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4. Calculate the P&L to the broker for buying a bond for a client using repos. On November 18, 2021, a pension fund wants to
4. Calculate the P&L to the broker for buying a bond for a client using repos. On November 18, 2021, a pension fund wants to buy $100 million face amount of the U.S. Treasury's 2ys of maturity March 15, 2041. The bid-ask prices of the bond are 102-15/102-16. Suppose that two days later, the broker find a seller who will sell the bond at the bid price. Assume that the repo rate remains at 0.7% for November 19-20, 2021. 4. Calculate the P&L to the broker for buying a bond for a client using repos. On November 18, 2021, a pension fund wants to buy $100 million face amount of the U.S. Treasury's 2ys of maturity March 15, 2041. The bid-ask prices of the bond are 102-15/102-16. Suppose that two days later, the broker find a seller who will sell the bond at the bid price. Assume that the repo rate remains at 0.7% for November 19-20, 2021
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