A treasurer wants to borrow USD for 2 months, using his holding of CHF 20 million bonds in a cross-currency repo as follows:
|
Term: |
5 July (spot) to 5 September |
|
2-month USD repo rate: |
4.80% |
|
Haircut: |
5% |
|
Clean price of bond: |
98.00 |
|
Coupon rate on bond: |
5% |
|
Previous coupon date: |
21 March |
|
Accrual basis: |
30/360 |
|
Spot USD/CHF: |
1.4735 |
- How many USD does the treasurer receive on 5 July?
b. How many USD does he repay on 5 September?