Skip to content
GetProfitable
Search
Dictionary

Implied repo rate

The annualised return earned by buying a deliverable bond, holding it to delivery and selling futures against it — the yardstick for which bond is cheapest to deliver.

For each bond in the basket you can compute the financing rate at which the cash-and-carry-arbitrage breaks even. The bond with the highest implied repo rate is the cheapest-to-deliver, because it earns the most relative to its cost of carry.

Comparing the implied repo rate with the actual repo rate in the market tells you whether futures are rich or cheap. If implied repo sits well above actual repo, buying the bond and selling futures is profitable, which is the entry signal for a treasury-basis-trade.

Example: buy a note for $101,200 all-in, receive an invoice of $101,850 in 60 days plus $420 of coupon accrual. Return = (102,270 - 101,200) / 101,200 x 365/60 = 6.4% annualised. With actual repo at 5.3%, the trade earns 110 basis points of carry.

Related: cheapest-to-deliver, treasury-basis-trade, conversion-factor, cash-and-carry-arbitrage, cost-of-carry

See it drawn

Original diagrams for the ideas on this page. Illustrative, not real market data.

Contango and backwardationTwo futures curves against contract expiry: one rising above spot, one falling below it.The same commodity, priced for delivery at different dates.78.0076.0074.0072.0070.00Futures pricespot+1m+2m+3m+4m+5m+6mMonths until the contract expiresspot price74.00CONTANGOlater contracts cost more than spotBACKWARDATIONlater contracts cost less than spot
Contango and backwardation. A futures curve shows what buyers will pay for delivery in one month, two months and so on. When later contracts cost more than the spot price the curve is in contango; when they cost less it is in backwardation.

Educational only, not advice. Spotted an error? Post in Site Feedback.