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What is the current rf-rate embedded in SSF's?

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Not applicable
Is it the R153 or R157 yield? Would this be the same rate used in ALSI contracts?
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4 REPLIES 4
gamma_spike
Frequent Contributor
(hint) think of how you would fund the cash flows as an issuer of SSF's and calc your FV from that. No matter what the text book may say that will giver you the RF arb gap. (Or) extrapolate using the other known variables
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Not applicable
Hmm, cant extrapolate as it is possible Fo is greater or less than the formula due to excess supply/demand. Repo rate maybe? Banks would usually get funds at the repo, but is there a premium?
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gamma_spike
Frequent Contributor
any differential is the theretical arb gap. The supply demand will also create the gap- but the arb may not be possible or inefficient due to tradeability or trade costs. Thus any extrapolation may relect cost of funds (ie at repo rate (or cheaper)) + cost to trade
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Not applicable
so its the repo rate? no premium then. and i wonder if alsi contracts and ssf's have the same embedded rate.
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