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If the spot price for an asset is $95 and the quoted implied repo rate is 4.52%, assuming the asset has no storage costs, no

  1. If the spot price for an asset is $95 and the quoted implied repo rate is 4.52%, assuming the asset has no storage costs, no income and no convenience yield, what is the forward price for the asset in one year?
    1. $90.89
    2. $94.48
    3. $96.91
    4. $97.85
    5. $99.29

  1. If the actual repo rate for the asset above is 3.75%, how would an arbitrager go about making a risk-free profit?
    1. He would borrow at the risk-free rate to buy the forward position.
    2. He would lend at the risk free rate and short the asset.
    3. He would short the asset, buy the forward and lend in the repo market.
    4. He would buy the asset, sell the forward and borrow in the repo market.
    5. There is no opportunity for arbitrag

  1. In the repo markets a haircut is:
    1. The rate you need to pay to borrow against the asset.
    2. The excess value of the collateral versus the loan as a percentage of the collateral.
    3. When markets become volatile its the change in borrowing costs against the collateral.
    4. The difference between rates on overnight repo and term repo.
    5. The difference between the implied repo rate and the actual repo rat

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