Repo Duration overnight, versus

yuoska

Would a 2 year, renewable REPO have a 0 duration? versus just an overnight which is 0?

mar350

As long as it has a floating rate

liangfeng

jmac01 Wrote:
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> As long as it has a floating rate


depends on how ofren the rate resets ............according to the cfai a floating rate bond has duration of 1/2 coupon period..............so semiannual would have duration of .25

Chuckrox

yeah. i guess so. basically, it has duration between resets (and they approximate this by saying half the coupon period).

good call.