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

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
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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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