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The REPO Handbook

The REPO Handbook

Moorad Choudhry
2002
T3 479 pages · about 7h 59m to read Open Librarygoodreads

Practitioner reference for the repo market that funds bill portfolios.

Summary

Moorad Choudhry, a practitioner and academic in fixed income, wrote this reference on the repurchase agreement market, which is the mechanism through which securities positions are financed and through which short-term secured lending occurs.

The content covers the instrument's mechanics: the classic repo, the sell and buy-back, the legal documentation under the Global Master Repurchase Agreement, margin and haircuts, and the treatment of coupon payments and substitution. It covers the market's participants and purposes, including dealers financing inventory, investors lending cash against collateral, and traders borrowing specific securities to deliver against short positions, which produces the distinction between general collateral repo, where any acceptable security will do and the rate reflects cash market conditions, and special repo, where a specific security is in demand and the rate falls, sometimes to zero or below.

Further chapters cover repo trading strategies, the relationship between repo rates and the bond basis, government bond futures and cheapest to deliver calculation, securities lending as a related activity, tri-party arrangements, credit risk and its management, and the accounting and regulatory treatment. The book covers both sterling and international markets. Editions matter substantially, since central clearing, the post-2008 regulatory changes to bank balance sheets, and the transformation of central bank operating frameworks have all altered the market. The instrument mechanics are unchanged.

Key takeaways 7

  1. A repurchase agreement is economically a secured loan and legally a sale with an agreed repurchase, and the legal form determines what happens in a default.
  2. General collateral repo rates reflect cash market conditions while special rates reflect demand for a specific security.
  3. A security going special indicates concentrated short interest and lets its holder finance the position at below-market rates.
  4. Haircuts determine the leverage available against a given security and are the mechanism through which funding conditions tighten.
  5. Repo financing is what allows dealers to hold securities inventory, so dealer capacity depends on repo availability rather than on capital.
  6. Tri-party arrangements let a custodian manage collateral allocation, which reduces operational cost and concentrates operational risk.
  7. The bond basis between cash and futures is determined by repo rates, which makes repo the link between the two markets.

Who should read it

Fixed income practitioners and treasury professionals who need the mechanics, documentation and trading applications of the repo market in one reference.

Similar books 6

Chosen by shared topics, the entries that hold them, and the people who recommended both.

The Money MarketThe Money Market
T2 The Money Market
Marcia L. Stigum · 1978
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Stigum's institutional bible of bills, repo, CP and Fed funds.

A History of Interest RatesA History of Interest Rates
T1 A History of Interest Rates
Sidney Homer, Richard Sylla · 1963
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Interest rates from Babylonian lending through Rome and Europe to modern bonds.

Recommended by: Mohnish Pabrai

Central Banking 101Central Banking 101
T3 Central Banking 101
Joseph J. Wang · 2021
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A former Fed trader on repo, bills and reserve plumbing.

Crunch-Time for Credit? An Inquiry into the Crunch-Time for Credit? An Inquiry into the State of the Credit System in the United States and Britain
T4 Crunch-Time for Credit? An Inquiry into the State of the Credit System in the United States and Britain
Edward Chancellor · 2005
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Listed on his own site

Lombard StreetLombard Street
T1 Lombard Street
Walter Bagehot · 1873
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How the London money market worked, and why a central bank lends freely in a panic.

Slapped by the Invisible HandSlapped by the Invisible Hand
T2 Slapped by the Invisible Hand
Gary Gorton · 2010
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Papers explaining the 2007 crisis as a run on the repo and securitisation system.

Where it sits in the reference 1

Cash, money markets and Treasury bills
Assets

Topics

Finance and MarketsReference WorksFinance, accounting and economics references