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Repo Market Analysis for Investors

The document provides details of a repo transaction, including: - The security offered has a coupon of 11.43% and matures in 2025. - The market price of the security is 111.87. - The date of the repo is 19-Jan-19 and the reversal date is 22-Jan-19. - The repo rate is 0.0775. - The first leg cash consideration is 117.0135 and the second leg cash consideration is 117.088035996575.

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Sagar Kansal
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182 views9 pages

Repo Market Analysis for Investors

The document provides details of a repo transaction, including: - The security offered has a coupon of 11.43% and matures in 2025. - The market price of the security is 111.87. - The date of the repo is 19-Jan-19 and the reversal date is 22-Jan-19. - The repo rate is 0.0775. - The first leg cash consideration is 117.0135 and the second leg cash consideration is 117.088035996575.

Uploaded by

Sagar Kansal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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FV (Default) 100

Price of T-bill (Rs) 96


Tenor of repo (days) 3
Repo rate 0.0775
Market Price of security (Rs.) 96

First leg cash consideration 96

Repo Interest 0.0611506849315

Second leg cash consideration 96.061150684932


FV (Default)
Security offered under repo 7.17%, 2028
Coupon payment dates
Market Price of security (Rs.)
Date of repo
Reversal date of repo
Repo rate

Solution Last Payment made


Date of repo

Days since last interest payment


Repo days

Broken period interest

First leg cash consideration

Repo Interest

Second leg cash consideration


100
0.0717
08 Jan and 08 Jul
96.9
26-Mar-18
3-Apr-18
0.06

###
###

78
8

1.5535

98.4535

0.129473095890411

98.5829730958904
FV (Default)
Security offered under repo 11.43%, 2025
Coupon payment dates
Market Price of security (Rs.)
Date of repo
Reversal date of repo
Repo rate

Solution Last Payment made


Date of repo

Days since last interest payment


Repo days

Broken period interest

First leg cash consideration

Repo Interest

Second leg cash consideration


100
0.1143
07 Aug and 07 Feb
113
19-Jan-19
22-Jan-19
0.0775

###
###

162
3

5.1435

118.1435

0.07525579109589

118.218755791096
Haircut 0.01
or initial margin

Solution
FV (Default) 100
Security offered under repo 11.43%, 2025 0.1143
Coupon payment dates 07 Aug and 07 Feb
Market Price of security (Rs.) 111.87
Date of repo 19-Jan-19
Reversal date of repo 22-Jan-19
Repo rate 0.0775

Last Payment made ###


Date of repo ###

Days since last interest payment 162


Repo days 3

Broken period interest 5.1435

First leg cash consideration 117.0135

Repo Interest 0.07453599657534

Second leg cash consideration 117.088035996575


Price of bond 116.42
FV (Default)
Security offered under repo 11.99%, 2019
Coupon payment dates
Market Price of security (Rs.)
Date of repo
Reversal date of repo
Repo rate

Last Payment made


Date of repo

Days since last interest payment


Repo days

Broken period interest

First leg cash consideration

Repo Interest

Second leg cash consideration


30000000
0.1199
07 Apr and 07 Oct
34926000
10-Jul-17
13-Jul-17
0.07

###
###

93
3

929225

35855225

20629.0335616438

35875854.0335616

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