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International Repo: Instrument, Use, Management and Market
Attending the course will help you:
  • Understand the purpose of tri-party repo and its construction in the Europe and the US
  • Examine the differences between repurchase agreements and sell/buy-backs
  • Look at the role of collateral and the limits of that role
  • Learn about the use of repo in the trading, hedging and pricing of cash bonds and derivatives

Course background

Even before the financial crisis that broke in 2007, short-term funding had been shifting from unsecured instruments to repo and other securities financing transactions. This was the product of regulation, the growth of the securities market and concern among cash investors about the concentration of their risk exposures in the banking sector. The crisis accelerated that shift, but it also extended it, by prompting new regulatory initiatives that require further collateralisation, which will rely on the repo market to intermediate the supply of and demand for collateral. At the same time, other regulatory initiatives have sought to constrain the use of repo because of fears about the possible systemic risks arising from short-term wholesale funding. Repo has therefore simultaneously become more important and more complicated. This challenge is compounded by the widespread misunderstanding of the instrument and its use.

Who should attend?

The course is designed for anyone involved in repo trading, operational and risk management, and third-party affirmation, clearing and settlement services, as well as legal and documentation staff, regulators, central bankers, systems developers and journalists. It provides a rounded but rigorous insight into an instrument and market for which it is impossible to segment areas of functional responsibility.

Course Tutor

Richard Comotto

Richard is a Senior Visiting Fellow at the ICMA Centre at the University of Reading, where he is responsible for the money markets module of the Centre's postgraduate finance programme. He also compiles ICMA’s semi-annual European repo market survey and is Course Director for a number of educational programmes for the repo and securities lending markets, including the ICMA Professional Repo Market Course, ICMA’s GMRA Workshop and the ICMA-ISLA GMRA-GMSLA Workshop.

Richard acts as an independent consultant, providing research and training on the international money, securities and derivatives markets to professional market associations, government agencies, regulatory authorities, banks, brokers and financial information services.

He has written a number of books and articles on a range of financial topics, including the foreign exchange and money markets, swaps and electronic trading systems and takes particular interest in the impact of ‘electronic brokers’ on the foreign exchange market and in the more recent introduction of electronic trading systems into the bond and repo markets.

Richard served for ten years at the Bank of England in the Foreign Exchange Division and on secondment to the International Monetary Fund in Washington DC.

Course Outline

Day One

How the repo instrument works
  • legal and economic structure: legal sales; economic loans
  • comparison with secured loans
  • US v other repos
  • core uses: financing long and covering short positions
  • market conventions & terminology

Risk/return characteristics of repo
  • transfer of title, retention of risk/return
  • use of collateral, avoiding confusion with re-hypothecation
  • treatment of collateral accrued interest & income
  • exposure to counterparty & collateral credit risks, & funding liquidity risks
  • what collateral cannot do: operational & legal risks in repo
  • implications of legal & economic character for accounting, IFRS, Repo 105 & MF Global
  • tax implications

Collateral management

  • types of collateral: government, high grade, credit, credit claims
  • valuation of collateral
  • initial margin/haircut
  • marking to market & margin maintenance
  • rights agreed of substitution of collateral
  • what happens in a default
  • custody (delivery, HIC, tri-party)
  • failure to deliver collateral

Repo structures
  • repurchase agreements
  • sell/buy-backs
  • repurchase agreement variants
    • forward repo
    • floating-rate repo
    • open & evergreen repos
    • synthetic repo

GC and specials markets
  • general collateral: market v ATS/CCP definitions
  • GC repo rate & spreads to other money market instruments
  • Static data and STP in collateral management
  • specials
  • what makes collateral go on special
  • understanding the specials rate, the link to cash prices, trading specials
  • patterns of specialness
  • comparing repo to securities lending

Day Two

Using repo with securities

  • hedging market-making
  • hedging primary markets
  • hedging & pricing forward bonds
  • Trade termination
  • spread, curve & carry trades
  • relative value trades & the forward yield
  • short-selling
  • collateral transformation: upgrade/downgrade trades; liquidity/collateral swaps & term repo

Using repo with derivatives

  • warehousing swaps, impact of the repo rate on swap pricing
  • spread trading against swaps
  • basis trading against bond futures

Regulatory framework

  • Basel III credit risk capital charges & CRDIV/CRR
  • Leverage Ratio
  • Liquidity Coverage Ratio
  • asset encumbrance issues
  • FSB shadow banking recommendations, including margin requirements & trade repositories
  • recovery & resolution regimes

Market structuresize and composition of the market
  • electronic trading
  • CCP
  • tri-party agents
  • the problem of US tri-party repo
  • GC financing/pooling

Legal and documentation issues
  • key legal issues: re-characterisation risk, set-off in insolvency, conflict of laws
  • Financial Collateral Directive
  • review of key parts of the GMRA (2000 & 2011)
  • practical issues

Central bank repo

  • why central banks use repo
  • Fed, ECB standard repo tools
  • collateral frameworks
  • ECB exceptional repos
ICE EducationDetails of the next seminar


ICE Education
5th Floor Milton Gate
60 Chiswell Street
London EC1Y 4SA
United Kingdom

Please email education@icmagroup.org to register your interest to attend our next publicly scheduled course.

Based at ICE Education London offices: IntercontinentalExchange® (NYSE: ICE), is a leading operator of regulated global futures exchanges, clearing houses and over-the-counter (OTC) markets.


£1,400 for members and £1,850 for non-members

Course materials will be provided to candidates in electronic format prior to the start of programme. Please ensure that you have access to this document during the course by either printing off a copy or by downloading it on your laptop, iPad or Tablet.

Should you require a hard copy of the course materials, there is a charge for printing off and sending the course materials to the training venue.  Please contact education@icmagroup.org a minimum of two weeks before the course start date for further details on this.

Payment can be made by secure online credit card or by invoice. 

Terms and conditions

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Should you have any queries, please contact education@icmagroup.org

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