Repo: Mechanics, Pricing and Strategies

Characteristics of the REPO market
  • Introduction: history and market development
  • Recent market evolution
  • Definitions and analysis
  • The various market players and their objectives
  • Market standards: convention, maturity, size and clearing
  • Contracts and Master Agreements
  • Spread margin and duration
  • Notion of duration
  • Repo pricing
  • Repo market trading examples
  • Associated risks
  • Impact of repo trades on banking regulatory ratios
  • Effects of the crisis
  • Practical workshop
  • Mark to market (fixed and floating rate)
  • Carry, margin calls
  • Cash/futures basis and repo impact
  • Standard strategies
  • Lehman Brothers’ REPO 105
Role and Organisation of the Main Central Banks
  • Main role, organisation and monetary policy tools
  • Euribor/ Eonia, Libors
  • Main refinancing operations
  • Changes in money markets
  • Minimum reserves and liquidity
  • Practical workshop
  • Bidding analysis and liquidity exposure
Contracts and Risks of Repo Trades
Tripartite Repo
  • Mechanics and main uses
  • Tripartite repo market: evolution and recent developments
  • Impacts and trading tools
  • Key role of front to back process
  • Practical workshop
  • Construction and pricing of tripartite baskets
Pricing, Strategies and Book Management
  • Repo and arbitrage
  • Trading of specials
  • Money market strategies
  • Bond market strategies
  • Practical workshop
  • Complete case study of the management of a repo book
Total Return Swaps: TRS vs Repo
  • TRS and TROR
  • Ownership vs flexibility
  • Balance sheet issues

  • Understand the mechanics and the different forms of securities lending
  • Understand monetary policies and their impacts on financial markets
  • Master the pricing and the main uses of repo on money and bond markets
  • Understand the tripartite repo market and its influence on front to back processes
  • Obtain a practical understanding of the repo market
  • Complete review of repo market practices and techniques with many real case-studies
  • Tripartite repo: impact and development
  • In depth analysis of funding methods as well as solutions provided by securities lending
  • Study of the effects of the financial crisis on the repo market
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