On September 21st, 2018 the 5-year GoC bond with a coupon of 2% due September 1,2023 was quoted at a clean price of 98.461. A bond dealer purchased the bond for settlement on September 25th 2018. He would also like to finance the bond trade for 1 day (so repo the bond out for 1 day). The repo settlement date is September 26th, 2018. The repo rate for a term of 1 day is 1.479%. There is no ‘hair cut’ on this transaction. Using this information, what is the ‘all-in’ or ‘term’ money borrowed by this dealer on September 26th, 2018? Be specific as it relates to all the components of the trade (accrued interest, repo term interest, total settlement value). Show all of your work and assume actual/365 day count convention.
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