Questions tagged [repo-rate]
The repo-rate tag has no usage guidance.
18 questions
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Difference between implied repo and term repo always negative?
From The Treasury Bond Basis:
A somewhat better guide to finding the cheapest to deliver is the
spread or difference between a bond's implied repo rate and its own
term repo rate. The difference, ...
- 241
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Intuition for why it's called "implied repo rate"?
I'm having trouble understanding, conceptually, why the rate of return for buying a bond, shorting the future, and then delivering the bond into the future is called the "implied repo rate". ...
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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 ...
- 41
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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 ...
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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 ...
- 340
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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 ...
- 340
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What are the practical costs of repo for a bond trading desk?
I appreciate what a repo/reverse repo transaction is, but I'm struggling to understand exactly how the cost of funding trades via repo works from a practical point of view for a bond trader.
Current ...
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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 ...
- 361
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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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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 ...
- 103
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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 $...
- 912
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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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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?
- 171
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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:
...
- 181
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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 ...
- 181
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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 ...
- 1,770
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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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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 ...
- 1,219