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Posting collateral and requiring collateral haircuts are important risk mitigants in repo transactions with respect to which of the following risks? Posting Collateral Collateral haircuts

A) Market risk Interest rate risk

B) Credit risk Interest rate risk

C) Market risk Liquidity risk

D) Credit risk Liquidity risk

答案：D

解析： Collateral is an important counterparty credit risk mitigant. Repo loans are secured by collateral, which makes the lender much less vulnerable to a decline in the creditworthiness of the borrower. Collateral haircuts are important in mitigating liquidity risk in repo transactions. The lender is exposed to the risk of the value of the collateral declining during the repo term, which can be mitigated by requiring (higher) haircut values, that is, discounts to the value of the posted collateral.

At initiation of a repurchase agreement (repo), counterparty Asells a security to counterparty B for settlement on June 1st, 2015 at an invoice price of USD 180 million.At the same time, counterpartyAagrees to repurchase the security three months later, for settlement on September 1st, 2015, at a purchase price equal to the original invoice price plus interest at a repo rate of 0.90%. Using the actual/360 convention of most money market instruments, which is nearest to the repurchase price?

A) $414,000

B) $180,000,000

C) $180,414,000

D) $181,620,000

答案：C

解析：180,000,000 × (1 + 0.0090 × 92/360) = $180,414,000

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