Question
1) Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase
1) Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase agreement (repo) with a money-market fund at a 2.0% repo rate with a 1.0% haircut. How much money does the money-market fund pay PIMCO today?
2) Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase agreement (repo) with a money-market fund at a 2.0% repo rate with a 1.0% haircut. How much money will PIMCO have to pay to the money-market fund tomorrow to get its collateral back?
3) Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase agreement (repo) with a money-market fund at a 2.0% repo rate with a 1.0% haircut.
Suppose that the yield on 1year Treasuries falls by 1% over night. What is the new value of the portfolio of 1year Treasuries that PIMCO used as collateral for this repurchase agreement?
4) Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase agreement (repo) with a money-market fund at a 2.0% repo rate with a 1.0% haircut.
What is the $duration of PIMCOs overnight repo position?
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