would anyone help with this question which ask to Determine the rebate rate that will be received by purchasing the 10-year bond and financing it with the repurchase agreement.
Answer is rebate = collateral earnings rate - security lending rate = 4-2 = 2%. I thought if you purchase the 10Y bond, you would take 4.5% -2%, not 4%?
7-year corporate bond Duration 6.9 Rate 4.00%;
10-year US government bond Duration 9.1 Rate 4.50%;
30-year Treasury note futures Duration 17 Rate 5.00%;
Repurchase agreement Duration 0.25 Rate 2.00%
