Titlebook: Bunds and Bund Futures; Daniel Corrigan,Mark Pohlmann Book 1991 Palgrave Macmillan, a division of Macmillan Publishers Limited 1991 capita

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German Government Securities Repurchase Agreement and Securities Lending Markets,iated to facilitate international trade. In 1923, repurchase agreements involving US Government securities were introduced to help manage bank reserves. Today many central banks use ‘repos’ within a range of tools to implement monetary policy.

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Bund Basis Trading,ash Bund and simultaneous purchase of a number of Bund futures contracts. It is a form of arbitrage designed to extract risk-free profits by enforcing the delivery mechanism that underpins the Bund futures contract. The contract seller has the right and obligation to deliver any Bund which fulfils t

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more closely linked, investors and traders are increasingly more interested in the security offered by German government debt, as well as the profitable opportunities.978-0-333-56987-0978-1-349-12838-9

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Bund Market Mathematics and Trading Techniques, the core of this chapter. Starting from basics, prices are quoted clean; that is excluding accrued interest payable on the Bund. In the above example, the Bund had 163 days accrued interest payable to settlement day 3 June 1991. Accordingly the buyer of DEM 1,000,000 of the Bund pays the following:

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