<p><strong>Are there freely available historical data on implied repo rates?</strong></p>
<p><strong>In quick review, what's an implied repo rate?</strong></p>
<p>In futures markets, the implied repo rate (also commonly called the IRR) is the rate of interest implied by the price of the cheapest to deliver and the futures price. Recall that for futures, where the underlying can be stored, the then to make an arbitrage portfolio we can do as follows:</p>
<ol>
<li>Sell an at the money futures contract (go short) at settlement price <span class="math-container">$F$</span></li>
<li>Buy the underlying cheapest to deliver in the spot market for <span class="math-container">$S$</span></li>
<li>Borrow <span class="math-container">$S$</span> dollars (at interest rate <span class="math-container">$r$</span> per year) for the remaining life of the future (assume this is the only relevant cost)</li>
<li>At futures maturity, deliver the underlying, collect <span class="math-container">$F$</span>, repay loan for <span class="math-container">$(1+r)^{t}\cdot S$</span>
So, if no arbitrage holds:
<span class="math-container">$$F - (1+r)^{t}\cdot S  = 0 \Rightarrow r=(\frac{F}{S})^{1/t} - 1$$</span>
and <span class="math-container">$r$</span> is the implied repo rate. Notice that if you check all the possible cheapest to deliver prices and the futures settlement price, you can get the <em>implied repo rate</em> without actually knowing the actual repo rate.</li>
</ol>
<p><strong>I've looked around, but I haven't been able to find any such free data. In addition to the usual search engine stuff, I also tried <a href="https://www.google.com/search?client=firefox-b-d&amp;q=implied%20repo%20site%3Aquandl.com" rel="nofollow noreferrer">Quandl</a> and  <a href="https://worlddata.ai/filter?q=%22implied%20repo%20rate%22" rel="nofollow noreferrer">WorldData.ai</a>. Bloomberg does have these data, but they are not free.</strong></p>

CC BY-SA 4.0
2020-10-20T15:06:06.977Z
Would you be also interested in published articles that use such data? Nowadays usually authors share data on request, I did not looked yet but I think I can recall some works on this/similar topic.
1muflon1
CC BY-SA 4.0
2020-10-20T15:39:15.927Z
Safe to bet that nobody gives that data away for free, and sharing it would be a violation of licensing agreements. Unless the markets are completely disjointed, I doubt that there is a much of a spread between the implied repo on the CTD and actual term repo on the CTD - unless there’s a decent probability of a change of CTD. The cash-and-carry trade has been well known for decades.
Brian Romanchuk
CC BY-SA 4.0
2020-10-20T16:00:52.797Z
I have no idea what is out there. While recent data are often expensive, dated financial data are often given away for free.  Articles don't help me, because I am looking for data that I can share. If I really want to use commercial data, I can do that, but then I can't share it.
BKay
CC BY-SA 4.0
2020-10-20T19:13:06.987Z
maybe consider cross-posting on quant. fin. SE
1muflon1
CC BY-SA 4.0
2020-10-20T19:16:01.123Z
It is exceedingly niche data. Most people are not interested in the the repo rate on the CTD, since we know it can trade special. It’s only of interest to people trading the arbitrage, and if they can execute the trades, they can afford the data. As such, not something I would expect to see disseminated.
Brian Romanchuk
<interest-rate><data-request><financial-economics>
Free Sources of Implied Repo Rate Data?
BKay
# Free Sources of Implied Repo Rate Data?

(Asked by: username_0 on 2020-10-20)

**Are there freely available historical data on implied repo rates?**

**In quick review, what's an implied repo rate?**

In futures markets, the implied repo rate (also commonly called the IRR) is the rate of interest implied by the price of the cheapest to deliver and the futures price. Recall that for futures, where the underlying can be stored, the then to make an arbitrage portfolio we can do as follows:

1. Sell an at the money futures contract (go short) at settlement price $F$
2. Buy the underlying cheapest to deliver in the spot market for $S$
3. Borrow $S$ dollars (at interest rate $r$ per year) for the remaining life of the future (assume this is the only relevant cost)
4. At futures maturity, deliver the underlying, collect $F$, repay loan for $(1+r)^{t}\cdot S$
   So, if no arbitrage holds:
   $$F - (1+r)^{t}\cdot S = 0 \Rightarrow r=(\frac{F}{S})^{1/t} - 1$$
   and $r$ is the implied repo rate. Notice that if you check all the possible cheapest to deliver prices and the futures settlement price, you can get the *implied repo rate* without actually knowing the actual repo rate.

**I've looked around, but I haven't been able to find any such free data. In addition to the usual search engine stuff, I also tried [Quandl](https://www.google.com/search?client=firefox-b-d&q=implied%20repo%20site%3Aquandl.com) and [WorldData.ai](https://worlddata.ai/filter?q=%22implied%20repo%20rate%22). Bloomberg does have these data, but they are not free.**

**Tags:** interest-rate, data-request, financial-economics

> **Comments:**
> **username_1**: Would you be also interested in published articles that use such data? Nowadays usually authors share data on request, I did not looked yet but I think I can recall some works on this/similar topic.  
> **username_2**: Safe to bet that nobody gives that data away for free, and sharing it would be a violation of licensing agreements. Unless the markets are completely disjointed, I doubt that there is a much of a spread between the implied repo on the CTD and actual term repo on the CTD - unless there’s a decent probability of a change of CTD. The cash-and-carry trade has been well known for decades.  
> **username_0**: I have no idea what is out there. While recent data are often expensive, dated financial data are often given away for free.  Articles don't help me, because I am looking for data that I can share. If I really want to use commercial data, I can do that, but then I can't share it.  
> **username_1**: maybe consider cross-posting on quant. fin. SE  
> **username_2**: It is exceedingly niche data. Most people are not interested in the the repo rate on the CTD, since we know it can trade special. It’s only of interest to people trading the arbitrage, and if they can execute the trades, they can afford the data. As such, not something I would expect to see disseminated.  

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## 0 answers

