Questions tagged [repo-rate]

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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 ...
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1answer
36 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 ...
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1answer
49 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 $...
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1answer
63 views

Bond Repurchase Agreement (bond repo) spread

I am a capital market analyst, and I am responsible for margin call and repo roll of our MBS bond repurchase agreements. Our bond repo are normally charged a rate of Libor(1 month) + 150-180 basis ...
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2answers
36 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?
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0answers
43 views

CDS basis trade using Risk free rate

The CDS spread pricing model uses “Risk free rate” to discount the PV and the Z-spread also uses “Risk free rate” to compute the spread. But the given example uses repo rate that comparing to Libor: ...
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1answer
188 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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1answer
238 views

Implied repo rate calculation from Fabozzi

I'm looking at the chapter Implied repo rate in Fabozzi's Fixed Income Handbook. There it is defined as the return received by going long the basis, i.e. buying the cash bond (financing it with the ...
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0answers
47 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-...
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2answers
201 views

Delta one trading: dependence on repo rate?

I have heard a delta-one trader mentioning the dependency of its activity on interest rates, dividend yields and repo rates. While I can understand the exposure he has to interest rates and dividend ...