{"product_id":"an-introduction-to-repo-markets-isbn-9780470017562","title":"An Introduction to Repo Markets","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.  \u003cp\u003eThis 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.\u003c\/p\u003e \u003cp\u003eForeword xv\u003c\/p\u003e \u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003ePreface to First Edition xix\u003c\/p\u003e \u003cp\u003eAbout the author xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction to Repo 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eImportance of repo 3\u003c\/p\u003e \u003cp\u003eMarket participants 4\u003c\/p\u003e \u003cp\u003eThe repo instrument 5\u003c\/p\u003e \u003cp\u003eCharacteristics of repo 5\u003c\/p\u003e \u003cp\u003eClassic repo 6\u003c\/p\u003e \u003cp\u003eSummary 11\u003c\/p\u003e \u003cp\u003eThe sell\/buy-back 11\u003c\/p\u003e \u003cp\u003eStock lending 13\u003c\/p\u003e \u003cp\u003eOther repo products 14\u003c\/p\u003e \u003cp\u003eTri-party repo 15\u003c\/p\u003e \u003cp\u003eHold in custody repo 16\u003c\/p\u003e \u003cp\u003eSafe-keeping repo 17\u003c\/p\u003e \u003cp\u003eBorrow\/Loan versus cash 17\u003c\/p\u003e \u003cp\u003eBonds borrowed\/collateral pledged 17\u003c\/p\u003e \u003cp\u003eCross-currency repo 18\u003c\/p\u003e \u003cp\u003eExotic repo structures 19\u003c\/p\u003e \u003cp\u003eSelected references 20\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Market Background 21\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDiscounting and present value 22\u003c\/p\u003e \u003cp\u003eCompounding 22\u003c\/p\u003e \u003cp\u003eDiscounting 23\u003c\/p\u003e \u003cp\u003eCompounding more than once a year 23\u003c\/p\u003e \u003cp\u003eInternal rate of return 24\u003c\/p\u003e \u003cp\u003eMoney market instruments 24\u003c\/p\u003e \u003cp\u003eSecurities quoted on a yield basis 25\u003c\/p\u003e \u003cp\u003eSecurities quoted on a discount basis 26\u003c\/p\u003e \u003cp\u003eMoney market formulae 27\u003c\/p\u003e \u003cp\u003eOverview of bond market instruments 29\u003c\/p\u003e \u003cp\u003eDefinition of a bond 30\u003c\/p\u003e \u003cp\u003eFair pricing of bonds and bond yield 31\u003c\/p\u003e \u003cp\u003eThe yield curve 33\u003c\/p\u003e \u003cp\u003eTheories of the yield curve 34\u003c\/p\u003e \u003cp\u003eBond price\/yield relationship 34\u003c\/p\u003e \u003cp\u003eAccrued interest 35\u003c\/p\u003e \u003cp\u003eAccrual conventions 35\u003c\/p\u003e \u003cp\u003eSelected references 36\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 The Mechanics of Repo 37\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUses and economic functions 38\u003c\/p\u003e \u003cp\u003eFunding positions 38\u003c\/p\u003e \u003cp\u003eCovering short positions 39\u003c\/p\u003e \u003cp\u003eYield enhancement 41\u003c\/p\u003e \u003cp\u003eMargin 41\u003c\/p\u003e \u003cp\u003eInitial margin 41\u003c\/p\u003e \u003cp\u003eVariation margin 43\u003c\/p\u003e \u003cp\u003eOther repo mechanics 44\u003c\/p\u003e \u003cp\u003eRepo dealing risks 45\u003c\/p\u003e \u003cp\u003eInterdependent risks 45\u003c\/p\u003e \u003cp\u003eFinancial market risks 46\u003c\/p\u003e \u003cp\u003eDealing with risk 49\u003c\/p\u003e \u003cp\u003eSelected reference 50\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Basket Repo, Synthetic Repo and Structured Finance Repo 51\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasket repo 52\u003c\/p\u003e \u003cp\u003eIllustration of basket repo trade: Malaysian Government securities 52\u003c\/p\u003e \u003cp\u003eIllustration using structured finance securities 55\u003c\/p\u003e \u003cp\u003eSynthetic repo via the total return swap 58\u003c\/p\u003e \u003cp\u003eStructured funding vehicles: repo conduit 62\u003c\/p\u003e \u003cp\u003eSecurities repo conduit 62\u003c\/p\u003e \u003cp\u003eSelected reference 66\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 The UK Gilt Repo Market 67\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eIntroduction 68\u003c\/p\u003e \u003cp\u003eGrowth of market 69\u003c\/p\u003e \u003cp\u003eGilt repo and other sterling money markets 70\u003c\/p\u003e \u003cp\u003eImpact on the gilt market 72\u003c\/p\u003e \u003cp\u003eMarket structure 73\u003c\/p\u003e \u003cp\u003eRepo and stock lending 73\u003c\/p\u003e \u003cp\u003eMarket participants: market making in repo 73\u003c\/p\u003e \u003cp\u003eMarket participants: brokers 74\u003c\/p\u003e \u003cp\u003eMarket participants: end-users 74\u003c\/p\u003e \u003cp\u003eGilt repo and the yield curve 75\u003c\/p\u003e \u003cp\u003eImpact of the yield curve 75\u003c\/p\u003e \u003cp\u003eHedging through repo 75\u003c\/p\u003e \u003cp\u003ePatterns of trading 76\u003c\/p\u003e \u003cp\u003eMaturities 76\u003c\/p\u003e \u003cp\u003eSpecials 76\u003c\/p\u003e \u003cp\u003eGilts settlement and CREST 78\u003c\/p\u003e \u003cp\u003eCREST settlement 79\u003c\/p\u003e \u003cp\u003eCREST reference prices 79\u003c\/p\u003e \u003cp\u003eDelivery by value 80\u003c\/p\u003e \u003cp\u003eGilt repo code of best practice 80\u003c\/p\u003e \u003cp\u003eSelected references 81\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Overview of Repo Trading and The Futures Contract Implied Repo Rate 83\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTrading approaches 84\u003c\/p\u003e \u003cp\u003ePositive yield curve environment 84\u003c\/p\u003e \u003cp\u003eNegative yield curve environment 85\u003c\/p\u003e \u003cp\u003eYield curve arbitrage 86\u003c\/p\u003e \u003cp\u003eOther spread trades 87\u003c\/p\u003e \u003cp\u003eSpecials trading 88\u003c\/p\u003e \u003cp\u003eCredit intermediation 90\u003c\/p\u003e \u003cp\u003eMatched book trading 90\u003c\/p\u003e \u003cp\u003eHedging tools 91\u003c\/p\u003e \u003cp\u003eFutures strip 92\u003c\/p\u003e \u003cp\u003eForward rate agreements 93\u003c\/p\u003e \u003cp\u003eInterest-rate swaps 94\u003c\/p\u003e \u003cp\u003eThe implied repo rate and basis trading 95\u003c\/p\u003e \u003cp\u003eContract definition 95\u003c\/p\u003e \u003cp\u003eConversion factors 98\u003c\/p\u003e \u003cp\u003eThe cheapest-to-deliver bond 99\u003c\/p\u003e \u003cp\u003eThe implied repo rate 102\u003c\/p\u003e \u003cp\u003eHedging implications 106\u003c\/p\u003e \u003cp\u003eSelected references 108\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Repo and the Yield Curve 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eZero-coupon rates 110\u003c\/p\u003e \u003cp\u003eDiscount factors and the discount function 110\u003c\/p\u003e \u003cp\u003eSpot and forward rates: boot-strapping from the par yield curve 111\u003c\/p\u003e \u003cp\u003eSpot rates and boot-strapping 111\u003c\/p\u003e \u003cp\u003eImplied spot and forward rates 112\u003c\/p\u003e \u003cp\u003eThe Relationship between par, zero and forward rates 121\u003c\/p\u003e \u003cp\u003eExercises and calculations 122\u003c\/p\u003e \u003cp\u003eForward rates: breakeven principle 122\u003c\/p\u003e \u003cp\u003eExamples 123\u003c\/p\u003e \u003cp\u003eForward rates and compounding 126\u003c\/p\u003e \u003cp\u003eForward pricing and repo 126\u003c\/p\u003e \u003cp\u003eSelected references 126\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 The Global Master Repurchase Agreement 129\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eTBMA\/ICMA Agreement 130\u003c\/p\u003e \u003cp\u003eThe Global Master Repurchase Agreement 131\u003c\/p\u003e \u003cp\u003eScope 131\u003c\/p\u003e \u003cp\u003eStructure 132\u003c\/p\u003e \u003cp\u003eKey principles 133\u003c\/p\u003e \u003cp\u003eTitle transfer 133\u003c\/p\u003e \u003cp\u003eMaster netting agreement 137\u003c\/p\u003e \u003cp\u003eMargin maintenance 140\u003c\/p\u003e \u003cp\u003eNegotiation of the GMRA 141\u003c\/p\u003e \u003cp\u003eMargin maintenance 142\u003c\/p\u003e \u003cp\u003eFailure to deliver 144\u003c\/p\u003e \u003cp\u003eCondition precedent 145\u003c\/p\u003e \u003cp\u003eSet-off 146\u003c\/p\u003e \u003cp\u003eAutomatic early termination 146\u003c\/p\u003e \u003cp\u003eProduct- and counterparty-specific amendments and additional annexes 147\u003c\/p\u003e \u003cp\u003eGilt Repo Legal Agreement 147\u003c\/p\u003e \u003cp\u003eSelect references 148\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Accounting, Tax and Regulatory Capital Issues in Repo 149\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAccounting, tax and capital issues 150\u003c\/p\u003e \u003cp\u003eAccounting 150\u003c\/p\u003e \u003cp\u003eTaxation 150\u003c\/p\u003e \u003cp\u003eCapital treatment 151\u003c\/p\u003e \u003cp\u003eCapital Adequacy Directive 151\u003c\/p\u003e \u003cp\u003eCAD treatment for repo 152\u003c\/p\u003e \u003cp\u003eBalance sheet implications 153\u003c\/p\u003e \u003cp\u003eThe Basel II Framework 153\u003c\/p\u003e \u003cp\u003eBasel II Framework 154\u003c\/p\u003e \u003cp\u003eExercises 157\u003c\/p\u003e \u003cp\u003eAnswers to exercises 162\u003c\/p\u003e \u003cp\u003eCase study: ABC Bank plc 169\u003c\/p\u003e \u003cp\u003eGlossary 181\u003c\/p\u003e \u003cp\u003eAppendix A Duration 186\u003c\/p\u003e \u003cp\u003eAppendix B Basis Trading and the CTD Bond 188\u003c\/p\u003e \u003cp\u003eAppendix C Volatility 190\u003c\/p\u003e \u003cp\u003eAbbreviations 192\u003c\/p\u003e \u003cp\u003eIndex 194\u003c\/p\u003e \u003cb\u003eDr Moorad Choudhry\u003c\/b\u003e is Head of Treasury at KBC Financial Products in London. He is a Visiting Professor at the Department of Economics, London Metropolitan University, a Visiting Research Fellow at the ICMA Centre, University of Reading, a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School, and a Fellow of the Securities and Investment Institute. \"Providing a revealing insight into global repo markets and instruments, An Introduction to Repo Markets presents an accurate practitioner’s guide to a market that is often difficult to understand.\"\u003cbr\u003e—\u003cb\u003eBhavin Parmar\u003c\/b\u003e, \u003ci\u003eEquity Finance Trading\u003c\/i\u003e \u003cp\u003eThe repo markets are a vital part of the global financial system. Repo is used by virtually all market participants, as a funding and liquidity tool. The third edition of Professor Moorad Choudhry’s benchmark reference text \u003ci\u003eAn Introduction to Repo Markets\u003c\/i\u003e brings readers up to date with the latest developments. It offers a detailed yet accessible and reader-friendly look at the instrument itself and its variants, and is aimed specifically at newcomers to the market or those unfamiliar with modern fixed income products. The author capitalises on his wealth of experience in the money markets to present this concise yet in-depth coverage of repo, set in the context of the financial markets as a whole.\u003c\/p\u003e \u003cp\u003eTopics covered include:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eRepo mechanics\u003c\/li\u003e \u003cli\u003eUses and applications\u003c\/li\u003e \u003cli\u003eBasket repo\u003c\/li\u003e \u003cli\u003eSynthetic repo and the total return swap\u003c\/li\u003e \u003cli\u003eThe money market yield curve\u003c\/li\u003e \u003cli\u003eThe Global Master Repurchase Agreement\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eTopics are well illustrated with Bloomberg screens, worked examples, exercises and case studies. Related issues such as financial market arithmetic are also introduced as necessary background for students and practitioners. This is essential reading for all those who require an introduction to the money markets and repo.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47988729381093,"sku":"NP9780470017562","price":67.95,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470017562.jpg?v=1761781358","url":"https:\/\/k12savings.com\/es\/products\/an-introduction-to-repo-markets-isbn-9780470017562","provider":"K12savings","version":"1.0","type":"link"}