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The ICMA Guide to Best Practice in the European Repo Market
Download brochure Course background

The ICMA Guide to Best Practice in the European Repo Market was originally published in March 2014 to consolidate and update a series of previous guidelines, recommendations and statements of market convention issued by ICMA and its European Repo and Collateral Council (ERCC). Updated in late 2015, it is the most authoritative and developed set of recommendations for repo trading and post-trade management and incorporates the ICMA Repo Margining Best Practices.

The Guide’s aim is to help foster a smooth and orderly market in repo in Europe, by recommending practices which market experience suggests can help avoid uncertainties or disagreements. The Guide is increasingly used in client interactions to prevent delays or disruption to repo trading and settlement, as well as clarifying market conventions, usually in response to queries from market participants. Although designed for the European repo market, it has been adopted in Asia (by ASIFMA) and consulted in Australia.

The Guide is not an official code of conduct, but it is an important self-regulatory document which should be able to demonstrate that a firm is striving to meet high standards of conduct. Staff should therefore be familiar with the Guide and the issues it addresses.

The one-day intensive course offered by ICMA Executive Education is designed to give practitioners a thorough overview of repo best practices and market conventions. Split into two parts, the morning session sets the context for the Guide by introducing repo (the instrument and market) in rigorous detail, whilst the afternoon covers the Guide itself.

Who should attend?

The Guide covers issues relevant to front, middle and back offices. It will therefore be relevant to staff in trading and sales, treasury, trade support, product and business management, collateral management, margining, settlement and legal/documentation.

Programme Recognition

Candidates who complete the ICMA Guide to Best Practice in the European Repo Market training programme qualify for 6.5 credit hours under the guidelines of the CFA Institute’s Continuing Education Programme.

Course Tutor

Richard Comotto 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.

Click here to see Richard's primer on tri-party repo.

Download brochureThe course content is divided into several topic areas, which are then broken down into multiple subtopics:

1. Understanding how a repo works and what is does
  • name, basic structure, terminology
  • legal construction and economic purpose of a repo
  • how repo is used
  • general principles to observe when managing repo

2. Differentiating types of repo
  • repurchase agreements
  • sell/buy-backs, undocumented & documented
  • US repo
  • synthetic repo
  • pseudo repo (things called repo, which aren’t)
  • basic variants of repurchase agreements:
    • fixed-rate
    • floating-rate
    • open and evergreen
    • forward
  • comparing repo and securities lending

3. Understanding repo rates
  • what is GC repo?
  • what are specials?
  • defined GC baskets and repo indexes

4. An overview of repo market infrastructure
  • trading venues (direct, voice-brokers, ATS, hybrid)
  • clearing counterparties (CCP)
  • collateral management agents (tri-party)
  • payment & settlement agents (custodians, CSDs, ICSDs)
  • combined infrastructures: ATS/CCP/tri-party configurations, GC financing/pooling

5. Background
  • The ICMA and ERCC
  • The role of the Guide

6. Before the trade
  • what needs to have been agreed with the counterparty before trading?
  • the role of documentation. What is a master agreement? The GMRA
  • key operational clauses to agree before trading:
    • interest rates for late payment
    • policy on partial delivery
    • recommended delivery size
    • anticipating problems caused by low or negative repo rates
  • communicating with counterparties
  • managing disputes

7. Initiating a repo transaction
  • the need for clear communication
  • who are you dealing with, a principal or an agent?
  • fixing the Purchase, Repurchase and other dates
  • quoting the price of a repo
  • quoting the Purchase Price in repurchase agreements and sell/buy-backs
  • allocating collateral in a GC repo
  • agreeing the price of collateral
  • giving and asking for rights of substitution
  • verifying the terms of transactions: confirmation and affirmation

8. Transaction maintenance
  • terminating open repo
  • calculating open repo interest payments
  • calculating floating-rate interest payments
  • what happens when there is a coupon, dividend and other interest payments?
  • exercising agreed rights of substitution
  • what happens when there is a corporate event?
  • confirming and affirming post-trade amendments and updates to the terms of a repo

9. Margin maintenance
  • applying an initial margin or haircut
  • what transactions are included in the calculation of Net Exposure?
    • general rule
    • forward repos
  • what price is used to value collateral?
  • how often should Net Exposure be calculated and margin called?
  • margin thresholds and minimum transfer amounts
  • what is the deadline for making a margin call?
  • where margin is given in the form of securities, what issues have to be accepted by the margin-taker?
  • should initial margin or haircut be deducted from margin securities?
  • what is the deadline for delivering margin?
  • can margin securities be substituted?
  • interest payments on cash margin
  • how is “re-pricing” used to eliminate Net Exposures?
  • when is margin returned?
  • what happens if margin is not delivered?
  • what happens if there is a dispute about a margin call?
  • checklist of margin parameters to be agreed between parties before trading

10. Dealing with problems
  • exercising a ‘mini close-out’ in response to a failure to deliver on the Repurchase Date

Details of the next seminar

31 October 2016

International Capital Market Association (ICMA) Limited
3rd Floor
23 College Hill
London EC4R 2RP
United Kingdom


The cost of the course is £625 for ICMA Members and £950 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

Please click here to view our terms and conditions before registering.


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

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