Repo Rates and Repo Interest
A repo rate is an annualized rate based on a 360-day year in the United States. This convention is common in European repo markets. To factor, a U.S. repo rate is equal to dollar interest divided by the Principal × 360 divided by the repo term in days. Repo rates are calculated and reported throughout the day in a few nations.
The Swiss report their repo rate every three minutes. Interest is factored as the difference between the sale and purchase price or the difference between the forward and the spot price. The settlement date of the forward equals the maturity date of the loan. To factor interest is equal to the repo rate multiplied by the price on purchase date multiplied by the days divided by 360 [(Purchase ...
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