Q19, it says short seller position can affect the demand of collateral, I could not understand, is a lender or short seller?
how to affect collateral?
Q13, if we use 2 year repo, the duration 2 is greater than overnight, since leverage increase the duration, why the answer says shorten the total duration of portfolio?
Q24, contigent immu. should use intial portfolio for passive and safety margin for active, why answer says total portfolio use for active?
q13 has been discussed to death, do a search
q19, if lender of funds needs the collateral for a short sale, the repo rate will be lower b/c it is in-demand
q13, just do the math and you will see why the answer is correct
q24v = you actively manage entire portfolio under CI if you have cushion once cushion is zero or below, you switch back to regular immunization
q13, can you provide the math calculation? thanks
DE = (Di * I - Db * B) / E
good, 2 year repo end up lower equity duration