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Securities Finance
Securities Lending and Repurchase Agreements
Frank J. Fabozzi (Author), Steven V. Mann (Author)
9780471678915, Wiley
Hardback, published 26 August 2005
368 pages
23 x 16.3 x 2.7 cm, 0.62 kg
In Securities Finance, editors Frank Fabozzi and Steven Mann assemble a group of prominent practitioners in the securities finance industry to provide readers with an enhanced understanding of the various arrangements in the securities finance market. Divided into three comprehensive parts—Securities Lending, Bond Financing via the Repo Market, and Equity Financing Alternatives to Securities Lending—this book covers a wide range of securities finance issues, including alternative routes to the securities lending market, evaluating risks in securities lending transactions, U.S. and European repo markets, dollar rolls and their impact on MBS valuation and strategies, derivatives for financing equity positions and equity repos, and more. Filled with in-depth insight and expert advice, Securities Finance contains the information readers need to succeed in this rapidly expanding market.
Preface ix About the Editors xiii Contributing Authors xv Part One Securities Lending 1 Chapter 1 An Introduction to Securities Lending 3 Chapter 2 Securities Lending, Liquidity, and Capital Market-Based Finance 39 Chapter 3 Finding a Route to Market: An Institutional Guide to the Securities Lending Labyrinth 57 Chapter 4 Evaluating Lending Options 79 Chapter 5 The Auction Process and Its Role in the Securities Lending Markets 87 Chapter 6 The Fundamentals of Fixed Income Securities 107 Chapter 7 Managing Liquidity Risks in Cash-Based Lending Programs 127 Chapter 8 Quantifying Risks in Securities Lending Transactions 141 Chapter 9 Risk, Return, and Performance Measurement in Securities Lending 151 Chapter 10 Developing Effective Guidelines for Managing Legal Risks—U.S. Guidelines 167 Chapter 11 Tax Issues Associated with Securities Lending 179 Chapter 12 Accounting Treatment of Loans of Securities 205 Part Two Bond Financing via the Repo Market 219 Chapter 13 Repurchase and Reverse Repurchase Agreements 221 Chapter 14 The European Repo Market 241 Chapter 15 Overview of U.S. Agency Mortgage-Backed Securities 255 Chapter 16 Dollar Rolls 283 Chapter 17 Evaluating the Interaction of Dollar Rolls and MBS Investments 299 Part Three Equity Financing Alternatives to Securities Lending 315 Chapter 18 Equity Financing Alternatives to Securites Lending 317 Index 333
Mark C. Faulkner
State Street
Mark C. Faulkner
Anthony A. Nazzaro
Daniel E. Kiefer and Judith G. Mabry
Frank J. Fabozzi
Ed Blount and Aaron J. Gerdeman
Mark C. Faulkner
Peter Economou
Charles E. Dropkin
Richard J. Shapiro
Susan C. Peters
Frank J. Fabozzi and Steven V. Mann
Richard Comotto
Frank J. Fabozzi
Frank J. Fabozzi and Steven V. Mann
Anand K. Bhattacharya, Paul Jacob, and William S. Berliner
Frank J. Fabozzi and Steven V. Mann
Subject Areas: Finance & accounting [KF]
