On January 20 the 5-year GoC bond with a coupon of 1.55% was quoted at a clean price of 1,001.526 per $1,000 of par value. The GoC 1.55% bond has a January 1, 2024 maturity date.

A bond dealer purchased $1,000 par value of the bond for settlement on January 22, 2020. She would also like to finance the bond trade for 1 day (so repo the bond out for 1 day). The repo settlement date is January 23, 2020. The repo rate for a term of 1 day is 1.75%. There is no 'hair cut' on this transaction.

Using this information, what is the total money borrowed by this dealer on January 22, 2020? Be specific as it relates to all the components of the trade (accrued interest, repo term interest, total settlement value for both sides of the repo). Show all work and assume an actual/365 day count convention. Three decimal places.

Answer rating: 100% (QA)

155 5 year GOC Bond Clean price as on Jan20 1001526 per 1000 The bond matu... View the full answer