Suppose we want to do a repo on a 1,000,000 (in par value) Treasury bond for 30 days. The bond's current (clean) price is $975,000. The bond's coupon rate is 5% per year, and the most recent coupon payment date was 90 days ago. The lender wants to take a haircut of 3%. The repo interest rate is 1.50% p.a. Assuming a 360-day year, what is the interest amount that we have to pay at the end of repo's life

Suppose we want to do a repo on a 1,000,000 (in par value) Treasury bond for 30 days. The bond's current (clean) price is $975,000. The bond's coupon rate is 5% per year, and the most recent coupon payment date was 90 days ago. The lender wants to take a haircut of 3%. The repo interest rate is 1.50% p.a. Assuming a 360-day year, what is the interest amount that we have to pay at the end of repo's life

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter6: Fixed-income Securities: Characteristics And Valuation

Section: Chapter Questions

Problem 4P

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