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hi, i'm having some conceptual difficulties with this. If a bill futures price for a contract maturing in 50 days is 92.56 and the discount rate for a 118 day t bill is 9.00, calculate the implied repo rate. Any ideas?

futures cash price = 100 - (100-92.56)*90/360 = 98.14t-bill spot price = 100 - 9*(118/360) = 97.05implied repo = (98.14/97.05)^(365/28) -1 = 15.67%

hi could you bring me over this calculation?- thanks

Are you sure you have the right number of days ?

Just testing you Daveangel It should be ....If a bill futures price for a contract maturing in 28 days is 92.56 and the discount rate for a 118 day t bill is 9.00, calculate the implied repo rate. Any ideas?

I thought Tbills were 91 days but lets assume that they are 90 days. So we have cash Tbill with 118 days left yielding 9% pa and a 90 day Tbill futures contract expiring in 28 days with an implied yield of 7.44% so we need to figure out the break even yield at which we can borrow at for 28 days then for 90 days so we can lend for 118 days.the implied cash tbill price starting in 28 days (implied from the Tbill futures quote of 92.56) is 98.1193 (100-(100-92.56)*91/360). the price of the 118 day cash Tbill with a yield of 9% is 97.05 (100 - 9%*100*118/360)the price of the 28 day cash tbill is therefore 100*(97.05/98.1193) = 98.9102the implied yield for 28 days is therefore (100-98.9102)*360/28 = 14.01%

thanks Daveangel....very comprehensive explanation!

QuoteOriginally posted by: bonosmatethanks Daveangel....very comprehensive explanation!no problem - I noticed that I used 91 days rather than 90 days. so just amend accordingly.