Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the

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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.

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

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Advanced Accounting

ISBN: 978-0077431808

10th edition

Authors: Joe Hoyle, Thomas Schaefer, Timothy Doupnik

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Posted Date: Mar 11, 2023 02:23 AM

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Margin of error = $$5$, standard deviation = $$20$

Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries with a 2.5% coupon rate. Then, the

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100 x 1001 002 100x1011 002 9801m This equates to 3 of the initial pur... View the full answer

Advanced Accounting

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