REPO & FUNDING
Implied Repo Rate
Estimates the financing return embedded in a cash-and-futures basis trade.
Formula
IRR ≈ Net financing gain / Cash invested × annualization factor
Variables: Net carry/convergence gain; financed cash; holding period
What it means
Estimates the financing return embedded in a cash-and-futures basis trade.
Example
Compare futures delivery economics with cash bond financing and annualize the net return.
How to interpret it
This concept should be read together with its market convention, measurement horizon and underlying instrument. BondStats presents it as an analytical reference rather than investment advice; instrument documentation and primary market rules remain authoritative.
Related Formulas
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