The Repo Handbook by Moorad ChoudhryThe Repo Handbook by Moorad Choudhry

The Repo Handbook

byMoorad Choudhry

Paperback | May 13, 2010

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The Repo Handbook, Second Editionpresents 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.

  • Describes repo instruments, which appeal to market participants because of their simplicity and malleability
  • Explains the institutional treatment of repos, especially in terms of risk, accounting, tax and legal issues, and equity repo
  • Details the government bond basis, implied repo rate, and basis trading
Moorad Choudhry is Chief Executive Officer, Habib Bank Zurich PLC in London, and Visiting Professor at the Department of Mathematical Sciences, Brunel University. Previously he was Head of Treasury of the Corporate Banking Division, Royal Bank of Scotland. Prior to joining RBS, he was a bond trader and structured finance repo trader at...
Title:The Repo HandbookFormat:PaperbackDimensions:576 pages, 8.75 × 6.35 × 0.68 inPublished:May 13, 2010Publisher:Butterworth (trade)Language:English

The following ISBNs are associated with this title:

ISBN - 10:0080974686

ISBN - 13:9780080974682


Table of Contents

Part I: Repo and the Debt Capital Markets, Part II: The Treatment of Repo, Part III: The Government Bond Futures Contract, the Cheapest-to-Deliver, Bond Trading and Implied Repo Rate