The price of a 6-month T-bill is 96.73. You wish to enter into a repurchase agreement...
The price of a 6-month T-bill is 96.73. You wish to enter into a repurchase agreement that provides for your purchase of a $100,000 bond in 10 days at a price of 97.02. What is the implied 10 day repo rate in this transaction?
A) 0.10%
B) 0.20%
C) 0.30%
D) 0.40%
Homework Answers
Implied 10-day repo rate is givne as equal to
=(Selling Price-Purchase Price)/Purchase Price
=(97.02-96.73)/96.73
=0.30%
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The price of a 6-month T-bill is 96.73. You wish to enter into a
repurchase agreement...
QR T-Bill = [(Face Value - Price)/(Face Value)] / [time in years based on 1 year...
QR T-Bill = [(Face Value - Price)/(Face Value)] / [time in years
based on 1 year = 360 days]
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QR T-Bill = [(Face Value - Price)/(Face Value)] / [time in years
based on 1 year = 360 days]
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