5 votes
Accepted

Intuition for why it's called "implied repo rate"?

In a reverse repo transaction, one sells an asset and agrees to buy it back at an agreed upon price. This is in effect a securitized borrowing of money. The difference between the price the asset is ...
AlRacoon's user avatar
  • 6,492
4 votes
Accepted

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

"in general, why would anyone be willing to enter a reverse repo at 0%?" There's a long explanation at the site Liquidity Matters in their piece "A Band-Aid Known as Reverse Repo", ...
user42108's user avatar
  • 2,252
4 votes
Accepted

Calculate borrow/loan or repo rate

I believe, they are testing two things here: That you know the Put-Call Parity (with dividends) That you can successfully rearrange an equation The Put-Call Parity with continuously compounded ...
jmh's user avatar
  • 138
4 votes
Accepted

Repo vs Reverse Repo terminology

A repo transaction and a reverse repo transaction are opposite sides of the same transaction. A capital market participant enters into a "repo" with a counterparty, who is in a "reverse repo". A ...
AlRacoon's user avatar
  • 6,492
3 votes
Accepted

Implied repo rate calculation from Fabozzi

We are going to this operation using borrowed money (via repo). How much capital do you need to do this? How many dollars for how many years? At first thought you need to raise $(P+A_b$) dollars (the ...
nbbo2's user avatar
  • 11.3k
3 votes
Accepted

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

Yes, it is definitely because of market segmentation. On one hand there are many funds, central banks, etc. who can buy treasury bills and cannot engage in repos. On the other hand, entities which ...
Si Chen's user avatar
  • 421
2 votes
Accepted

Bond price and credit exposure in Repo agreement

A: The hedge fund is being lent bonds as collateral for the cash they are giving out. So, the net exposure to the bank is (cash out minus value of bonds being posted). Hence the answer. B: ...
dm63's user avatar
  • 17.1k
2 votes

Repo/Fwd/Spot/Bond Futures

This is my general approach for analysing repo specific bonds, or bonds that gone "special" on repo. The Spot Price Suppose firstly that we have 3 bonds, a 1y, 2y and 5y with different ...
Attack68's user avatar
  • 10.2k
2 votes

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

A slightly different point of view is provided by Quentin Vandeweyer, of the U. of Chicago: There is something odd in today’s money markets. T-bill and repo rates are negatives and the Fed’s ON repo ...
nbbo2's user avatar
  • 11.3k
2 votes
Accepted

Valuation of a REPO

As you have been advised, the value of the bond at $t_1$ is not relevant. This is because in any repo, the amount of bonds posted changes on a daily basis to maintain the haircut at the correct ...
dm63's user avatar
  • 17.1k
2 votes
Accepted

What are the practical costs of repo for a bond trading desk?

Yes. Repo trades are funding source for long bond, while reverse repo trades are security borrowing source for short bond. Issues 1. In reality, you cannot just fund your long bond A by repo trade ...
xing gao's user avatar
1 vote

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

You are right that for any carry trade to be profitable, cost of funding or leverage cost using repo has to be lower than the investment yields (in this case yields on sovereign bonds). However, for a ...
toing's user avatar
  • 233
1 vote

Repo sensitivity

Here are a few points that might help you get a better sense of all the bells and whistles in your question: 1) Structure of Sell Side Desks From a Sell Side perspective (Market Maker) its common to ...
Mercadian's user avatar
1 vote

Repo sensitivity

Borrowing from another department or borrowing from the market face the same issues: You have to get capital from somewhere; raising that capital has a cost; and, other uses of that capital may offer ...
kurtosis's user avatar
  • 2,900
1 vote

Bond Repurchase Agreement (bond repo) spread

No, it is not published. The best you can do is call a few dealers and get competitive rates. As you might know there has been a significant deleveraging in the last few days, involving liquidations ...
dm63's user avatar
  • 17.1k
1 vote

Delta one trading: dependence on repo rate?

For an individual stock, the repo rate IS the interest rate r contained in the formula for the forward price. For example, suppose you are trying to replicate a forward contract by holding the stock. ...
dm63's user avatar
  • 17.1k

Only top scored, non community-wiki answers of a minimum length are eligible