Repos and buy/sell-backs

Classic repos and reverse repos from the cash lender's or borrower's side, sell/buy-backs and buy/sell-backs with coupons inside the term returned through the forward price, and tri-party repos on a basket of collateral with haircuts per line and an agent fee; repurchase amount, accrued interest, par repo rate, PV01, exposure and the margin call.

Inputs

TradeSide

Cash (0: from the collateral)

StartEnd

Repo rate%

Haircut%

Collateral nominal

Dirty price at start

Dirty price today

Bond coupon%

CouponsBond maturityCurrencyCurve

Curve: flat rate% cc

Results

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Methodology

Conventions

Cash against collateral, repaid with simple interest at the repo rate on the currency's money market day count.
Buy/sell-backs: coupons paid inside the term go to the buyer and are netted from the forward price with interest at the repo rate.
Margin: cash plus accrued interest against the collateral after haircuts; tri-party baskets haircut each item.

References

ICMA GMRA (2011)
Choudhry (2010), The Repo Handbook

Formulas

Repurchase: C(1 + rτ) − Σ cᵢ(1 + rτᵢ)
Exposure: C + accrued − Σ MVⱼ(1 − hⱼ)