Thầy cô ơi cho em hỏi trong công thức tính cash inflow của bài tập này accrued interest lại tính là: 6%*0.25 mà không phải 6%*0.5 (semi-annual) không ạ?
Bài tập
A bank buys a bond on its coupon payment date. Three months later, in order to generate immediate liquidity,<br />
the bank decides to repo the bond. Details of the bond and repo transaction are as follows:<br />
Notional value (USD) 100,000<br />
Coupon (semi-annual) 6%<br />
Current bond price 97<br />
Repo haircut 10%<br />
Repo interest rate 4%<br />
If the repo contract expires 6 months from now, what is the bank’s expected cash outflow at the end of the repo<br />
transaction?<br />
A. USD 89,046<br />
B. USD 90,423<br />
C. USD 93,177<br />
D. USD 100,470<br />
Correct Answer: B<br />
Explanation: B is correct. Cash inflow at beginning of repo: (100,000)*(97%+6%*0.25)*(1-10%) = 88,650;<br />
Cash outflow at end of repo: 88,650*(1+4%*0.5)=90,423