The spot/next repo rate for the 5% bund 2006 is quoted to you at 1.75-80%. You sell bonds with a market value of EUR 5,798,692 through a sell/buy-back. The Repurchase Price is:
A) EUR 5,798,982
B) EUR 5,799,497
C) EUR 5,746,376
D) EUR 5,000,694

Question

Quizplus · Accepted Answer

The repurchase price is the market value of the bonds plus the interest accrued over the period of the repo. The interest accrued is calculated as the product of the market value of the bonds, the repo rate, and the number of days in the repo period. In this case, the repo period is 1 day, so the interest accrued is EUR 5,798,692 * 1.75% * 1 day = EUR 100.50. Therefore, the repurchase price is EUR 5,798,692 + EUR 100.50 = EUR 5,798,982.

The Spot/next Repo Rate for the 5% Bund 2006 Is