Calculate spot and forward price of repo operation

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Reference no: EM132665757

Management of banking operations 2020/2021

Problem 1: Calculate spot and forward price of repo operation and expected profit for the creditor if collaterals are 5 years bonds in nominal value of 5 Mil. EUR with 2% coupon and with a maturity of 28.09.2020 and annual coupon (issued under the standard 30(E)/360). Net bond price to the settlement date is 99.95%. The settlement date of repo operation was agreed on 29.10.2017. Duration of the repo trade was 34 days, and the repo rate was set at 3% (base 30(E)/360),

Problem 2: Draw the financial flows between counterparties.

a) There is no haircut. b) Creditor and debtor agreed on the haircut of 5%.

Reference no: EM132665757

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