Question On September 25th the 5-year GoC bond with a coupon of 1.5% was quoted at a clean price of 90.383. The GoC 1.5% bond has a September 1st, 2026, maturity date. A bond dealer purchased $100 par value of the bond for settlement on September 27th, 2023. He would also like to finance the bond trade for 1 day (so repo the bond out for 1 day). The repo settlement date is September 28th, 2023. The repo rate for a term of 1 day is 2.65%. There is no 'hair cut' on this transaction. Using this information, what is the total money borrowed by this dealer on September 27th, 2023? Be specific as it relates to all the components of the trade (accrued interest, repo term interest, total settlement value for both sides of the repo). Show all work and assume an actual/365 day count convention. Three decimal places.
Question On September 25th the 5-year GoC bond with a coupon of 1.5% was quoted at a clean price of 90.383. The GoC 1.5% bond has a September 1st, 2026, maturity date. A bond dealer purchased $100 par value of the bond for settlement on September 27th, 2023. He would also like to finance the bond trade for 1 day (so repo the bond out for 1 day). The repo settlement date is September 28th, 2023. The repo rate for a term of 1 day is 2.65%. There is no 'hair cut' on this transaction. Using this information, what is the total money borrowed by this dealer on September 27th, 2023? Be specific as it relates to all the components of the trade (accrued interest, repo term interest, total settlement value for both sides of the repo). Show all work and assume an actual/365 day count convention. Three decimal places.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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On September 25th the 5-year GoC bond with a coupon of 1.5% was quoted at a clean
price of 90.383. The GoC 1.5% bond has a September 1st, 2026, maturity date.
A bond dealer purchased $100 par value of the bond for settlement on September 27th,
2023. He would also like to finance the bond trade for 1 day (so repo the bond out for 1
day). The repo settlement date is September 28th, 2023. The repo rate for a term of 1
day is 2.65%. There is no 'hair cut' on this transaction.
Using this information, what is the total money borrowed by this dealer on September 27th,
2023? Be specific as it relates to all the components of the trade (accrued interest, repo
term interest, total settlement value for both sides of the repo). Show all work and
assume an actual/365 day count convention. Three decimal places.
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