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Implied repo rate

Description

A repurchase agreement, also known as a repo, RP, or sale and repurchase agreement, is the sale of securities together with an agreement for the seller to buy back the securities at a later date. Implied Repo Rate is the rate of return of borrowing money to buy an asset in the spot market and delivering it in the futures market where the notional is used to repay the loan.

Related formulas

Variables

IRRImplied repo rate (dimensionless)
IPInvoice price (dimensionless)
PPOBPurchase price of bond (dimensionless)
dBDaybase (365 or 360) (dimensionless)
dDDays to delivery (dimensionless)