CoachThe repo rate is the simple interest rate, actual/360 in dollars, implied by the difference between the repurchase and the sale price. The side that sells the collateral and borrows cash does a repo; the side that lends cash and receives collateral does a reverse repo. An overnight repo matures on the next business day; a term repo has a fixed longer maturity; an open repo rolls each day until one side ends it.
Exemplos
Example 5.2 (Financing the ten-year note)
A dealer buys USD 100 million of the ten-year note of Chapter 3 at a dirty price of 100.870911 and finances it in repo for 30 days at 3.90%. With an illustrative 2% haircut, the lender pays and receives 321 274 of interest at the end; the dealer funds the other 2% from its own capital. Over the 30 days the note accrues USD 346 467 of coupon.