Q1. On January 19 a bond portfolio manager decides to sell $50 million FV of a 5% CR T-bond. The sale will take place on April 5 of the same year. On JAN 19 this bond trades in the market for S=$103/$100FV. Given are the following data: Ds= 8.0; Ys = 6.45464%; D,= 10; Y, = 4%. The bond portfolio employs the JUN T-Bond futures, which on JAN 19, is trading for F = 80 - 16. 1.1 Use a time table to describe the hedge. 1.2 Use the same time table to show the result of the hedge on APR 5, when the spot price of the bond that the bond portfolio manager is selling is S = $98/$100FV and the JUN T-Bond futures is trading for 70 - 17. Q2. Trader Z holds short one T-Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price was 101-12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor A B 125-05 D 142-15 115-31 1.2131 1.3792 1.1149 144-02 1.4026. Which of these T-Bonds will be delivered and why. Show all your calculations. 1 Q1. On January 19 a bond portfolio manager decides to sell $50 million FV of a 5% CR T-bond. The sale will take place on April 5 of the same year. On JAN 19 this bond trades in the market for S=$103/$100FV. Given are the following data: Ds= 8.0; Ys = 6.45464%; D,= 10; Y, = 4%. The bond portfolio employs the JUN T-Bond futures, which on JAN 19, is trading for F = 80 - 16. 1.1 Use a time table to describe the hedge. 1.2 Use the same time table to show the result of the hedge on APR 5, when the spot price of the bond that the bond portfolio manager is selling is S = $98/$100FV and the JUN T-Bond futures is trading for 70 - 17. Q2. Trader Z holds short one T-Bond futures with delivery month DEC. It is now The 6th trading day in DEC and Z decides to deliver against her short position. The DEC T-Bond futures settlement price was 101-12 yesterday. Z considers the delivery of one of the following four deliverable T-Bonds: Bond Market price Conversion Factor A B 125-05 D 142-15 115-31 1.2131 1.3792 1.1149 144-02 1.4026. Which of these T-Bonds will be delivered and why. Show all your calculations. 1