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Question: A dealer needs to borrow EUR 30 million. He uses a Bund as collateral. The Bund has the following characteristics:

• Collateral 4.3% Bund, June 12, 2004

• Price: 100.50

• Start date: September 10

• Term: 7 days

• Repo rate: 2.7%

• Haircut: 0%

a. How much collateral does the dealer need?

b. Two days after the start of the repo, the value of the Bund increases to 101. How much of the securities will be transferred to whom?

c. What repo interest will be paid?

Basic Finance, Finance

  • Category:- Basic Finance
  • Reference No.:- M92505581
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