Frido, That was very interesting!
I got a vague sense from the link that these so-called negative equity repo rates are always "implied" rates. Or, are there actual transactions in which the investment bank lends out stocks and pays the borrower for the privilege?
Also, is the (implied or otherwise) equity repo rate on SPX or SPY currently negative?
Where can you monitor such rates?
Finally, can somebody post a chart for the SPX equity repo rates over the last two years: Jan 2018 to date? (This last one would be *most* appreciated!)
I think they could be actual rates. They can go negative because cost of balance sheet of banks may be included in the repo rate - so it might be more expensive holding them than lending them against negative rate. I recall trying to understand negative repo rates when I was still trading TRS', and based on discussions with my coverage then I got a sense that bank balance sheet costs were factored into it. But don't pin me down on it.
Also, although not mentioned in the particular link I posted, cross-currency basis play a role as well in Compo TRS', for instance Compo to EUR MSCI World USD net TR would have a ccy basis in it, and I think that goes into the equity repo as well.
All in all a very interesting topic but AFAIK I'm afraid you can't find this data readily on BBG, hence I can't post a chart of the YTD *long term* equity repo on say SPX, and like you would be interested in it as well. But I wonder whether with a combination of dividend swap data on SPX + futures on SPX you could back out the short term implied repo?
I think trading long term equity repo is not a crowded trade yet, and when I was still trading them I did see some true arbitrage opportunities, but that's an aside.