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I want to solve this question Management of banking operations 2020/2021 Example 4. Calculate spot and forward price of repo operation and expected profit for

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Management of banking operations 2020/2021 Example 4. Calculate spot and forward price of repo operation and expected profit for the creditor if collaterals are 5 years bonds in nominal value of 5 Mil. EUR with 2% coupon and with a maturity of 28.09.2020 and annual coupon (issued under the standard 30(E)/360). Net bond price to the settlement date is 99.95%. The settlement date of repo operation was agreed on 29.10.2017. Duration of the repo trade was 34 days, and the repo rate was set at 3% (base 30(E)/360), Draw the financial flows between counterparties. a) There is no haircut. b) Creditor and debtor agreed on the haircut of 5%

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