3. A dealer repos $10 million T-bills. The haircut is 5%. The parameters of the deal are...

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3. A dealer repos $10 million T-bills. The haircut is 5%. The parameters of the deal are as follows:

T-bill yield: 2%

Maturity of T-bills: 90 days Repo rate: 2.5% term: 1 week

a. How much cash does the dealer receive?

b. How much interest will be paid at the end of the repo deal?

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Principles Of Financial Engineering

ISBN: 9780123869685

3rd Edition

Authors: Robert Kosowski, Salih N. Neftci

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Question Posted: Oct 26, 2024 04:01 AM

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3. A dealer repos $10 million T-bills. The haircut is 5%. The parameters of the deal are...

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Principles Of Financial Engineering

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