Explanation:
The correct answer is D.
The financing value of the bond can be determined by finding its value for the period that it trades at the special spread.
Number of days it is traded at the special spread = 183 days (From March 31st to September 30th)
Financing value = $100 \times \frac{183}{360} \times 0.30% = ` per $100
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Q.2732 Calculate the financing value per $100 market value of an on-the-run bond if it was issued on March 31st and trades at a special spread of 0.30%. The bond is expected to trade at GC rates after September 30th. Use the actual/360 day convention.
A
$0.100
B
$0.187
C
$0.125
D
$0.153
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