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Quantitative Finance · Glossaire

Qu'est-ce que « Special repo rate and specialness » ?

Aussi appelé : special repo rate · specialness

Definition 5.6 Markets II: Rates, FX and Credit · Chapitre 5 — Repo and Specials

The special repo rate of a security is the repo rate at which cash lenders will lend against that specific security. Its specialness is the general-collateral rate minus the special rate: what a cash lender gives up in interest to obtain the security.

An illustrative specialness path for a new ten-year note over the three months to its successor’s auction: 45 basis points in the first month, 25 in the second, 10 in the third. The area under the step is the value of . Levels are illustrative. Data: the chapter’s weekend problem.
Figure 5.3. An illustrative specialness path for a new ten-year note over the three months to its successor’s auction: 45 basis points in the first month, 25 in the second, 10 in the third. The area under the step is the value of Proposition 5.7. Levels are illustrative. Data: the chapter’s weekend problem.
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