Calculate the implied repo rate of 8.5% of 2/15/20 with a settlement on 7/14/01, delivery on...

Calculate the implied repo rate of 8.5% of 2/15/20 with a settlement on 7/14/01, delivery on 9/30/01, conversion factor of 1.2748, a futures price of 91, and a quoted bond price of 116.50. Assume that coupons are paid semiannually. How would you interpret implied repo rate?

Solutions

Expert Solution

Answer:

Implied repo rate = 0.0518

Explanation:

Implied repo rate can be defined as the return earned on purchasing a cash bond and selling the futures contract, with the intention of delivering that particular bond in the future.

ekkarill92 answered 1 year ago

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