NO.PZ2022071101000011
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.
期初根据计算收到现金94288,6个月后repo到期,不是应该按照6个月后的市价再加上notional 100000元的interest还给对方把bond要回来吗?就是假如6个月后市价为98元,那就是100000*0.98+100000*3%*0.5
那bond在repo期间的6个月内也有产生coupon,这个coupon不在最终cash outflow减掉么?就是
outflow = 100000*0.98+100000*3%*0.5 - 100000*5%*0.5
谢谢老师