Question
You own $1,000,000 in face value of bond that is currently priced at 99.50. The accrued interest per 100 of face value is 0.50. You
You own $1,000,000 in face value of bond that is currently priced at 99.50. The accrued interest per 100 of face value is 0.50. You would like to use this as collateral for a 5 day repurchase agreement. You are quoted a repo rate of 2% and a haircut of 0.25%. Calculate the amount you can borrow against this bond and the amount you wil pay back at the end of the repurchase agreement.
Amount Borrowed = $1,000,000,00; Amount Paid Back = $1,020,000.00
Amount Borrowed = $997,500.00; Amount Paid Back = $1,000,000.00
Amount Borrowed = $997,500.00; Amount Paid Back = $997,777.08
Amount Borrowed = $995,000; Amount Paid Back = $995,276.39
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