Implied repo rate= [ (full cost of underlying/futures invoice price) - 1 ] x 360/actual To confirm my understanding, let's say there are some 30yr Treasury bond futures expiring on March 20, 2020 (for example, ZB). Implied Repo Rate (IRR) is the rate of return that a seller of a futures contract can earn by buying the underlying asset and then delivering the underlying asset at the settlement date. This is applicable for cash-and-carry trades also. Implied repo rate= [ (full cost of underlying/futures invoice price) -1 ] x 360/actual Would implied repo rate be calculated as the following expression?: [ ($100.84 / $131.00) - 1 ] x 360/53 = -1.5638 Implied Repo Rate. The rate which results from a cash/futures arbitrage. More specifically, it is the rate of return that an investor can earn by simultaneously selling a bond futures contract or bond forward contract and buying the underlying bond of equal amount using borrowed money. Chapter3 BASIS TRADING AND THE IMPLIED REPO RATE In this chapter we look in more detail at some fundamentals behind the basis, including the factors that drive its behaviour, … - Selection from The Futures Bond Basis, Second Edition [Book]
bond repo market and futures market conventions regarding settlement replaces the general collateral rate as the marginal implied funding rate as the risk of. Modified duration of a futures contract. CTD. - Name of the cheapest-to-deliver bond. IREPO. - Implied REPO rate. CTDPRICE. - Price of the cheapest-to-deliver
Cheapest to Deliver - CTD: Cheapest to deliver (CTD) in a futures contract is the cheapest security that can be delivered to the long position to satisfy the contract specifications and is
ImpliedRepo = tfutimprepo(ReinvestData, Price, QtdFutPrice, Settle, MatFut, ConvFactor, CouponRate, Maturity) computes the implied repo rate that prevents arbitrage of Treasury bond futures, given the clean price at the settlement and delivery dates. Implied repo rate= [ (full cost of underlying/futures invoice price) - 1 ] x 360/actual To confirm my understanding, let's say there are some 30yr Treasury bond futures expiring on March 20, 2020 (for example, ZB). Implied Repo Rate (IRR) is the rate of return that a seller of a futures contract can earn by buying the underlying asset and then delivering the underlying asset at the settlement date. This is applicable for cash-and-carry trades also. Implied repo rate= [ (full cost of underlying/futures invoice price) -1 ] x 360/actual Would implied repo rate be calculated as the following expression?: [ ($100.84 / $131.00) - 1 ] x 360/53 = -1.5638 Implied Repo Rate. The rate which results from a cash/futures arbitrage. More specifically, it is the rate of return that an investor can earn by simultaneously selling a bond futures contract or bond forward contract and buying the underlying bond of equal amount using borrowed money. Chapter3 BASIS TRADING AND THE IMPLIED REPO RATE In this chapter we look in more detail at some fundamentals behind the basis, including the factors that drive its behaviour, … - Selection from The Futures Bond Basis, Second Edition [Book]
Implied Repo Rate (IRR) is the rate of return that a seller of a futures contract can earn by buying the underlying asset and then delivering the underlying asset at the settlement date. This is applicable for cash-and-carry trades also. Implied repo rate= [ (full cost of underlying/futures invoice price) -1 ] x 360/actual Would implied repo rate be calculated as the following expression?: [ ($100.84 / $131.00) - 1 ] x 360/53 = -1.5638 Implied Repo Rate. The rate which results from a cash/futures arbitrage. More specifically, it is the rate of return that an investor can earn by simultaneously selling a bond futures contract or bond forward contract and buying the underlying bond of equal amount using borrowed money. Chapter3 BASIS TRADING AND THE IMPLIED REPO RATE In this chapter we look in more detail at some fundamentals behind the basis, including the factors that drive its behaviour, … - Selection from The Futures Bond Basis, Second Edition [Book] Please re,ember the implied repo rate is calculate with respect to the relationship between the futures contract and one of the basket of bonds which can be deliverable. Having said that, instead of my retyping it this draws you through an exa,-le step-by-step.