Suppose BNP Paribas agrees to act as lender in a repurchase agreement with AQR Capital Management in which AQR plans to sell $800,000 of Illinois state bonds to BNP Paribas and buy them back 28-days later.BNP Paribas plans to charge AQR 3% interest and a 4%haircut.How much can AQR Capital Management borrow from BNP Paribas via the repurchase agreement?

Answer rating: 100% (QA)

In a repurchase agreement repo the borrower AQR Capital Management sells securities to the lender BN... View the full answer