5%x0.25为什么放在期初的现金流里？这个accrued payment不应该是最好到期结算的吗？

问题如下：

A bank buys a bond on its coupon payment date. Three months later, in order to generate immediate liquidity, the bank decides to repo the bond. Details of the bond and repo transaction are as follows:

If the repo contract expires 6 months from now, what is the bank’s expected cash outflow at the end of the repo transaction?

选项：

A.

USD 94,497

B.

USD 95,702

C.

USD 97,630

D.

USD 100,739

解释：

中文解析：

B是正确的。

repo初期的现金流=notional value*(current bond price%+coupon rate*3/12)*(1-repo haircut)=(100,000)*(98%+5%*0.25)*(1-5%) = 94,288; repo到期的现金流=期初流入*(1+repo int rate*6/12)=94,288*(1+3%*0.5)=95,702。

-----------------------------------------------------------------------------------------------------------------------------------

B is correct. Cash inflow at beginning of repo: (100,000)*(98%+5%*0.25)*(1-5%) = 94,288; Cash outflow at end of repo: 94,288*(1+3%*0.5)=95,702

A is incorrect. Left out the accrued interest of 5%*0.25 in the correct equation for cash inflow.

C is incorrect. Used 1 instead of 98% for price in the correct equation for cash inflow.

D is incorrect. Left out haircut of 5% in the correct equation for cash inflow.