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A bond dealer buys a $10 million bond (face value) at an invoice price of 101.75. He finances that purchase with an overnight repo at
A bond dealer buys a $10 million bond (face value) at an invoice price of 101.75. He finances that purchase with an overnight repo at a quoted rate of 1.30%. The haircut is 50 basis points. How much interest does the bond dealer pay the repo dealer?
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Bond Markets Analysis and Strategies
Authors: Frank J.Fabozzi
9th edition
133796779, 978-0133796773
