Understanding the repo market

Content

Money Market Overview

This brief section provides an overview of the money market, its products and conventions for calculating interest rates. This is useful when studying certain aspects of the repo market.

- Explanation of the Money Markets

- Calculating Interest

- Conventions in the Market

- Cash Deposits, T-bills, Bills of Exchange, CD's, CP

Bond Market Overview

The following section provides an overview of the important concepts of the bond market, which are relevant to the understanding of the repo market.

- Definition of Bond Types

- Coupon and Accrued Interest

- Calculating a Bond Price/Yield

- Yield to Maturity and Spot Yield Curve

Derivatives Overview

This section covers a brief overview of the key concepts relating to derivatives contracts, which are commonly applied in the trading of repos.

- Definition of Bond Futures

- Explanation of Interest Rate Swaps

- Types of Options

Repo Market

This section provides an explanation of the different types of repos that can be traded and how they are priced and settled on a bilateral or tri-party basis.

- Market Development and History - GMRA

- Definition of Repo Types and Legal Agreement

- Classic Repo / Sell

- Buy Back / Collateral Lending

- Cross Currency Repos

- Comparison of Repo Types

- Quoting a Repo Price

- Hold in Custody

- General Collateral v Special

- Haircuts and Types of Margin Settlement

- Bilateral and Tri-Party Settlement

- LCH Margining Arrangements

Applications of Repos

The following section concludes with a study of the different user types and uses of repos to provide an understanding of the interrelationships that exist across different markets.

- Bond Dealers and Market Makers

- Investors

- Fund Managers

- Corporate Treasurers

- Futures and Options Traders

- Swap Dealers

- Central Bank Operations

















































Todays Date: 8 September 2017
Duration 1 day