REPO Handbook (eBook)

Moorad Choudhry (Autor)

eBook Download: PDF

2002 | 1. Auflage
479 Seiten
Elsevier Science (Verlag)
978-0-08-051612-7 (ISBN)

Infos

The book features an introduction to the structure and mechanics of repo, institutional practices and real-world examples. In addition the content includes necessary supplementary material such as bank asset and liability management, trading techniques, and a range of other applications of value in the global money markets.

Repo markets play a pivotal role in the world's economy. The Repo Handbook is the definitive, comprehensive guide to this most important element of the global debt capital markets. It describes the use, motivations and mechanics of the repo instrument, and features invaluable coverage of specific country markets and institutions. The reader is taken through classic repo, sell/buy backs and structured repo, as well as additional products such as the total return swap and securities lending. As important is the treatment of related areas, such as money markets, banking asset & liability management and the implied repo rate, vital to a full understanding of repo.

This book is the ultimate guide for bankers, repo traders and salespersons, money market participants, corporate treasurers, debt finance professionals and is organized into three parts:

Part I covers the repo instrument, and examines repo mechanics and use of repo. There is also a look at selected country repo markets around the world.

Part II of the book considers the institutional treatment of repo, with chapters on risk, netting, accounting, and legal issues. There is also a chapter on equity repo.

Part III looks at basis trading and the implied repo rate. This includes results of original research on the gilt bond basis, presented in accessible style.

* A complete guide to repo, including introductions to money markets and bonds
* Contains the author's personal anecdotes from trading
* Covers every aspect of repo for all participants including legal, tax, accounting and back office

Inhalt

Cover 1
Copyright Page 5
Contents 10
Foreword 18
Preface 20
Part I: Repo Instruments and the Debt Capital Markets 28
Chapter 1. Introduction to Repo 30
1.1 Key features 31
1.2 Market participants 32
1.3 Development of repo 33
Chapter 2. Market Background: The Bond Markets I 36
2.1 Time value of money 36
2.2 Bond pricing and yield: the traditional approach 43
2.3 Accrued interest, clean and dirty bond prices, and day counts 55
2.4 Duration, modified duration and convexity 60
Chapter 3. Market Background: The Bond Markets II 74
3.1 Basic concepts 74
3.2 Forward rates 78
3.3 Bond price in continuous time 81
3.4 The term structure 84
3.5 Term structure hypotheses 91
Chapter 4. Market Background: The Money Markets 97
4.1 Overview 97
4.2 Securities quoted on a yield basis 98
4.3 Securities quoted on a discount basis 101
4.4 Commercial paper yields 106
4.5 Money market derivatives 108
4.6 Short-term interest rate futures 113
Chapter 5. The Repo Instrument 120
5.1 Repo instruments 120
5.2 The classic repo 121
5.3 The sell/buy-back 126
5.4 Comparing classic repo and sell/buy-back 130
5.5 Stock lending 131
5.6 Comparing classic repo and stock lending 134
5.7 Repo variations 135
5.8 Repo mechanics 148
5.9 Margin 150
Chapter 6. The Uses and Economic Functions of Repo 155
6.1 Economic effects 155
6.2 Uses of repo 155
6.3 Benefits of using repo 159
6.4 Market practice 160
6.5 Case study exercise 163
Chapter 7. Repo and Structured Financial Products 170
7.1 Introduction 170
7.2 Simple repo structures 170
7.3 The Total Return Swap 172
7.4 Repo and its use in collateralised debt obligation structures 180
Chapter 8. Trading and Hedging I: Introduction 196
8.1 Trading approach 196
8.2 Bond spread relative value trade and funding: example from the gilt market 203
8.3 Specials trading 205
8.4 An analysis of special repo rates 206
8.5 Matched book trading 211
8.6 Hedging tools 211
Chapter 9. Trading and Hedging II: Asset & Liability Management (ALM)
9.1 Basic concepts 215
9.2 Interest rate risk and source 218
9.3 Liquidity and the interest rate gap 223
9.4 Introduction to generic ALM policy 233
Chapter 10. The United Kingdom Gilt Repo Market 239
10.1 Introduction 239
10.2 Market structure 245
10.3 Open market operations 252
10.4 Gilt settlement and CREST/CGO 255
10.5 Code of best practice 257
10.6 Electronic gilt repo trading 258
10.7 Examples of gilt repo trades 260
Chapter 11 Selected Country Repo Markets 266
11.1 France 268
11.2 Spain 270
11.3 Germany 271
11.4 Italy 274
11.5 United States 276
11.6 Emerging market repo 282
11.7 Central bank operations 284
Part II: Institutional Treatment of Repo 288
Chapter 12. Repo Dealing Risks 290
12.1 Characterising risk 290
12.2 Credit risk 293
12.3 Market risk 296
12.4 Liquidity risk 297
12.5 Legal risk 298
12.6 Operational risk 299
Chapter 13. Accounting, Tax and Capital Issues 302
13.1 Accounting treatment 302
13.2 Taxation treatment 305
13.3 Capital treatment 307
13.4 Basel II rules 312
Chapter 14. Legal and Documentation Issues 319
14.1 Legal treatment 319
14.2 The Global Master Repurchase Agreement 321
Chapter 15. Repo Netting and Electronic Trading 327
15.1 Introduction to netting 327
15.2 Benefits of cross-product trading 329
15.3 Close-out netting under the GMRA 333
15.4 RepoClear 333
Chapter 16. Equity Repo 337
16.1 Introduction 337
16.2 Tri-party equity repo illustration 340
16.3 The London equity repo market 341
Part III: Basis Trading and the Implied Repo Rate 356
Chapter 17. The Government Bond Basis, Basis Trading and the Implied Repo Rate I 358
17.1 An introduction to forward pricing 358
17.2 Forwards and futures valuation 361
17.3 The bond basis: basic concepts 368
17.4 Selecting the cheapest-to-deliver bond 385
17.5 Trading the basis 385
Chapter 18. The Government Bond Basis, Basis Trading and the Implied Repo Rate II 392
18.1 Analysing the basis 392
18.2 Bond delivery factors 396
Chapter 19. An Introduction to Fundamentals of Basis Trading 424
19.1 Rates and spread history 424
19.2 Impact of the repo rate 428
19.3 Basis trading mechanics 431
19.4 Timing the basis trade using the implied repo rate 432
Appendix A. The BMA/ISMA Global Master Repurchase Agreement 436
Appendix B. List of Annexes to the GMRA 2000 467
Appendix C. Buy/Sell Back Annexe 469
Glossary 472
Index 482

Produkt-Details

• Erscheint lt. Verlag: 21.5.2002
• Sprache: englisch
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management
• Themenwelt: Wirtschaft ► Volkswirtschaftslehre ► Mikroökonomie
• ISBN-10: 0-08-051612-2 / 0080516122
• ISBN-13: 978-0-08-051612-7 / 9780080516127