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Description of The Repo Handbook

"The Repo Handbook, 2nd Edition" presents an overview of repo vehicles and markets with sufficient depth for those seeking detailed explanations. In three parts it demonstrates how these secured loans fit into global capital markets and why they account for up to 50 per cent of daily settlement activity in non-US government bonds worldwide. This new edition replaces old examples and introduces new developments, such as structured finance repo and associated topics such as Basel II regulatory rules. In addition, 12 of 18 chapters feature new sections and 4 have been substantially rewritten. The UK gilt and US Treasury repo markets are explored through worked examples, and there are new sections on funding arbitrage trades, risk exposures, and regulatory capital. It also places repo in context within bank asset-liability management and trading techniques, illustrating repo use across a wide range of applications in the global money markets. Rarely mentioned in the financial press because of the simple, straightforward nature of the instrument, repo was often the only funding source available to banks during the last quarter of 2008 and the first in 2009.
This book, written by a trader, will draw new attention to this valuable and efficient funding and investment product. It describes repo instruments, which appeal to market participants because of their simplicity and malleability. It explains the institutional treatment of repos, especially in terms of risk, accounting, tax and legal issues, and equity repo. It details the government bond basis, implied repo rate, and basis trading.

Title Information

ISBN:

9780750681599

Pages:

578 pages

Format:

Hardback

Product Code:

167233

Publisher:

Butterworth-Heinemann Ltd

Published:

04/05/2010

Edition:

2nd edition

Press and Industry Reviews

'The Author writes very lucidly on fixed income issues and combines mathematics and text very effectively. I found the chapters interesting and easy to read.'
Dr Stephen Satchell, University of Cambridge

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About Moorad Choudhry

Moorad Choudhry is Head of Business Treasury in Global Banking and Markets (GBM) Treasury at the Royal Bank of Scotland. He is thus responsible for providing RBS with the expertise and capabilities required to manage its balance sheet, funding, and liquidity. He is also Visiting Professor at the Department of Economics, London Metropolitan University, and a Senior Fellow at the Centre for Mathematical Trading and Finance, CASS Business School.

Contents of The Repo Handbook

• Market background
  
• Financial arithmetic
  
• Introduction to REPO
  
• Uses and economic functions
  
• The mechanics of REPO
  
• Trading REPO
  
• REPO dealing risks
  
• Legal considerations
  
• PSA/ISMA agreement
  
• Accounting, tax and capital issues
  
• Settlement and clearing
  
• REPO netting
  
• Selected country market structures
  
• Trading and hedging strategies
  
• Electronic REPO trading
  
• The implied REPO rate and basis trading
  
• The UK gilt basis
  
• REPO and the yield curve
  
• REPO market structures
  
• Equity REPO
  
• Central banks and overseas markets
  
• Emerging markets REPO.