a liability. You notice that the portfolio duration is currently higher than that of the liability. Describe what futures position you should take in order to adjust the duration of your portfolio (1 mark)