14-Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $24,995,000 with the promise to buy them back at a price of $25,000,000. (LG 5-2) a. Calculate the yield on the repo if it has a 7-day maturity. b. Calculate the yield on the repo if it has a 21-day maturity
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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 $25,950,000, with the promise to buy them back at a price of $26,000,000. a. Calculate the yield on the repo if it has a 5-day maturity. b. Calculate the yield on the repo if it has a 15-day maturitSuppose a bank enters a repurchase agreement in which it agrees to sell Treasury securities to a correspondent bank at a price of $9999827 with the promise to buy them back at a price of $10000090. Calculate the yield on the repo if it has a 5-day maturity.Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $31,950,000, with the promise to buy them back at a price of $32,000,000. a. Calculate the yield on the repo if it has a 5-day maturity. b. Calculate the yield on the repo if it has a 15-day maturity. (For all requirements, use 360 days in a year. Do not round intermediate calculations. Round your percentage answers to 5 decimal places. (e.g., 32.16161)) a. b. X Answer is complete but not entirely correct. Yield on the repo Yield on the repo 1.02857 % 0.34286 %
- Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $25,950,000, with the promise to buy them back at a price of $26,000,000. a. Calculate the yield on the repo if it has a 5-day maturity. b. Calculate the yield on the repo if it has a 15-day maturity. (For all requirements, use 360 days in a year. Do not round intermediate calculations. Round your percentage answers to 5 decimal places. (e.g., 32.16161)) Yield on the repo a. % b. Yield on the repoAn investment bank sells securities under a repurchase agreement for $800.438 million and buys them back in 7 days for $800.568 million. What is the repo's single payment yield?Report your answer in % to the nearest 0.01%;c. A bank enters a reverse repurchase agreement in which it agrees to buy treasury security from one of its correspondent bank at a price of 10 million with the promise to sell the securities back at a price of kshs. 10,008,548 after 5 days. Calculate bond the discount yield for the investing banks.
- Problem 3.3. Yields on money market instruments roblem 3.4. Calculate the following: a. If the overnight fed funds rate is quoted as 2.25 percent, what is the bond equivalent rate? b. Suppose a bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of Rs 24,950,000, with promise to buy them back at a price of Rs 25,000,000. Calculate the yield on the repo if it has 21 days to maturity. c. A government securities dealer is currently borrowing Rs 10 million from a money center bank using repurchase agreements based on Treasury bills. If today's repo rate is 5.5 percent, how much in interest will the dealer owe the bank for an overnight borrowing? d. A security dealer borrows Rs 25 million cash through repo from a company for one day. The dealer pays Rs 2,500 in interest on this loan. What is repo rate on this loan? You can buy commercial nanorVi (H X.) 25) A credit market instrument that pays the owner a fixed coupon payment every year until the maturity date and then repays the face value is called a A) fixed-payment loan. C) simple loan. B) coupon bond. D) discount bond. 25) PrSuppose that the assets of a bank consist of $100 million of loans of BBB-rated corporations. The PD for the corporations is estimated as 1%. The average maturity is five years and the LGD is 60%. What is the total risk-weighted assets for credit risk under the Basel II advanced IRB approach? Question 5Answer a. $178.1 million b. $13.2 million c. $165.4 million d. $100 million
- Q1. Suppose Salalah international Co. issues bonds in Muscat security Exchange. The face value of bond is 5000 OMR and pays 4 percent interest rate.These bonds will mature in 4 years, and the yield to maturity is 7 percent. A. Calculate the interest payment generated by bond B. Calculate the fair value for this bond.Compare the required credit risk capital under Basel I and Basel Il for the following set of arrangements. (a) A 2 year interest rate swap with a principal of $100 million traded with an AA rated company, currently worth 2.5 million (b) $30 million 3 year Treasury bond with a BBB rated OECD sovereign (c) $20 million claims secured by residential mortgages (d) A six month corporate loan of $ 25million to an A+ rated company9. A company plans to borrow $10 million for 90 days, 180 days from today. The type of FRA and the position that the company should take on this FRA to hedge its interest rate risk is most likely: FRA Position A. 3 x 6 long B. 6 x 9 long C. 6 x 3 short