Training Courses > Repo & Collateral

Repo & Collateral Workshop, (One Day)

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The course will cover the following:

• A full explanation of the mechanics of buy/sell backs & classic repo
• An introduction to the terminology used in repo markets
• An explanation of the risks associated with repo transactions
• Defining collateral
• Risk mitigating techniques
• Problems associated with collateral management
• Practical structures

Training will be in a workshop format. This will include a mixture of presentation and case study material. The course is designed for up to ten staff.

Below is a summary of the workshop. The content has been placed in a logical sequence and addresses the products, mechanics, methodologies, practical uses and risks.

Morning

Buy/Sell transactions

• Review of mechanics
• Cash flows
• Calculations

Classic repo

• Market size growth
• Participants
• Review of mechanics
• Market conventions
• Cash flows
• Calculations

Repo calculations

• Interest basis & conventions
• Accrued interest
• General collateral
• Special collateral
• Haircuts
• Margin calls
• Acceptable collateral & substitution
• Early termination & close out

Securities lending

• Comparison with repo
• Application

Legal and documentational issues

• Legal framework
• PSA-ISMA Master Agreement

Afternoon

Market users & motives

• Securities dealers
• Bank treasuries
• Corporate treasuries
• Fund & money managers
• Central banks

Collateralisation

• Definition of collateral
• The relative merits of collateral
• The types of trade that can be collateralised
• Why there is growth in collateralisation

The advantages & risks of collateralised trades

• Mitigation of credit risk
• Correlation risk
• Tracking, valuation & calling collateral
• Return on capital
• Influence on bid/offer spreads

Practical structures

• Revaluation method
• Break clauses
• Add-ons
• Third party credit support

End of workshop & review