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Consider an investor who sells short a zero coupon bond with 6 years to maturity when interest rates are 4.7% and a face value of
Consider an investor who sells short a zero coupon bond with 6 years to maturity when interest rates are 4.7% and a face value of $1000. The investors broker requires a 15% haircut, and the repo rate is 3%. One year later, the interest rate has risen to 4.8%. What is the investors net profit on these transactions (ignoring transaction fees and taxes)?
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