Questions tagged [repo]

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4
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0answers
87 views

Why did the month-end (ir)regularities in Effective Federal Funds Rate (EFFR) disappear in 2018?

The Federal Funds rate has exhibited regular drops at month ends since beginning of 2015. (Source: FRED https://fred.stlouisfed.org/series/EFFR) Some studies (e.g., https://www.mdpi.com/1911-8074/14/...
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0answers
52 views

When I borrow a bond, do I pay owner the coupons?

Or do I get to keep them for the duration of the repo transaction?
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0answers
20 views

Derivative balance sheet data for Eurozone banks

As a follow-up to my recent answer, is there a similar banking regulatory form such as USA’s FR Y-9C or FFIEC 101 at Eurozone level? National data level would be useful too. Data should be reported at ...
7
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1answer
376 views

Why are T-bills yielding lower than the reverse repo rate?

With another US debt ceiling debacle looming, I just realized something that runs against my intuition: Many of the Treasury bills maturing in 6 months (with the exception of the ones maturing near ...
3
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2answers
273 views

Why are MMFs willing to lend at 0% through reverse repo?

The reverse repo (RRP) rate is at/near zero lately, but RRP usage is still quite high. Why are people (money market funds?) willing to lend at 0% in the repo market? Is it because of regulatory ...
0
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0answers
30 views

Reverse Repo agreement unrealized gain/loss calc

trying to value the unrealized gain/loss on reverse repo agreement and can not back into this - the unrealized gain is \$153,000. Repo trade was done on Oct 3, 2018 for \$5.1M (CONSOLIDATION of trades ...
1
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3answers
310 views

Carry and Pull to Par of a bond

I am of the understanding the true carry of a bond is yield - repo rate. And not simply coupon + repo cost because this doesn’t ...
0
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1answer
55 views

Can both good buying and good selling cause a bond to go special on repo?

A bond is known to go special when its repo rate gets particularly low relative to the GC (General Collateral) repo rate. In my mind, this can be caused by two scenarios: 1. Institutional interest to ...
1
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1answer
131 views

China carry trade, borrow in the repo market and invest in govies

"Excess funds in the banking system had juiced leverage in financial markets by driving China’s overnight repo rate to a record low of 0.59% in December. The cheap short-term financing enabled ...
2
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1answer
110 views

Funding foreign asset purchase with repo

https://www.bis.org/publ/qtrpdf/r_qt1709e.pdf extract from page 38 An investor wants to buy a foreign currency security with domestic cash but does not wish to run FX risk. Then, three transactions ...
2
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1answer
105 views

Swap Spread Arbitrage & Rates/STIRT Vol

Concerning the classic swap spread arbitrage trade where you (as far as I understand it): Buy a treasury and borrow in GC repo, paying repo rate and funding the haircut in short term unsecured ...
2
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1answer
100 views

Operational aspects of repo funding trades

It is widely known that repurchase agreements ("repos") are regularly used by market participants as a mean to fund long/short positions in a certain asset, in particular for derivative ...
1
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1answer
102 views

Negative Carry when Yield Curve is Downward Sloping

I am currently reading "The Treasury Bond Basis", and have a question regarding negative carry. The book states that the carry of a vanilla treasury bond will be negative when the yield ...
1
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2answers
333 views

Repo sensitivity

Hope u're all doing well in this sanitary crisis. I have a question concerning repo sensitivity of basket/index derivatives regarding market making for instance. The argument to compute such a repo ...
0
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1answer
73 views

Calculate borrow/loan or repo rate

I was given this question on interview and couldn't find an answer in time (it is a software developer job in a place that deals with options). Can someone explain how to do this or point me to a good ...
1
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1answer
317 views

Valuation of a REPO

I thought I had a pretty good grasp on how to calculate this but I'm getting questioned on it and just want to be sure I'm not getting it mixed up. In my notation you enter into the repo contract at $...
0
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2answers
66 views

Bond price and credit exposure in Repo agreement

The answer is A. Could someone explain to me the reason that higher bond price reduces the credit exposure to the bank? Why is B incorrect?
4
votes
1answer
583 views

Repo vs Reverse Repo terminology

This might be a basic question. But I am still confused about the terms. Please kindly suggest about my understanding of repo vs reverse repo and repo rate vs reverse repo rate with their applications ...
0
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0answers
42 views

Equity finance and primary brokerage and their products

I was in the project working on the asset classes known as EF/PB, which is short for Equity Fiance / Primary brokerage, I understand that Equity finance is more or less about securities lending, and ...
1
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0answers
54 views

How do Treasury bill/coupon settlements affect reserves?

Back in September when the repo market exploded, causes were attributed to corporate tax payments and T-bill settlements. Was hoping someone could help elaborate further on the mechanism as to how T-...
2
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1answer
178 views

Repo- A few questions [closed]

A few questions which could be related to each other, to help me gain familiarity with repo. These are accompanied with my guess. If anyone can explain in layman's terms (this is new to me). 1) I ...