Todayrsquos price of a 3-month t-bill futures is 958500, Ask an Expert

Finance

Today’s price of a 3-month t-bill futures is 958500. Today, the spot price of a 6-month t-bill is $940000. What is the implied repo rate?

In addition to the information in the above assume a trader can actually borrow at a repo rate of 6% p.a. Show how this trader can arbitrage the disequilibrium profit using the implied repo rate method.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91784808

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