An Introduction to Repo Markets (Google eBook)

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John Wiley & Sons, Jan 31, 2011 - Business & Economics - 224 pages
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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.

This 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.

  

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Contents

IMPORTANCE OF REPO
MARKET PARTICIPANTS
OTHER REPO PRODUCTS
SELECTED REFERENCES
DISCOUNTING AND PRESENT VALUE
MONEY MARKET INSTRUMENTS
OVERVIEW OF BOND MARKET INSTRUMENTS
ACCRUED INTEREST
SPECIALS TRADING
CREDIT INTERMEDIATION
MATCHED BOOK TRADING
HEDGING TOOLS
THE IMPLIED REPO RATE AND BASIS TRADING
SELECTED REFERENCES
ZEROCOUPON RATES
BOOTSTRAPPING FROM THE PAR YIELD CURVE

SELECTED BIBLIOGRAPHY
USES AND ECONOMIC FUNCTIONS
MARGIN
OTHER REPO MECHANICS
REPO DEALING RISKS
SELECTED REFERENCE
BASKET REPO
SYNTHETIC REPO VIA THE TOTAL RETURN SWAP
REPO CONDUIT
SELECTED REFERENCE
INTRODUCTION
IMPACT ON THE GILT MARKET
MARKET STRUCTURE
GILT REPO AND THE YIELD CURVE
PATTERNS OF TRADING
GILTS SETTLEMENT AND CREST
GILT REPO CODE OF BEST PRACTICE
TRADING APPROACHES
THE RELATIONSHIP BETWEEN PAR ZERO AND FORWARD RATES
EXAMPLES
FORWARD PRICING AND REPO
TBMAICMA AGREEMENT
STRUCTURE
KEY PRINCIPLES
NEGOTIATION OF THE GMRA
CONDITION PRECEDENT
PRODUCT AND COUNTERPARTYSPECIFIC AMENDMENTS AND ADDITIONAL ANNEXES
SELECTED REFERENCES
ACCOUNTING TAX AND CAPITAL ISSUES
CAPITAL TREATMENT
THE BASEL II FRAMEWORK
ANSWERS TO EXERCISES
APPENDIX A DURATION
APPENDIX B BASIS TRADING AND THE CTD BOND
APPENDIX C VOLATILITY
Copyright

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About the author (2011)

Dr Moorad Choudhry 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.

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