The two-week repo rate br the 5.25% bund 2007 is quoted to you at 3.33-38%. You agree to reverse in bonds worth EUR 266,125,000 with no initial margin. You would earn repo interest ot
A) EUR 349,806
B) EUR 344,632
C) EUR 319,315
D) EUR 324,110

Question

Quizplus · Accepted Answer

To calculate the repo interest earned, we need to first calculate the interest rate for the two-week repo.

We can do this by taking the midpoint of the quoted rate:

(3.33% + 3.38%) / 2 = 3.355%

Next, we need to calculate the interest earned:

EUR 266,125,000 * (3.355% / 360 * 14) = EUR 344,632

Therefore, the answer is B, EUR 344,632.

The Two-Week Repo Rate Br the 5