Questions tagged [repo]
The repo tag has no usage guidance.
32
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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 ...
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58
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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 ...
- 27
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148
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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 ...
- 11
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1
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374
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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 ...
- 31
2
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1
answer
1k
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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 ...
- 31
3
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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 ...
- 8,149
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70
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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 ...
- 113
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2
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649
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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. ...
- 166
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177
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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 ...
- 1
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95
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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 ...
- 127
4
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1
answer
1k
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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 ...
- 97
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582
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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 ...
- 11
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1
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135
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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, ...
- 111
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256
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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/...
- 340
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189
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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?
