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

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Suppose that a 10-year T-note is purchased with a face value of $20,000 and a coupon rate of 3.4% (a) What is the total return of this investment? (b) What is the average rate of retum? (a) The total return is $ (Simplity your answer.) (b) The average rate of return is%. (Simplify your answer. Round to two decimal places as needed.)
Consider two secunitios that pay risk-free cash flows over the next two yoars and that have the current market prices shown here (Click on the following icon in order to copy its contents into a spreadshoet) Price Today $384 Cash Flow in Two Years Security Cash Flow in One Year B1 $400 B2 $344 $400 a. What is the no-arbitrage price of a secunty that pays cash flows of $400 in one year and $400 in two years? b. What is the no arbitrage price of a security that pays cash flows of $400 in one year and $2,800 in two yoars? c. Suppose a security with cash flows of $200 in one year and $400 in two years is trading for a price of $520 What arbitrage opportunity is available? a. What is the no-arbitrage price of a secunity that pays cash flows of S400 in ono yoar and $400 in two yoars? The no arbitrage price is s (Round to the nearest dollar) b. What is the no-arbitrage price of a security that pays cash flows of $400 in one yoar and $2,800 in two years? The no-arbitrage price is S (Round to…
Suppose initially that two assets, A and B, will each make a single guaranteed payment of $400 in 1 year. But asset A has a current price of $280 while asset B has a current price of $320. Instructions: Round your answers to 2 decimal places. a. What are the rates of return of assets A and B at their current prices? Return on assetA =| |percent Return on asset B = percent Given these rates of return, which asset should investors buy and which asset should they sell? Buy asset (Click to solect) v and sell asset (Click to select) b. Assume that arbitrage continues until A and B have the same expected rate of return. When arbitrage ends, will A and B have the same price? (Click to select) Next, consider another pair of assets, C and D. Asset C will make a single payment of $600 in 1 year, while D will make a single payment of $800 in 1 year. Assume that the current price of C is $440 and that the current price of D is $680. c. What are the rates of return of assets C and D at their…
Find the Net Present Value (NPV) for Muscat Packaging Company if the initial investment is 20000 OMR and the cash Inflows are as follows: Year 1 =12500 OMR; Year 2 =13500 OMR; Year 3=14500 OMR and Year 4=15500 OMR. Use discount rate as 4.05%.Select one:a. None of the optionsb. 24074.75 OMRc. 33074.34 OMRd. 12074.50 OMRe. 30578.84 OMR If the stock is 1100 and debtors are 0.543 from receivables and receivables are 3200, equity 300 account payable 3000, the cash is 100, then the gross working capital is Select one: a. All the given choices are not correct b. 6137.60 c. 6437.60 d. 9437.60 e. 9137.60
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Suppose you opened up a margin account and deposited AED 120,000 of your own cash. At a 50% margin, AED 120,000 is borrowed on margin, so the total funding available to be spent on securities is AED 240,000, which you decided to spend entirely on a portfolio of stocks. The Initial Purchase Price (Po) = AED 120,000 Assuming a 50% initial margin and 20% maintenance margin, you are required to calculate the margin call price and confirm whether there will be a margin call or not?
A Credit Default Swap is structured like the one below for a protection of $100 million. If payments are made annually, what are the cash flows from A to B if there is a default after 2 years and 2 months and recovery rate is 40%? And what are the cash flows from B to A? 70 bps per year Default Default Protection Protection Buyer, A Seller, B Payoff if there is a default by reference entity=100(1-R)
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