D F G H J V B N V 90 > ? shift 5. (8 points)...

Transcribed Image Text:

D F G H J V B N V 90 > ? shift 5. (8 points) You are entering into a 20-day repo to repo out a 90-day T-bill, face value $100 million, currently trading at a discount rate of 3%, at a repo rate of 1% p.a. Assume that there is no haircut. (a) How much will you have to pay your counter-party 20 days from now in order to get back the T-bill? Pytlupe on asized to auley ads (b) You will break-even if the price of the T-bill 20 days from now is equal to the amount you pay your counter-party (in order to get back the T- bill). At what rate the T-bill has to trade 20 days from now for you to break-even? D F G H J V B N V 90 > ? shift 5. (8 points) You are entering into a 20-day repo to repo out a 90-day T-bill, face value $100 million, currently trading at a discount rate of 3%, at a repo rate of 1% p.a. Assume that there is no haircut. (a) How much will you have to pay your counter-party 20 days from now in order to get back the T-bill? Pytlupe on asized to auley ads (b) You will break-even if the price of the T-bill 20 days from now is equal to the amount you pay your counter-party (in order to get back the T- bill). At what rate the T-bill has to trade 20 days from now for you to break-even?