Implied repo rate

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Implied repo rate

The rate that a seller of a futures contract can earn by buying an issue and then delivering it at the settlement date. Related: Cheapest to deliver issue.

Implied Repo Rate

The rate of return on the short sale of a futures or forward contract on a bond. That is, one may sell a future or forward in which a bond is the underlying asset without owning that bond. One may then buy that bond, collect coupons in the meantime, and deliver the bond when the futures or forward matures. The implied repo rate is the return rate on such a transaction.
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Key concepts such as cheapest-to-deliver bonds, implied repo rates and conversion factors are discussed in detail.