Foreword; Preface; Repo instruments and the debt capital markets; Introduction to Repo; Market background: the bond markets I; Market background: the bond markets II; Market background: the money markets; The repo instrument; The uses and economic function of repo; Repo and structured financial products; Trading and hedging I: introduction; Trading and hedging II: asset and liability management (ALM); The United Kingdom gilt repo market; Selected Country repo markets; Institutional treatment of repo - Repo dealing risks; Accounting, tax and capital issues; Legal and documentation issues; Repo netting and electronic trading; Equity repo; Basis trading and the implied repo rate; The Government bond basis trading and the implied repo rate I; The Government bond basis, basis trading and the implied repo rate II; An introduction to fundamentals of basis trading; Appendix A: the BMA/ISMA Global master repurchase agreement; Appendix B: list of annexed to the GMRA 2000; Appendix C: buy/sell back annex; Glossary; Index.
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
All those with an interest or involvement in repo markets, bank ALM and bond trading, including repo salespersons and traders, structured financiers, money market traders, corporate treasurers, fund managers and portfolio securities lenders. Third party vendors such as systems analysts, business analysts and management consultants will also find the book invaluable.
- No. of pages:
- © Butterworth-Heinemann 2002
- 21st May 2002
- eBook ISBN:
"A clear, thorough and accurate account of the basics and instruments of the repo market." David Franklin, Senior Repo Dealer, HBOS plc. "This book will be an excellent source for students and practitioners who want to learn more about this important market." Professor Elias Dinenis , Associate Dean, Professor of Investment and Risk Management, City University Business School. "The ultimate guide to the repo markets, covers the entire subject range from classic repo to total return swaps. The complete reference for traders, salespersons and treasurers. A brilliant achievement, and thoroughly recommended". Remi Bola, Vice President, JPMorgan Chase Bank.
Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at KBC Financial Products, ABN Amro Hoare Govett Limited and Hambros Bank Limited. He has a PhD from Birkbeck, University of London and an MBA from Henley Business School. Moorad lives in Surrey, England.
Chief Executive Officer, Habib Bank Zurich PLC and Visiting Professor at the Department of Mathematical Sciences, Brunel University.