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徐威廉 · 2024年10月07日

5%x0.25为什么放在期初的现金流里?这个accrued payment不应该是最好到期结算的吗?

NO.PZ2022071101000011

问题如下:

A bank buys a bond on its coupon payment date. Three months later, in order to generate immediate liquidity, the bank decides to repo the bond. Details of the bond and repo transaction are as follows:

If the repo contract expires 6 months from now, what is the bank’s expected cash outflow at the end of the repo transaction?

选项:

A.

USD 94,497

B.

USD 95,702

C.

USD 97,630

D.

USD 100,739

解释:

中文解析:

B是正确的。

repo初期的现金流=notional value*(current bond price%+coupon rate*3/12)*(1-repo haircut)=(100,000)*(98%+5%*0.25)*(1-5%) = 94,288; repo到期的现金流=期初流入*(1+repo int rate*6/12)=94,288*(1+3%*0.5)=95,702。

-----------------------------------------------------------------------------------------------------------------------------------

B is correct. Cash inflow at beginning of repo: (100,000)*(98%+5%*0.25)*(1-5%) = 94,288; Cash outflow at end of repo: 94,288*(1+3%*0.5)=95,702

A is incorrect. Left out the accrued interest of 5%*0.25 in the correct equation for cash inflow.

C is incorrect. Used 1 instead of 98% for price in the correct equation for cash inflow.

D is incorrect. Left out haircut of 5% in the correct equation for cash inflow.

请画一个时间轴的图,并标注一下每个时间点发生的现金流,跪谢老师

1 个答案
已采纳答案

pzqa27 · 2024年10月08日

嗨,努力学习的PZer你好:


5%x0.25为什么放在期初的现金流里?

repo 期初相当于是把债券卖出去,而repo发生的事件节点刚好是过去3个月,所以卖的时候肯定要计算3个月的AI加入其中。

具体可以参考这个视频的例题,基本上出了数字外,其他都一样。解题套路也是一样的。如果有问题,我们可以进一步讨论。


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努力的时光都是限量版,加油!

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NO.PZ2022071101000011 问题如下 A bank buys a bonon its coupon payment te. Three months later, in orr to generate immeate liquity, the bank cis to repo the bon tails of the bonanrepo transaction are follows:If the repo contraexpires 6 months from now, whis the bank’s expectecash outflow the enof the repo transaction? A.US94,497 B.US95,702 C.US97,630 US100,739 中文解析B是正确的。repo初期的现金流=notionvalue*(current bonprice%+coupon rate*3/12)*(1-repo haircut)=(100,000)*(98%+5%*0.25)*(1-5%) = 94,288; repo到期的现金流=期初流入*(1+repo int rate*6/12)=94,288*(1+3%*0.5)=95,702。-----------------------------------------------------------------------------------------------------------------------------------B is correct. Cash inflow beginning of repo: (100,000)*(98%+5%*0.25)*(1-5%) = 94,288; Cash outflow enof repo: 94,288*(1+3%*0.5)=95,702A is incorrect. Left out the accrueinterest of 5%*0.25 in the correequation for cash inflow.C is incorrect. Use1 insteof 98% for priin the correequation for cash inflow.is incorrect. Left out haircut of 5% in the correequation for cash inflow. 期初根据计算收到现金94288,6个月后repo到期,不是应该按照6个月后的市价再加上notion100000元的interest还给对方把bon回来吗?就是假如6个月后市价为98元,那就是100000*0.98+100000*3%*0.5那bonrepo期间的6个月内也有产生coupon,这个coupon不在最终cash outflow减掉么?就是outflow = 100000*0.98+100000*3%*0.5 - 100000*5%*0.5谢谢老师

2025-03-28 20:10 2 · 回答