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equanimity
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Posts: 27
Joined: April 30th, 2013, 2:54 am

Trading the Implied Repo Rate

August 3rd, 2017, 4:56 pm

As many of us probably know, the implied repo rate is used to determine the Cheapest-to-Deliver security into a futures contract.  But, is it possible to actually trade the implied repo rate such that you trade the cash bond and the futures contract (without actually executing the legs)?  Thanks!
 
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Martinghoul
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Joined: July 18th, 2006, 5:49 am

Re: Trading the Implied Repo Rate

August 4th, 2017, 10:23 am

I am not sure what you're asking here, really, but when you do a basis trade, you're implicitly trading the implied repo rate, sorta (tautology intended).  There can be no other way of trading it, really, and that's just by construction.
 
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aavanian
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Joined: July 14th, 2002, 3:00 am

Re: Trading the Implied Repo Rate

August 4th, 2017, 1:31 pm

well, it's uncommon but you can probably do a term actual repo but the rate at which this trade will happen will be different as balance sheet and capital usage are different. Also, in practice, ppl do open repo and term repo will command wider bid/ask.

Also this is obviously an OTC trade (under ISDA GMRA most commonly). Nothing like that on exchange.