medium · Debt Capital Markets
A trader is long a 10-year bond with a yield of 4.50% and finances it at a repo rate of 3.50%.
If the 9-year point on the curve is 4.30%, what is the 'breakeven' yield rise over a one-year horizon (assume duration is 8.0)?
- 32.5 bps
- 20.0 bps
- 45.0 bps
- 12.5 bps
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