Explanation:
We apply the actual/360 convention popular for most money market instruments. There are using 181 days between January 1st and July 1st.
Repurchase Price
= Principal + (Principal × Repo Rate × )
Repurchase Price
= $350.25 + (350.25 \times 0.26% \times \frac{181}{360}) = `
Note: Repurchase agreements use the actual/360 day count convention. They are classified as money market instruments in the same category as T-bills.
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Q.4118 A counterparty K sells a €300 million face amount of DBR 4’s of June 10th, 2016, to a counterparty W, for settlement on January 1st, 2015, at an invoice price of €350.25 million. At the same time, counterparty X decides to rebuy the €300 million face amount six months later, for settlement on July 1st, 2015, at a purchase rate equal to the invoice price with interest at a repo rate of 0.26%. Compute the repurchase price.
A
350.16 million
B
350.56 million
C
350.71 million
D
350.85 million
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