The tom/next GC repo rate for German government bonds is quoted to you at 1.75-80%. As collateral, you sell EUR 10,000,000.00 million nominal of the 5.25% Bund July 2012, which is worth EUR 11,260,000.00. If you have to give an initial margin of 2%, the Repurchase Price is:
A) EUR 11,035,336.41
B) EUR 11,035,351.74
C) EUR 11,039,752.32
D) EUR 11,039,767.65

Question

Quizplus · Accepted Answer

The repurchase price is calculated by adjusting the collateral value for the initial margin and applying the repo rate. The initial margin is 2% of EUR 11,260,000.00, which is EUR 225,200.00. The adjusted collateral value is EUR 11,034,800.00. The repo rate is 1.75%, so the repurchase price is EUR 11,034,800.00 * (1 + (1.75%/360)), which equals EUR 11,039,767.65.

The Tom/next GC Repo Rate for German Government Bonds Is