REPO

Anatomy of REPO -

Security Details
Security Name (GOI - Govt of India)	9.40% GOI 2012
Coupon Rate (per annum)	9.40%
Maturity Date	11-Sep-12
Last Coupon Date	11-Sep-10
Next Coupon Date	11-Mar-11

1)

REPO Details
Face Value (INR)	500,000,000
Repo Rate (% per annum)	5.75%
Repo Tenor (Days)	7
Clean Price (for Face value of 100)	103.83
Trade Date	23-Oct-10
Value after (Days)	1
Settlement Date (Trade Date + Value after days)	24-Oct-10

2)

Principal amount received by borrower on :	24-Oct-10
Clean Price per Bond	103.83
Last Coupan till date (Number of Days)	43
Add:Accrued Interest per Bond	1.1228
Loan proceeds per bond - DIRTY PRICE	104.9528
Total Loan proceeds (Rs)	524,763,889
Total Interest Paid	578,677.99

· Here, Number of days calculated in Last coupon till date is as follows – From Sep 11 to Sep 30 = 20 days & From Oct 1 to Oct 23 = 23 Days.

· In accrued interest per bond, days as per market convention for Government bond = 12*30 = 360 Days

· Accrued Interest = Coupon Rate * Last coupon till date * FV / 360

· Dirty Price = Clean Price + Loan Proceeds

· Total Loan proceeds (INR) = 500,000*104.9528/100

· Total Interest Paid = 5.75%*7(days)*total loan proceeds/365

3)

Transaction Reversal on Due Date
Transaction due date	31-Oct-10
Total repayment proceeds (Rs)	525,342,567
Repayment proceeds per bond	105.07
Last coupan Till date (Number of Days)	50
Less : Accrued Interest per bond	1.31
Reversal price per bond - Derived Figure = CLEAN PRICE	103.76

· Transaction Due Date = Settlement Date + Repo Tenor

· Total Repayment = Total Loan Proceeds + Total Interest Paid

· Repayment proceeds per bond = Total Repayment*FV per Bond (100) / Total FV of bonds (500,000,000)

· Last coupon till date = 43+7 = 50 days

· Accrued Interest (for 360 days) = Coupon Rate * 50(days) *FV (100) / 360

· Reversal price per bond = Repayment proceeds per bond – Accrued Interest