The Repo Market - Applications in Today's Market
25-26 October 2010, London, City Location
The repo market is the lubricant that keeps the financial engine running. It serves as the link between the money and capital markets, and is vital to the well functioning of the financial markets. The turmoil in the market over the past two-years has further enhanced the importance of the repo market.
This practical 2 day training will explain the main characteristics and processes related to the repo market as well as the impact of recent events on future developments.
By the end of this course you will:
- Understand the repo market, its main players and types of transactions
- Explore the cash flows associated with different repo transactions
- Learn about different repo applications including yield curve trading, matched book trading and basis trading with futures
- Be able to identify and assess the risks arising from using repo and how to minimise the exposure to those risks
- Explore the recent market trends, the impact of the crisis and future developments
Course Level: Introductory to Intermediate
The course is designed for those that have a broad knowledge of the markets in general i.e. money and capital markets together with derivatives, but even so delegates with little experience will find it useful as an overview of all the key products and markets will be given on the course.
Main Topics Covered During This Training
- The Repo market: main participants & market size
- Repo instrument explained
- The mechanics of repo agreements
- Calculating cash flows in repo transactions
- Using repo in bond markets
- Identifying and managing repo risks
- Repo administration: legal, documents, netting
- Government bond future and basis trading
- Market developments since 2007
Who Should Attend
- Brokers
- Traders
- Fund Managers
- Hedge Funds
- Risk managers
- Treasurers
- Settlement and Operations Personnel
- Custodians
- Institutional Sales
- Auditors
- IT staff
Prerequisites:
Basic understanding of the following aspects will be useful:
- The concept of 'Time value of money'
- Bond and money market fundamentals
- Derivatives products including swaps, options and futures.
However, this is not an absolute requirement as a brief review of these topics is given at the start of the programme.
Teaching Method
The programme will use practical case studies and exercises explaining diferent aspects of Repo Market. Tutor will be focused on teaching practical strategies that can be taken back to your business and put into immediate effect.
You will also benefit from a comprehensive take away course documentation.
In order to help us establish your individual and business concerns, you will be asked to fill a pre-course questionnaire.
The Repo Market - Applications in Today's Market - A 2 Day Programme
Introduction to the Repo Market
- Why a repo market exists
- The market participants
- Market size
The Repo Instrument
- The mechanics of repo agreements
- Classic repo v buy/sell-back
- Securities lending
- Classic repo v securities lending
- Repo mathematics
- Repo variations: bilateral, hold-in-custody (HIC), tri-party repo structures
- Repo mechanics
- Collateral
- General (GC) and special (SC) collateral; rights of substitution
- Margin ‘haircut ’ agreements
Case Study: Delegates will calculate the initial and terminal cash flows on a number of repo transactions
Users and Applications of Repo in Bond Markets
- Funding positions
- Yield enhancement techniques using repo
- Trading & hedging applications
- Credit intermediation
- Yield curve trading
- Specials trading
- Matched book trading
- Repo and the CDO market
- Equity repo
DAY TWO
Repo Dealing Risks
- Identifying the risks
- Credit risks
- Counterparty risk
- Credit ratings review
- Collateral risk
- Market risk
- Liquidity risk
- Legal & operational risks
Repo Admin
- Legal & documentation issues
- Legal treatment
- Differentiating repo from collateralized loans
- The Global Master Repurchase Agreement [GMRA]
- Repo netting
- Advantages of netting
- Settlement netting and novation
- Close-out netting under GMRA
- LCH.Clearnet RepoClear
- Regulatory treatment of repo transactions
- Capital adequacy treatment
- Basel II and repo
Government Bond Futures & Basis Trading
- Bond futures contract specification explained
- Understanding the deliverable basket concept
- Price (conversion) factor calculation
- Invoice amount formula
- Understanding the cash & futures relationship
- Introducing the cash and carry arbitrage
- Calculating implied repo rates [IRR]
- The role of the actual repo rate and the significance of the net (value) basis
- Trading the basis
- Using the IRR to enter the trade
Market Developments since 2007
- Key features of the US, euro area, and UK repo markets
- Conditions in repo markets during the crisis
- Key differences between US and European repo markets during the crisis
- Central bank response and impact on repo markets
- The longer-term implications for the repo markets
Paul North (B.A. Hons)
Paul has over 20 years experience of working and teaching in the financial and derivatives industry. Paul joined the London International Financial Futures and Options Exchange (LIFFE) in 1988, spending several years on the exchange trading floor before transferring to LIFFE’s Business Development Department.
During his time at LIFFE, Paul worked in the fields of broker relations, product research and development, marketing, market automation and education. Paul was Head of Education at LIFFE, before leaving in Dec 1998 to pursue a freelance career in financial education and consultancy.
Paul is also a qualified teacher and has extensive speaking experience both in the UK and abroad, covering all the major aspects of financial markets. Paul has taught delegates from virtually all of the worlds leading investment banks, funds and trading houses. The list of clients includes JP Morgan, Goldman Sachs, Deutsche Bank, Barclays Capital, Morgan Stanley and Merrill Lynch among others.
25-26 October 2010 London, The City
Early Bird Price till 31 August £1795 +17.5% VAT
Regular price: £1950 + VAT
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DISCOUNTS
- 2 people - 5% discount, 3 people - 10% discount. Delegates have to be from the same company and register at the same time.
- Sign up to 2 of our courses at the same time and you receive 10% discount off the price of the cheaper course.
IN-HOUSE TRAINING
If you have a team of 4 or more this course can be customised and organised in-house at your convenience. Contact one of our advisors to find out more.
Call us now on +44 (0) 207 193 5035
or send an e-mail to: enquiry@eurekafinancial.com
