On September 21st the 5-year GoC bond with a coupon of 1.5% was quoted at a clean price of 100.438. The GoC 1.5% bond has a September 1st, 2026 maturity date. A bond dealer purchased $100 par value of the bond for settlement on September 23rd, 2021. He would also like to finance the bond trade for 1 day (so repo the bond out for 1 day). The repo settlement date is September 24th, 2021. The repo rate for a term of 1 day is 1.65%. There is no 'hair cut' on this transaction. Using this information, what is the total money borrowed by this dealer on September 23rd, 2021? 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)

Answer 150 5year GOC Bond Clean price as on September21 100438 per 100 Assumed T... View the full answer