Repo Market Essentials

The objective of this new one day course is to provide participants with an understanding of how the Repo market functions, who uses it and why. This course will concentrate on Government Bond Repo but much of the content will be applicable to other types of collateral.

Available for in-house delivery. Call +44 (0)1483 573150
Duration: One day (9.00am to 5.00pm)
Location: Apex City of London Hotel – London, UK
Trainer: Robin Brown
Please contact us for a quotation

Course Outline

Building blocks of the Repo Market within the ICMA GMRA Framework

+ Classic Repo
+ Sell/Buy-back
+ Stock lending

Standard Market Agreements

+ Bilateral agreements
+ Tripartite agreements

Types of Collateral, Including:

+ General collateral and substitutions
+ Special collateral - how and why?

Repo Calculations

This module takes participants through a trade and includes information on executing a trade, making the price calculations, agreeing haircuts and mark-to-market calculations.
+ Calculating bond clean and dirty prices
+ Turning the repo rate into a bond price equivalent
+ Calculating the haircut for: i) Stock driven repo and ii) money market driven repo
+ The application of daily mark-to-market and attendant risks
+ The implications of "fails"

Applications for Repo

+ Funding a bond portfolio
+ Borrowing stock
+ Secured money market lending
+ Capital reduction and collateral accounts
+ General - special switches and arbitrage
+ Pricing bond forwards

Who uses Repo and Why?

+ Fund managers for yield enhancement
+ Investment banks for asset and liability management
+ Traders for book management
+ Money market traders for lending of funds
+ Collateral managers

Repo Settlement

This module follows a trade from inception to settlement
+ Executing the trade
+ Delivery versus payment instruction
+ The role of the clearing house
+ The cost of fails
+ Collateral switches
+ Manufactured coupon
+ General versus special collateral
+ Repo repayment