QUESTION

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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 $\$ 32,950,000$, with the promise to buy them back at a price of $\$ 33,000,000$. a. Calculate the yield on the repo if it has a 4-day maturity. b. Calculate the yield on the repo if it has a 12-day maturity. (For all requirements, use $\mathbf{3 6 0}$ days in a year. Do not round intermediate calculations. Round your answers to $\mathbf{5}$ decimal places. (e.g., 32.16161))

Public Answer

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