What is the accrued interest on 11/14/22?

What is the amount invested on 11/14/22?

(1) (1)

What is the interest earned if invested at the reinvestment rate for 29 days? (use (1)

actual/360 convention)

What is the total cash value of the roll position on 12/13/22 before buying back the (1) pool?

What is the accrued interest on 12/13/22? (1)

What is the forward price on 12/13/22? (1)

How much does it cost to buy back the remaining pool balance on 12/13/22? (1)

Suppose you immediately sell the pool on 12/13/22 for $100-24, how much do you (1) receive?

What is total return in dollars? (1)

What is the annualized total return in percentage? (Use 360/act for calculation) (1)

Compute the total return when continuing to hold the pool

1. What is the total return when you continue to hold, then sell on 12/13/22 for $100-24? (1) 2. What is the annualized total return in percentage? (Use 360/act for calculation) (1) 3. What is the total return advantage for rolling?

Understanding Dollar Rolls Use the following information to answer the questions below Compute the total return when rolling the pool Understanding Dollar Rolls Use the following information to answer the questions below Compute the total return when rolling the pool