Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a

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Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $ 24,950,000, with the promise to buy them back at a price of $ 25,000,000.
a. Calculate the yield on the repo if it has a 7-day maturity.
b. Calculate the yield on the repo if it has a 21-day maturity.

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Financial Markets and Institutions

ISBN: 978-0077861667

6th edition

Authors: Anthony Saunders, Marcia Cornett

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