Repo Workshop

Programme Director: Richard Comotto

Repos have hitherto been the preserve of professional traders and gaining an understanding of the instrument has been hampered by the complex legal and operational issues involved in using collateralised instruments.

A key objective of the course is to demonstrate the trading and pricing linkages between repo and other instruments including bonds, interest rate swaps, bond futures and credit derivatives. Delegates will be able to perform all cashflow and price calculations. The course will ensure that delegates have a clear understanding of the operational and legal risks posed by collateral and an appreciation of risk management tools such as margining, tri-party repo, clearing and documentation.

The ICMA Centre has unique expertise in repos. It has close contacts with the repo market through ICMA and ICMA’s European
Repo Council, for whom, the Centre conducts the authoritative semi-annual survey of the European repo market, provides faculty for its industry educational initiative and conducts research. Delegates will benefit from this insight.

Repos are a relatively new money market instrument but the market in them is already one of the largest (the European market
alone is probably about EUR8 trillion) and the instrument has become the core source of liquidity for major banks as well as the
preferred tool of central bank operations. Regulatory pressure is forcing a massive shift in liquidity from unsecured instruments
into collateralised instruments like repos.

Participants will learn how to:

• Understand the special legal and economic characteristics of repos
  
• Recognise operational and legal challenges of using collateral
  
• Identify special collateral & understand what its price shows
  
• Calculate cashflows on repurchase agreements and sell/buy-backs
  
• Explain the impact of repo on the pricing of swaps and bond futures
  
• Calculate implied repo rate and the basis between repo and bond futures
  
• Recognise the special challenges of credit and emerging market repos
  
• Identify the risks in specials trading and short-selling
  
• Understand the tri-party repo 

Who should attend?

• Repo and money market dealers
• Collateral managers
• Funding and liquidity officers
• Treasury managers
• Middle office
• Operations staff

Further information

The ICMA Centre offer a workshop series which are available on a group booking basis. For further information or to request a tailored workshop for your organisation please email l.ley@icmacentre.ac.uk.