Enter Repo Inputs
This form uses a responsive grid: three columns on large screens, two on medium screens, and one on mobile.
Example Data Table
This sample table shows how different repo assumptions affect funding proceeds and annualized cost.
| Scenario | Collateral Value | Haircut | Repo Rate | Term | Cash Proceeds | Interest Due |
|---|---|---|---|---|---|---|
| Treasury Collateral | 1,000,000 | 2.00% | 5.10% | 7 days | 980,000.00 | 971.83 |
| Corporate Bond Repo | 1,000,000 | 5.00% | 5.75% | 14 days | 950,000.00 | 2,123.61 |
| Equity Basket Repo | 1,000,000 | 10.00% | 6.40% | 30 days | 900,000.00 | 4,800.00 |
Formula Used
Haircut Amount = Collateral Value × (Haircut % ÷ 100)
Cash Proceeds = Collateral Value − Haircut Amount
Interest Due = Cash Proceeds × (Repo Rate % ÷ 100) × (Term Days ÷ Day Count Basis)
Net Initial Cash = Cash Proceeds − Upfront Fees
Final Repurchase Payment = Cash Proceeds + Interest Due + Closing Fees
Net Carry Cost = Interest Due + Upfront Fees + Closing Fees − Coupon Income
Effective Annual Cost % = (Net Carry Cost ÷ Net Initial Cash) × (Day Count Basis ÷ Term Days) × 100
How to Use This Calculator
- Enter the market value of collateral being pledged.
- Set the haircut percentage applied by the lender.
- Input the agreed annual repo rate and the contract term in days.
- Choose the day count basis used in your market convention.
- Add any upfront and closing fees that affect financing cost.
- Include coupon income if you expect income during the repo term.
- Press the calculate button to display the result above the form.
- Download the computed figures as CSV or save the report as PDF.
FAQs
1. What does the repo rate represent?
The repo rate is the annualized financing rate charged on cash borrowed against pledged collateral. It determines the interest owed for the repo term.
2. Why does haircut matter?
Haircut reduces the cash advanced relative to collateral value. A larger haircut means less borrowing capacity and a lower loan-to-collateral percentage.
3. Why use 360 or 365 day basis?
Different markets annualize short-term interest using different conventions. The selected basis changes the interest calculation and effective annual cost.
4. What is net initial cash?
Net initial cash is the actual cash available after subtracting upfront fees from repo proceeds. It reflects usable liquidity at trade start.
5. How is final repurchase payment calculated?
The final repurchase payment equals original cash proceeds plus accrued interest and any closing fees due at maturity.
6. Can coupon income reduce financing cost?
Yes. If coupon income is received during the term, it offsets part of the financing expense and reduces net carry cost.
7. Is this useful for scenario analysis?
Yes. Change haircut, term, fees, or repo rate to compare funding structures and see how costs shift under different assumptions.
8. Does this calculator replace legal trade documentation?
No. It is a decision-support tool for estimating economics. Confirm trade terms with your agreement, counterparty, and operational process.