Question
A market maker borrows $100,000,000 nominal value of bonds (face value: $100) with the following info: (Loan term: 25 days) Coupon: 8.2% (annual, Act/365) Clean
A market maker borrows $100,000,000 nominal value of bonds (face value: $100) with the following info: (Loan term: 25 days)
Coupon: 8.2% (annual, Act/365)
Clean price: 105.85
Accrued day: 40 days
Accrued interest: ???
Total accrued interest: ???
Dirty price: ???
Loan value: ???
Stock loan fee: 65 bps
a. Fill in missing items then Calculate total stock loan fee amount
b. The loan is required to be collateralized with the following bond at haircut of 4%:
Coupon: 7%
Clean price: 102.5
Accrued day: 35 days
Calculate nominal amount of the collateral stock.
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Principles Of Managerial Finance
Authors: Lawrence J. Gitman, Chad J. Zutter
13th Edition
9780132738729, 136119468, 132738724, 978-0136119463
