The Two-Week Repo Rate for the 5

question 474

Multiple Choice

The two-week repo rate for the 5.25% Bund 2011 is quoted to you at 3.33-38%. You agree to reverse in bonds worth EUR 266,125,000.00, but insist on an initial margin of 2%. You would earn repo interest of:

• A) EUR 337,874A0
• B) EUR 342,947.58
• C) EUR 337,739.24
• D) EUR 342,810.40

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