Question
Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from...
Suppose a bank enters a repurchase agreement in which it agrees
to buy Treasury securities from a correspondent bank at a price of
$23,950,000, with the promise to buy them back at a price of
$24,000,000.
a. Calculate the yield on the repo if it has a
6-day maturity.
b. Calculate the yield on the repo if it has a
20-day maturity.
(For all requirements, use 360 days in a year. Do not round
intermediate calculations. Round your answers to 5 decimal places.
(e.g., 32.16161))
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