Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the fund immediately enters into an overnight repurchase agreement (repo) with a money-market fund at a 2.0% repo rate with a 1.0% haircut.

(a) How much money does the money-market fund pay PIMCO today?

(b) How much money will PIMCO have to pay to the money-market fund tomorrow to get its collateral back?

(c) Suppose that the yield on 1year Treasuries falls by 1% over night. What is the new value of the portfolio of 1year Treasuries that PIMCO used as collateral for this repurchase agreement?

(d) What is the $duration of PIMCOs overnight repo position?