The spread between the general repo rate and the special repo rate. It can be viewed as a repo dividend (it goes to the holder of the collateral, i.e., a dealer or the investor holding the underlying instrument/ security that is on special). In other words, the specialness spread allows the holder of the collateral to earn a dividend by repo-ing out the specific collateral and concurrently reversing in the general collateral:
Repo dividend: (r – R) × value of specific repo
Where: r is the general repo rate, and R is the special repo rate
It is also known as a repo spread.
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