Cheapest to Delivery (Interest Rate Future) New Question
Channel: PAVAN SIR CLASSES
Date: 2021-11-16

QUESTION  ( MTP 2, APRIL 2021)
(a) In March 2020, XYZ Bank sold some 7% Interest Rate Futures underlying Notional 7.50% Coupon Bonds. The exchange provides following details of eligible securities that can be delivered:
Security Quoted Price of Bonds Conversion Factor
7.96 GOI 2023 1037.40 1.0370
6.55 GOI 2025 926.40 0.9060
6.80 GOI 2029 877.50 0.9195
6.85 GOI 2026 972.30 0.9643
8.44 GOI 2027 1146.30 1.1734
8.85 GOI 2028 1201.70 1.2428
Recommend the Security that should be delivered by the XYZ Bank if Future Settlement Price is 1000.

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