In a simple case in which there is no wrong-way risk, the cr…
In a simple case in which there is no wrong-way risk, the credit value adjustment (CVA) on a derivatives position with expected potential exposure €10 million to a counterparty with a credit spread of 200 basis points per year would be approximately:
Read DetailsSuppose that we go short €100 million nominal of the 0.5% Bu…
Suppose that we go short €100 million nominal of the 0.5% Bund maturing 15 February 2025 (the 10-year German government benchmark bond) for settlement date 6 March 2015. The bond is trading at a clean price of 101.258 and has accrued interest of 0.02602740 per 100 nominal. We reverse in the bond using repo with a term of 14 days at a repo rate of 0.020%. What will be the repurchase price in the repo, assuming that no initial margin is applied to the collateral?
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