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5. MONEY MARKET QUESTION - SHORT SALE AND REVERSE REPO (a) Suppose you sell $10M face of a T-bill maturing 15-Sep-2022 at 0.10% bank discount yield on trade day Friday 15-Oct-2021 (settles following business day). What price did you sell at? (nearest $0.01) (b) Suppose you buy the same $10M of T-bill back the following business day (trade 18- Oct-2021, for settle 19-Oct-2021) at a 0.20% discount yield. What price did you buy back at? (nearest $0.01) (c) In the above trade, you need to do a reverse repo to cover your short. For simplicity, assume that your haircut is 0%. Assume an overnight repo. Explain the dates and amounts (of bonds and cash) that will occur in your repo, assuming that the repo rate is 0.09%. Draw a diagram! (d) What is the total profit (on 19-Oct-2021) of the above transactions? (nearest $0.01) 5. MONEY MARKET QUESTION - SHORT SALE AND REVERSE REPO (a) Suppose you sell $10M face of a T-bill maturing 15-Sep-2022 at 0.10% bank discount yield on trade day Friday 15-Oct-2021 (settles following business day). What price did you sell at? (nearest $0.01) (b) Suppose you buy the same $10M of T-bill back the following business day (trade 18- Oct-2021, for settle 19-Oct-2021) at a 0.20% discount yield. What price did you buy back at? (nearest $0.01) (c) In the above trade, you need to do a reverse repo to cover your short. For simplicity, assume that your haircut is 0%. Assume an overnight repo. Explain the dates and amounts (of bonds and cash) that will occur in your repo, assuming that the repo rate is 0.09%. Draw a diagram! (d) What is the total profit (on 19-Oct-2021) of the above transactions? (nearest $0.01)

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