Absence of long-dated bond repo market: why ?
Posted: June 1st, 2023, 12:31 am
In practice, across government bonds and corporate bonds, we know that the repo market is pretty short-dated, up to 1Y at most.
Do you know why there is no long-dated bond repo market altogether ?
From this, the next question is this: what if we wanted to do a long-dated bond forward for instance, what repo would we use ? Simply flat extrapolation from short-dated observable repo rates ?
Thanks for reading.
Do you know why there is no long-dated bond repo market altogether ?
From this, the next question is this: what if we wanted to do a long-dated bond forward for instance, what repo would we use ? Simply flat extrapolation from short-dated observable repo rates ?
Thanks for reading.