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Repo and Collateral Workshop

Repo and Collateral Workshop

Banking and Financial Markets, Banking Operations

Duration: One day

Information

This one-day course explains the mechanics, terminology and risks associated with the Repo markets. It will examine collateral and collateral management as a risk mitigating technique and look at practical structures.

Schedule

Session 1:

Buy/Sell transactions

Review of mechanics
Cash flows
Calculations

Session 2:

Classic repo Cash flows Market conventions
Participants
Market size growth
Calculations
Review of mechanics

Session 3:

Repo calculations

Interest basis & conventions
Accrued interest
General collateral
Special collateral
Haircuts
Margin Calls
Acceptable collateral and Substitution
Early Termination and Close out

Session 4:

Securities lending

Comparison with repo
Application

Session 5:

Legal and Documentational issues

Legal framework
PSA-ISMA Master Agreement

Session 6:

Market users & motives

Securities dealers
Bank treasuries
Corporate treasuries
Fund & money managers
Central banks

Session 7:

Collateralisation

Definition of collateral
The relative merits of collateral
The types of trade that can be collateralised
Why there is growth in Collateralisation

Session 8:

The advantages & risks of collateralised trades

Mitigation of credit risk
Correlation risk
Tracking, valuation & calling collateral
Return on capital
Influence on bid/offer spreads

Session 9:

Practical structures

Revaluation method
Break clauses
Add-ons
Third party credit support

Course Close

Register interest

As every course we run is tailored to meet the specific needs of each client, we can only provide an estimate after fully understanding your specific requirements. Please complete the form below of call +44 (0) 208 894 4977 to discuss how Taylor Associates can help you.