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. What is the $duration of PIMCO's overnight repo position? (units: millions of dollars; do not include the "$" sign) 0.28

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. What is the $duration of PIMCO's overnight repo position? (units: millions of dollars; do not include the "$" sign) 0.28

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter2: The Domestic And International Financial Marketplace

Section: Chapter Questions

Problem 4P

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Question

Suppose that PIMCO buys $100m worth of 1-year par-valued Treasuries wilth 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.
What is the $duration of PIMCO's overnight repo position? (units: millions of dollars, do not include the "$" sign)
0.28

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