Bank A enter into a Repo for 14 days with Bank B in 10% Government of India Bonds 2028 @ 5.65% for 8 crore. Assuming that clean price (the price…
CA Final · Advanced Financial Management · MTP · January 2026
Bank A enter into a Repo for 14 days with Bank B in 10% Government of India Bonds 2028 @ 5.65% for 8 crore. Assuming that clean price (the price that does not have accrued interest) be - 99.42 and initial Margin be 2% and days of accrued interest be 262 days. You are required to determine: (i) Dirty Price (Round off calculations upto two decimal points.) (ii) Repayment at maturity. (Consider 360 days in a year and round off calculations to whole numbers.)
Suggested Answer and Working Notes:
(i) Dirty Price = Clean Price + Interest Accrued = 99.42 + 100 × (10 / 100) × (262 / 360) = 106.70 (ii) First Leg (Start Proceed) = Nominal Value × (Dirty Price / 100) × (100 - Initial Margin / 100) = 8,00,00,000 × (106.70 / 100) × (100 - 2 / 100) = 8,36,52,800 Second Leg (Repayment at Maturity) = Start Proceed × (1 + Repo rate × (No. of days / 360)) = 8,36,52,800 × (1 + 0.0565 × (14 / 360)) = 8,38,36,604
Topics: Security Valuation
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