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Business, 16.03.2022 14:00 jaksmmwlqlzm

On November 1, the one-month T-bill rate is 5.0% and the two-month T-bill is 6.0%. Assume that fed funds futures contracts trade at a 25 basis point rate under one-month T-bill rate at the start of the delivery month. The December fed funds futures is quoted at 94.75. Assuming no basis risk between fed funds and one-month T-bill at the start of the delivery month. Assume that one-month T-bill rate on December 1 was 7%. Contract size is $5,000,000. You are going to use a cash and carry arbitrage strategy to identify whether an arbitrage opportunity is available. Be sure to illustrate the arbitrage strategy for one contract. What is the actual one-month repo rate in this case? Please type your answer in decimal format (e. g., if you think the repo rate is 8%, then type 0.08) in the box below and keep two decimal places.

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On November 1, the one-month T-bill rate is 5.0% and the two-month T-bill is 6.0%. Assume that fed f...
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