The Repo Handbook

Describes the repo instrument, its mechanics, and its operation with examples from the 2007-8 liquidity crisis.

Moorad Choudhry (Author)

9780080974682, Elsevier Science

Paperback / softback, published 24 August 2000

576 pages
22.9 x 15.1 x 3.5 cm, 0.8 kg

"The most authoritative source on the repo market. Other texts I have seen totally lack Professor Choudhry's clarity of exposure and really important taste for technical detail." --Matteo Regesta, Interest Rate Strategist, BNP Paribas, London

The Repo Handbook, Second Edition presents an overview of repo vehicles and markets with sufficient depth for those seeking detailed explanations. In three parts it demonstrates how these secured loans fit into global capital markets and why they account for up to 50% of daily settlement activity in non-US government bonds worldwide. This new edition replaces old examples and introduces new developments, such as structured finance repo and associated topics such as Basel II regulatory rules. In addition, 12 of 18 chapters feature new sections and 4 have been substantially rewritten. The UK gilt and US Treasury repo markets are explored through worked examples, and there are new sections on funding arbitrage trades, risk exposures, and regulatory capital. It also places repo in context within bank asset-liability management and trading techniques, illustrating repo use across a wide range of applications in the global money markets. Rarely mentioned in the financial press because of the simple, straightforward nature of the instrument, repo was often the only funding source available to banks during the last quarter of 2008 and the first in 2009. This book, written by a trader, will draw new attention to this valuable and efficient funding and investment product.

Part I Repo and the debt capital markets1. Intro to repo2. Market background: Bond markets I3. Market background: Bond markets II4 .Money markets5. The repo instrument6. Uses and economic functions7. Structured repo and the Total Return Swap8. Trading and Hedging9. ALM10. Gilt and US Treasury repo

Subject Areas: Investment & securities [KFFM], Banking [KFFK], Finance [KFF], Economics, finance, business & management [K]