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Financial Risk Manager Part 2

Financial Risk Manager Part 2

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Consider a scenario where a bank is participating in a repurchase agreement (repo) transaction involving a bond that has a notional value of 100,000 USD. This bond pays a semi-annual coupon rate of 6% and is currently priced at 97 USD in the market. The terms of the repo transaction include a repo haircut of 10% and a repo interest rate of 4%. The duration of the repo agreement is set to terminate in 6 months. Calculate the bank's anticipated cash outflow at the end of the repo transaction.

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