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An Introduction to Repo Markets by Moorad Choudhry

By Moorad Choudhry

The Repo markets have grown dramatically long ago few years as a result of have to hedge brief positions within the capital and derivatives markets. almost all significant forex markets on this planet now have a longtime repo industry, the ability can also be more and more getting used in constructing forex markets in addition.

This e-book is a pragmatic creation that makes a speciality of the tools, purposes and danger administration concepts crucial for this swiftly evolving industry. totally up-to-date to mirror the adjustments in those markets, the booklet additionally comprises labored examples and case reviews, and new sections on basket and established finance repo.

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2 This is also known as a ‘buy/sell-back’. Not surprisingly, they mean the same thing! 12 AN INTRODUCTION TO REPO MARKETS Until an annex was incorporated into the standard GMRA, generally sell/buy-backs were not subject to a legal agreement; so, in effect the seller had no legal right to any coupon, and there was no provision for margin calls during the term of the trade (known as ‘variation margining’). This made the sell/buy-back a higher risk transaction when compared with classic repo, if the counterparty represented relatively high risk.

The standard legal contract is the Bond Market Association (BMA)/ International Capital Markets Association (ICMA) Global Master Repurchase Agreement (GMRA). This is discussed in Chapter 8. The sell/buy-back2 In addition to classic repo there also exists a buy/sell or a sell/buyback. A sell/buy-back is defined as an outright sale of a bond on the value date, and an outright repurchase of that bond for value on a forward date. 1, the cash flows, therefore, become a sale of the bond at a spot price, followed by repurchase of the bond at the forward price.

We discuss this in Chapter 4. . To begin with we shall consider the operation of classic repo, the type prevalent in most markets. Classic repo There will be two parties to a repo trade, let us say Bank A (the seller of securities) and Bank B (the buyer of securities). On the trade date the two banks enter into an agreement whereby on a set date, the value or settlement date, Bank A will sell to Bank B a nominal amount of securities in exchange for cash. The price received for the securities will be linked to the settlement price of the stock on the trade date.

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