Comments on: Calculations involved in Repo and Reverse Repo http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/ Stock market, Money market, Mutual funds, Bonds Guide Thu, 09 Feb 2012 17:54:06 +0000 hourly 1 http://wordpress.org/?v= By: Vidhya http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1605 Vidhya Tue, 27 Dec 2011 06:02:21 +0000 http://lastbull.com/?p=89#comment-1605 Could you solve this problem. The answer is contradicting for me if I proceed your way. To find the forward leg consideration for security 11.5% 2012 for settlement date of 25th August 2003 & Maturity date of 14th December 2012 with market price of Rs.133. repo rate 8% p.a. and Repo term of 5 days. Answer is 135.4163. But I am getting 132.9897 as answer. could you clarify? Could you solve this problem. The answer is contradicting for me if I proceed your way.
To find the forward leg consideration for security 11.5% 2012 for settlement date of 25th August 2003 & Maturity date of 14th December 2012 with market price of Rs.133. repo rate 8% p.a. and Repo term of 5 days. Answer is 135.4163. But I am getting 132.9897 as answer. could you clarify?

]]> By: Jonny Ho http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1540 Jonny Ho Tue, 18 Oct 2011 07:09:38 +0000 http://lastbull.com/?p=89#comment-1540 Hi, I want to know how we monitored the Top Up if the collateral is dropped from its initial value. Should this repo be marked to-market? and how? thanks for your time. Regards Hi, I want to know how we monitored the Top Up if the collateral is dropped from its initial value.
Should this repo be marked to-market? and how?

thanks for your time.
Regards

]]> By: waqz http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1491 waqz Sat, 10 Sep 2011 18:34:39 +0000 http://lastbull.com/?p=89#comment-1491 Thnx for solving the exemple. it really helped me. Thnx for solving the exemple. it really helped me.

]]> By: Vinay Poddar http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1471 Vinay Poddar Mon, 29 Aug 2011 05:03:47 +0000 http://lastbull.com/?p=89#comment-1471 Correct Amount to be returned = 10150972.22+6944.44+4166.66=10162083.1 How can leg2 amount be less than leg1 amount ? Correct Amount to be returned = 10150972.22+6944.44+4166.66=10162083.1
How can leg2 amount be less than leg1 amount ?

]]> By: Sathish Emmadi http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1381 Sathish Emmadi Tue, 05 Jul 2011 13:12:20 +0000 http://lastbull.com/?p=89#comment-1381 Hi Jigar, Coupon date is interest payment date. If you buy a government bond, for example, you will receive interest every six months on a predetermined date. Regarding your accrued interest question: When the bonds are kept as collateral the total number of days passed from last coupon date is 19 days (from July1st to July 20th). When the bonds are returned on 22nd the total days are 21 days from last coupon date. Please refer to the below article for accrued interest details. Please read other fixed income articles as well to get an idea on bonds market. http://lastbull.com/accrued-interest-of-a-bond/ Hi Jigar,

Coupon date is interest payment date. If you buy a government bond, for example, you will receive interest every six months on a predetermined date.

Regarding your accrued interest question: When the bonds are kept as collateral the total number of days passed from last coupon date is 19 days (from July1st to July 20th). When the bonds are returned on 22nd the total days are 21 days from last coupon date.

Please refer to the below article for accrued interest details. Please read other fixed income articles as well to get an idea on bonds market.

http://lastbull.com/accrued-interest-of-a-bond/

]]> By: jigar http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1380 jigar Tue, 05 Jul 2011 06:01:25 +0000 http://lastbull.com/?p=89#comment-1380 i want to knw ..in first leg the calculation of interest accrued tne no. of days taken is 19...n same as in second leg as 22...so how it came....n wat is meant by coupan date?... i want to knw ..in first leg the calculation of interest accrued tne no. of days taken is 19…n same as in second leg as 22…so how it came….n wat is meant by coupan date?…

]]> By: Sathish Emmadi http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1374 Sathish Emmadi Fri, 01 Jul 2011 14:10:12 +0000 http://lastbull.com/?p=89#comment-1374 Hi Ed, 6944.44 is the difference in accrued interest i.e.(72916.66 - 65972.22). This 6944.44 is the interest accrued in the repo period (2 days). Hi Ed,

6944.44 is the difference in accrued interest i.e.(72916.66 – 65972.22).

This 6944.44 is the interest accrued in the repo period (2 days).

]]> By: Ed http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-1373 Ed Fri, 01 Jul 2011 13:12:35 +0000 http://lastbull.com/?p=89#comment-1373 On the second leg in the amount to be returned where is the amount 6944.44 coming from On the second leg in the amount to be returned where is the amount 6944.44 coming from

]]> By: tin http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-313 tin Fri, 27 Mar 2009 13:13:49 +0000 http://lastbull.com/?p=89#comment-313 you've made a typo you’ve made a typo

]]> By: Satyam http://lastbull.com/calculations-involved-in-repo-and-reverse-repo/#comment-310 Satyam Sun, 15 Mar 2009 14:56:54 +0000 http://lastbull.com/?p=89#comment-310 Hello Maxi, Repo interest is calculated for the repo term. In the example it’s 2 days. Hello Maxi,

Repo interest is calculated for the repo term. In the example it’s 2 days.

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