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Questions tagged [repo]

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Securities lending vs repo transactions

I have recently started on a repo/SBL trading desk and I am struggling to understand some theory. Normally, in a secured hard-to-borrow secured transaction, I pledge general collateral, receive the ...
jasonsmyth13's user avatar
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57 views

Repo Partial termination cashflows

Let's take the example where I buy a Repo with a notional of 10000 EUR and I agree with my counterparty to partially terminate the deal, decreasing the notional to 8000 EUR instead of 10000 EUR. The ...
Olivier's user avatar
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1 vote
1 answer
113 views

Repo Accounting for financing accruals

I have a question on EUROZONE Bonds and in particular repo accrual and bond accrual. On a Thursday if we are Short EUROZONE bonds (which have a T+2 settlement lag) in a portfolio (and assuming no move ...
V S's user avatar
  • 11
0 votes
1 answer
334 views

Repo/Fwd/Spot/Bond Futures

I have a slight confusion with regards to what price the repo rate impacts. Assume the repo for a particular bond richens. My current thought process is, spot should also richen (as now that bond ...
user67825's user avatar
2 votes
1 answer
1k views

Repo impact on Bond Future Basis

I wanted to check my understanding on something. Say bond A (deliverable, but not CTD) goes special (from GC) at some point. What can we say about how its basis should behave? A. Firstly the bond ...
user67825's user avatar
3 votes
0 answers
89 views

Repo/SL rates historical data

Is there any data source for historical repo and/or securities lending (SL) rates on different asset classes, or indices which seek to measure such costs? I am not looking for granular data at ...
Daneel Olivaw's user avatar
0 votes
1 answer
67 views

Question about 'reversing in' in repo markets [closed]

In Stigum's money market book, in the chapter on repo, he talks about 'reversing in a security'. Then later on he quotes a portfolio manager sayin 'I reverse out securities to dealers, but I never ...
MathStudent's user avatar
4 votes
2 answers
617 views

Implied repo rate and slope of the yield curve

In page 34 of "Treasury Bond Basis" (Third Edition) by Burghardt et al, it says: If the yield curve has a positive slope, carry for someone who is long bonds and short futures is positive. ...
user34829's user avatar
  • 166
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0 answers
157 views

Balance Sheet Value of a Repo

I am relatively new to repos and I am trying to find out whether there is a standard practice for calculating balance sheet value of a repo. Are there any regulations that prescribe how banks shall ...
Platon's user avatar
  • 1
0 votes
0 answers
88 views

Reverse Repo and Yield to maturity

there is one question I got wrong that I am confused about and that is the following : If you believe that yield will increase in the future which of the following should you choose? the two ...
XY0's user avatar
  • 127
4 votes
1 answer
1k views

Is repo-ing out a bond the same as shorting the bond?

In fixed income, or in any other products for that matter, borrowing an asset is essentially shorting the asset. As a result, you would see hard-to-borrow names where the borrow rates are much higher ...
bng's user avatar
  • 97
1 vote
0 answers
532 views

Repo P&L - How to calculate

Total newbie here, I am struggling to calculate the correct repo PL on a transaction. Basically I have a GBP Bond which I repo out as below: UKT 2.75 09/24 (EK1093963) so (41,395,983) @ 103.57 and I ...
Ronnie36's user avatar
0 votes
1 answer
121 views

How does Repo enable zero cost leverage?

There have been numerous headlines the past two years where we learn that quant funds are engaging in algorithmic basis trades (aka relative value trades) between Spot Treasuries and Treasury Futures, ...
Kiers's user avatar
  • 111
5 votes
0 answers
242 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/...
GZ-'s user avatar
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0 answers
157 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?
A.L. Verminburger's user avatar
8 votes
1 answer
780 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 ...
GZ-'s user avatar
  • 340
3 votes
2 answers
325 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 ...
GZ-'s user avatar
  • 340
5 votes
3 answers
2k 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 ...
anon1234's user avatar
0 votes
1 answer
163 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 ...
quanty's user avatar
  • 439
1 vote
1 answer
178 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 ...
Student's user avatar
  • 361
2 votes
1 answer
164 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 ...
Student's user avatar
  • 361
2 votes
1 answer
336 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 ...
CreditNecromancer's user avatar
2 votes
1 answer
188 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 ...
Daneel Olivaw's user avatar
2 votes
1 answer
541 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 ...
basisnerd123's user avatar
1 vote
2 answers
1k 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 ...
Baptiste B.'s user avatar
0 votes
1 answer
218 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 ...
Roman Goyenko's user avatar
1 vote
1 answer
1k 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 $...
Oscar's user avatar
  • 902
0 votes
2 answers
144 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?
Betty's user avatar
  • 171
4 votes
1 answer
829 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 ...
user506602's user avatar
0 votes
0 answers
58 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 ...
J.E.Y's user avatar
  • 143
1 vote
0 answers
69 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-...
Zen'z's user avatar
  • 41
2 votes
1 answer
269 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 ...
DKK's user avatar
  • 250