r is not a constant: the relationship between bond futures and repo rates (July 2022)
An overview of the relationship between exchange traded bond futures and repo rates. The module covers topics including bond futures characteristics, conversion factors, futures fair value pricing, basis trading, implied repo rates, calendar rolls, delivery optionality, delivery risk, and trading strategies.
- About ICMA
- Membership
- Market Practice & Regulatory Policy
- Sustainable Finance
- Education & Training
- Events
- Media & Market Data
Welcome to the International Capital Market Association
For over 50 years ICMA and its members have worked together to promote the development of the international capital and securities markets, pioneering the rules, principles and recommendations which have laid the foundations for their successful operation.
A global community for the capital markets
ICMA has around 620 members located in 68 jurisdictions drawn from both the sell and buy-side of the market.
ICMA engages with its global membership on market practice and regulatory policy issues through its expert forums.
Here are the key sections covering our work programmes, including contact details of ICMA staff responsible for each area.
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Primary Markets
- ICMA Primary Market Handbook - Home
- Primary Market Committees ‣
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Primary Market Topics
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- Accounting and Auditing
- Benchmark Reform and Transition to Risk-Free Rates
- MiFID II/R in Primary Markets
- Primary Markets Conduct (non-MiFID)
- Electronification
- Primary Markets Technology Mapping Directory
- Dialogue with Investors
- Prospectuses
- PRIIPs KIDs
- Retail Access to Bond Markets
- Market Infrastructure and Asset Servicing
- Market Abuse Regulation (MAR) - Primary Market Aspects
- Periodic Reporting / Continuing Obligations
- Taxation (Primary Markets)
- Other ICMA Primary Market Advocacy Materials
- Primary Market Products ‣
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Secondary Markets
- ICMA’s Rules and Recommendations for the Secondary Market ‣
- Secondary Market Practices Committee (SMPC) and related Working Groups ‣
- Central Bank Corporate Bond Purchase Programmes
- Electronic Trading ‣
- “T+1” – the shortening of standard settlement cycles
- Market Transparency ‣
- Market Data ‣
- Market Liquidity ‣
- Secondary Markets Regulation ‣
- Euro Safe Assets
- Archive
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Repo and Collateral Markets
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Legal Documentation
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- Global Master Repurchase Agreement (GMRA)
- ICMA GMRA Legal Opinions
- ICMA GMRA Clause Library and Taxonomy
- Master Regulatory Reporting Agreement (MRRA)
- Resolution Stays
- ICMA FAQs in relation to the GMRA and market turbulence
- 2011 Global Master Repurchase Agreement (GMRA) Protocol (Revised) Adhering Parties
- Repo and Collateral Council and related groups ‣
- ICMA ERCC Publications ‣
- “T+1” – the shortening of standard settlement cycles
- Market Data ‣
- Regulation ‣
- FinTech ‣
- Repo and Sustainability
- Other Resources ‣
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Legal Documentation
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ICMA serves as Secretariat to the GBP, the SBP, the SBG and the SLBP, providing support while advising on governance and other issues.
ICMA also leads numerous other initiatives in sustainable finance. ICMA is at the forefront of the financial industry’s contribution to the development of sustainable finance and in the dialogue with the regulatory and policy community.
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The Principles, Guidelines and Handbooks
- Green Bond Principles (GBP)
- Social Bond Principles (SBP)
- Sustainability Bond Guidelines (SBG)
- Sustainability-Linked Bond Principles (SLBP)
- Climate Transition Finance Handbook
- Guidance Handbook and Q&A
- Mapping to the Sustainable Development Goals
- Green Enabling Projects Guidance
- Sustainability-Linked Loans financing Bonds Guidelines (SLLBG)
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Other Sustainable Finance Initiatives & Regulatory Issues
- Code of Conduct for ESG Ratings and Data Products Providers
- The Hong Kong ESG Ratings and Data Code of Conduct Working Group
- Singapore Code of Conduct for ESG Rating and Data Product Providers
- Global Sustainable Finance Council (GSFC)
- International Policy Initiatives
- ICMA Publications
- Regulatory responses & commentary
Studying with ICMA
ICMA Education has been setting the standard of training excellence in the capital markets for almost five decades with courses covering everything from market fundamentals to latest developments and more.
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