How is repo rate risk hedged? And is repo rate dv01 the usual greek for this?
i am talking about repo risk in a derivative on a bond
Repo risk is not always perfectly linked to OIS rates, although highly correlated. Therefore in large markets (say US) get a different repo curve as GC-OIS spread risk is material. This has led to repo rate futures: http://www.marketswiki.com/wiki/GCF_Repo_Index_futures http://www.dtcc.com/charts/dtcc-gcf-repo-index Would also note that repo rates from Tresury/MBS/Agency will differ and therefore have different contracts and risk buckets.