Description

Calculate forward prices and termination proceeds for sell/buy-back repo transactions with this professional Excel template. Perfect for fixed income traders, repo desk analysts, and finance students learning the mechanics of securities financing.

What You Can Calculate

This template computes all key values for a sell/buy-back transaction:

• Dirty Start Price — Settlement price including accrued interest
• Nominal Amount — Face value of bonds delivered against the cash principal
• Repo Interest — Simple interest earned over the repo term
• Termination Money — Total cash paid to repurchase the bonds
• Forward Dirty & Clean Prices — Repurchase prices with the implicit repo rate embedded

Required Inputs

Enter six values to calculate your results:

• Principal — Cash amount received at trade inception ($1,000 to $1B)
• Term — Days from trade date to termination (1-365)
• Repo Rate — Annualized rate as a whole percentage (e.g., 5 for 5%)
• Clean Price — Quoted bond price per 100 face value
• Accrued Interest — Accrued per 100 face value at trade date
• Day Count — Actual/360 (USD/EUR) or Actual/365 (GBP)

Methodology

The template uses standard repo market conventions:

• Nominal = Principal / (Dirty Price / 100)
• Repo Interest = Principal × Rate × (Days / Basis)
• Forward Price = (Termination Money / Nominal) × 100

In a sell/buy-back, the repo rate is implicit — embedded in the forward price differential rather than stated separately. The economic outcome is identical to classic repo.

Assumptions & Limitations

• No coupon payment during the repo term (simplified model)
• No initial margin or haircut applied
• Flat repo rate for the full term
• Forward accrued equals start accrued (no coupon accrual)