You have a Bond paying 5.48% semi-annual coupon and maturing on 14-Jul-2029 and currently trading at 6.22%p.a. as on 24-Dec-2021 (Friday) for a settlement on T+1 basis. Find out the following using approximation if a bank wants to a Repo for 10 million FV of the Bond with a Haircut of 5% and Repo is for 15 days at a Rate of 4.6%p.a.: a) Consideration for First Leg b) Repo Interest c) Consideration for Second leg assuming No hair cut d) Dirty Price at the Second Leg e) clean price at the Second Leg
You have a Bond paying 5.48% semi-annual coupon and maturing on 14-Jul-2029 and currently trading at 6.22%p.a. as on 24-Dec-2021 (Friday) for a settlement on T+1 basis. Find out the following using approximation if a bank wants to a Repo for 10 million FV of the Bond with a Haircut of 5% and Repo is for 15 days at a Rate of 4.6%p.a.: a) Consideration for First Leg b) Repo Interest c) Consideration for Second leg assuming No hair cut d) Dirty Price at the Second Leg e) clean price at the Second Leg
Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)
7th Edition
ISBN:9780357033609
Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk
Chapter12: Investing In Stocks And Bonds
Section: Chapter Questions
Problem 10FPE
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You have a Bond paying 5.48% semi-annual coupon and maturing on 14-Jul-2029 and currently trading at 6.22%p.a. as on 24-Dec-2021 (Friday) for a settlement on T+1 basis. Find out the following using approximation if a bank wants to a Repo for 10 million FV of the Bond with a Haircut of 5% and Repo is for 15 days at a Rate of 4.6%p.a.:
a) Consideration for First Leg
b) Repo Interest
c) Consideration for Second leg assuming No hair cut
d) Dirty Price at the Second Leg
e) clean price at the Second Leg .
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