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An Introduction to Repo Markets, Third Edition

Book Description

The Repo markets have grown dramatically in the past few years because of the need to hedge short positions in the capital and derivatives markets. Virtually all major currency markets in the world now have an established repo market, the facility is also increasingly being used in developing currency markets as well.

This book is a practical introduction that focuses on the instruments, applications and risk management techniques essential for this rapidly evolving market. Fully updated to reflect the changes in these markets, the book also includes worked examples and case studies, and new sections on basket and structured finance repo.

Table of Contents

  1. The Securities & Investment Institute
  2. Title Page
  3. Copyright Page
  4. Dedication
  5. Foreword
  6. PREFACE
  7. PREFACE TO THE FIRST EDITION
  8. ABOUT THE AUTHOR
  9. Chapter 1 - INTRODUCTION TO REPO
    1. IMPORTANCE OF REPO
    2. MARKET PARTICIPANTS
    3. THE REPO INSTRUMENT
    4. OTHER REPO PRODUCTS
    5. SELECTED REFERENCES
  10. Chapter 2 - MARKET BACKGROUND
    1. DISCOUNTING AND PRESENT VALUE
    2. MONEY MARKET INSTRUMENTS
    3. OVERVIEW OF BOND MARKET INSTRUMENTS
    4. ACCRUED INTEREST
    5. SELECTED BIBLIOGRAPHY
  11. Chapter 3 - THE MECHANICS OF REPO
    1. USES AND ECONOMIC FUNCTIONS
    2. MARGIN
    3. OTHER REPO MECHANICS
    4. REPO DEALING RISKS
    5. SELECTED REFERENCE
  12. Chapter 4 - BASKET REPO, SYNTHETIC REPO AND STRUCTURED FINANCE REPO
    1. BASKET REPO
    2. SYNTHETIC REPO VIA THE TOTAL RETURN SWAP
    3. STRUCTURED FUNDING VEHICLES: REPO CONDUIT
    4. SELECTED REFERENCE
  13. Chapter 5 - THE UK GILT REPO MARKET
    1. INTRODUCTION
    2. IMPACT ON THE GILT MARKET
    3. MARKET STRUCTURE
    4. GILT REPO AND THE YIELD CURVE
    5. PATTERNS OF TRADING
    6. GILTS SETTLEMENT AND CREST
    7. GILT REPO CODE OF BEST PRACTICE
    8. SELECTED REFERENCES
  14. Chapter 6 - OVERVIEW OF REPO TRADING AND THE FUTURES CONTRACT IMPLIED REPO RATE
    1. TRADING APPROACHES
    2. SPECIALS TRADING
    3. CREDIT INTERMEDIATION
    4. MATCHED BOOK TRADING
    5. HEDGING TOOLS
    6. THE IMPLIED REPO RATE AND BASIS TRADING
    7. SELECTED REFERENCES
  15. Chapter 7 - REPO AND THE YIELD CURVE
    1. ZERO-COUPON RATES
    2. DISCOUNT FACTORS AND THE DISCOUNT FUNCTION
    3. SPOT AND FORWARD RATES: BOOT-STRAPPING FROM THE PAR YIELD CURVE
    4. THE RELATIONSHIP BETWEEN PAR, ZERO AND FORWARD RATES
    5. EXERCISES AND CALCULATIONS
    6. EXAMPLES
    7. FORWARD PRICING AND REPO
    8. SELECTED REFERENCES
  16. Chapter 8 - THE GLOBAL MASTER REPURCHASE AGREEMENT
    1. TBMA/ICMA AGREEMENT
    2. THE GLOBAL MASTER REPURCHASE AGREEMENT
    3. STRUCTURE
    4. KEY PRINCIPLES
    5. NEGOTIATION OF THE GMRA
    6. CONDITION PRECEDENT
    7. PRODUCT- AND COUNTERPARTYSPECIFIC AMENDMENTS AND ADDITIONAL ANNEXES
    8. GILT REPO LEGAL AGREEMENT
    9. SELECTED REFERENCES
  17. Chapter 9 - ACCOUNTING, TAX AND REGULATORY CAPITAL ISSUES IN REPO
    1. ACCOUNTING, TAX AND CAPITAL ISSUES
    2. CAPITAL TREATMENT
    3. THE BASEL II FRAMEWORK
  18. EXERCISES
  19. CASE STUDY: ABC BANK plc
  20. REPO CASE STUDY ANSWERS
  21. GLOSSARY
  22. TECHNICAL APPENDICES
  23. ABBREVIATIONS
  24. INDEX