Conventions

Day-count convention

In calculating the repurchase price due at maturity based on the market clearing repo rate, we follow an Actual/360 day count convention.

$$\text{DayCountFactor} = \frac{\text{Days}(\text{AuctionDate},\text{ MaturityDate})}{360}$$

Repurchase Price

The Repurchase Price, given the Purchase Price and any given repo rate is calculated as follows:

ReppurchasePrice=PurchasePrice(1+RepoRate*DayCountFactor)