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A trader wants to take a long position in an on-the-run 20-year US Treasury bond with a $4,000,000 face value. The trader plans to enter
A trader wants to take a long position in an on-the-run 20-year US Treasury bond with a $4,000,000 face value. The trader plans to enter into a 30-day repo transaction at a quoted repo rate of 1.5%. The repo dealer is willing to finance 97% of the purchase price. The initial price of the Treasury bond is $101.50. If the price of the Treasury decreases to $101.25 30-days later, what is the traders return on invested capital
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