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The treasurer of a corporation will issue on 12/15/2018 a bond which will have a duration of 5 vears at that time. The bond will
The treasurer of a corporation will issue on 12/15/2018 a bond which will have a duration of 5 vears at that time. The bond will be issued at par (face value). The bond face value will be $50 million. The December 10-year T-Note futures contract matures on 12/15/2018 and its price on 09/28/2018 is 118-25. The cheapest to deliver information on this contract on 09/28/2018 is given in the Table below: Cash Security Price ield Conver Factor Gross Basis (32nd) 0.7314 0.7458 0.7529 0.7549 0.7475 0.7873 0.7531 0.7645 0.7668 0.7943 0.7765 3.038 3051 59214 1.727 90375 T211/15/26 T2411/1527 93-17 34 T208/15/25 92-153/4 93-22 3.024 5473 T2402/15/27 94-02 3/4 T2%06/1527 9429 T211/1525 9501 T234021528 97-14+ 3.051 3.031 21866 167.024 2313 T23406/30/25 98-12 1/4 T2%08/1528 98-1314 T2%051 528 0014 T24073125 9904 T309/30/25 0.7762 0.7806 08338 0.8354 3.017 9927+ 20.145 Table 2. Cheapest To Deliver information for TYZ8 How can the treasurer lock in the cost of the new debt issue on 09/28/2018? All prices are given in 32nds
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