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Repo & Collateral Workshop, (One Day)

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

Related Documents

Repo - how it works

15th February 2010

A repo involves two parties. One party, (the seller), gives collateral, normally bonds, to the other party, (the buyer). In return the buyer pays a cash amount to the seller. The cash amount involved is based on the market price of the collateral plus its accrued interest. The seller does a repo, the buyer a reverse repo:

Repo Training Guide

Training Courses > Collateral Management

Short courses>Repo, central banks and monetary policy

Monetary policy

25th March 2017

Central Banks (CB’s) have the role of maintaining monetary and financial stability, they produce bank notes and supervise banks and insurance companies. Financial stability may require them to act as “Lender of last resort” to commercial banks. In this way, they provide facilities that promote confidence in the banking sector and more widely in the value of money. In many cases they are independent of government however some commentators believe government influences their decisions, not least by having a hand in the appointment of senior central bankers. Several tools are used to conduct policy. These are discussed below.

Repo risks

6th February 2010

Repo trades involve credit risk, market risk, liquidity risk and operational risk the counterparties involved. In the following the term "buyer" refers to the party that receives the collateral at the start of the trade and the term "seller" refers to the party receiving cash at the start of the trade: