Repo, from sale and repurchase agreement, is one for the oldest and widely used instruments in global capital markets. It is a vital ingredient in the smooth and efficient running of the financial markets, and is used by all market participants including central banks, commercial banks, fund managers and corporates. This book is a comprehensive, detailed and authoritative description of the repo instrument. Written by a former repo trader, it covers applications and analysis of the various different instruments used in the repo markets. It also places the repo markets in the overall context of the money markets and banking asset-liability management.
PART I: THE REPO INSTRUMENT AND THE DEBT CAPITAL MARKETS
1. Intro to Repo
2. Market Background: The Bond Markets
3. Market Background: The Markets
4. The Repo Instrument
5. Uses and Economic Functions of Repo
6. Repo and Structured Financial Products
7. An Introduction to Money Market Trading and Hedging
8. An Introduction to Banking Asset and Liability Management (ALM)
9. The United Kingdom Gilt Repo Market
10. Selected Country Repo Markets
PART II: INSTITUTIONAL TREATMENT OF REPO
11. Repo Dealing Risk
12. Accounting, Tax and Capital Issues
13. Legal and Documentation Issues
14. Repo Netting and Electronic Trading
15. Equity Repo
PART III: BASIC TRADING AND THE IMPLIED REPO RATE
16. Basic Trading and the Implied Repo Rate: Part I
17. Basic Trading and the Implied Repo Rate: Part II
18. An Introduction to the Fundamentals of Basic Trading
Glossary
Author Index
Index
About Moorad Choudhry
Moorad Choudhry is Head of Treasury at KBC Financial Products in London. He previously worked as a government bond trader at ABN Amro Hoare Govett Limited and Hambros Bank Limited, and in structured finance services at JPMorgan Chase Bank. Dr. Choudhry is a Visiting Professor at the Department of Economics, London Metropolitan University, and a Fellow of the Securities Institute in the City of London. He is co-author with Professor Frank Fabozzi of The Global Money Markets
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