An investor has just purchased $25 million nominal of the US Treasury with a coupon of 1.50%, maturing 15/11/2032. You have paid a clean price of 100-13 for this bond, for value date 3 June 2020.

(a) What is the dirty price of this bond? Hint: remember this securitys price is quoted as a fractional value, so the price is 100 13/32.

(b) What would be the YTM (yield to maturity) of this bond from the dirty price you have just calculated?

(c) Again, using this dirty price and the price change method, calculate the BPV of the position and explain what this is telling you.

The investor then decides to repo out these securities for a period of 30 days. The USD repo rate for this period is 1.10% and your counterparty will apply an initial margin of 101% to the collateral.

(d) What would be the investors motivation for repo-ing out the securities and how would this aim be achieved?

(e) Using the rates given calculate the initial proceeds and repurchase value of the repo transaction.

(f) During the period of the repo, who will have legal title over the securities?