# why the implied repo rate is higher when choosing the last delivery date to deliver rather than first delivery date

there must be something very basic that I did not get....

I am reading a book. And it says the implied repo rate is defined as IRR = ( invoice price / cash bond price - 1) * 360/ n, where is the number of days to the delivery date.. and this book also says the last delivery date (when n is bigger) implies a higher IRR...

The statement is only true when IRR is negative, but is this always the case?

• In which book did you read this? – Bob Jansen Jul 8 '18 at 8:51

It's because $Invoice Price$ in your equation is the Dirty Invoice Price, meaning $$Invoice Price= Futures Price*Conversion Factor + Accrued Interest$$. The Accrued Interest grows as the delivery date lengthens, making the IRR typically more positive at month end in most situations.