ICMA Intensive One-Day Workshop: Repo & the European Repo Market

Date and Venue

Date: 4 June 2019
Time: 09.00-18.00

Venue: International Capital Market Association (ICMA) Limited, London


Short but comprehensive and therefore intensive training for those requiring a detailed familiarisation with repo and the repo market who do not have two or three days to spare. Suitable for staff from all departments of firms active in the repo market as well as for those firms who support repo market participants such as legal advice and technology.

Over a full day, the workshop covered the following:
  • explained the legal and economic essence of a repo, building a well-grounded understanding which  provided delegates with insight into post-trade transaction and collateral management procedures and other features of repo, as well as enabling them to work from first principles in order to analyse and address day-to-day issues arising in their repo business;
  • recognize the benefits but also the constraints on collateral as a hedge for credit and liquidity risks, and the consequences for the behaviour of the repo market in crisis;
  • familiarised delegates with the core procedures for collateral management including the use of collateral after a default and the problem of collateral not being delivered;
  • differentiated the two basic species of repo and the variants of the repurchase transaction as well as explaining the relationship of repo to securities lending;
  • compared and contrasted the two segments of the repo market (GC and specials) and highlight the drivers of the repo rate in both
  • explained the function and basic construction of the GMRA, which is the standard global master agreement for repo;
  • offered a perspective on the technology that currently supports each stage in the life-cycle of a repo in Europe;
  • set out the regulatory context that shapes repo activity in Europe and weigh the impact.
There are no qualifications or other prerequisites for attending but it would be helpful to understand the basic mechanics of a bond.


What is a repo?
  • basic mechanics & collateral criteria
  • terminology
  • legal structure (why title transfer v security interest, what is equivalent collateral, re-characterization risk)
  • economic operation (distribution of collateral risk/return including collateral income & corporate actions)
  • accounting consequences
  • core uses: financing long and covering short positions in securities, collateral transformation
  • default risk on repo
  • liquidity risk on repo
  • residual risks & implications for the hedging of counterparty risk with collateral

Collateral management under the GMRA

  • initial margin & haircut
  • marking to market & margin maintenance (variation margining) under the GMRA
  • substitution of collateral
  • what happens in a default under the GMRA?
  • what happens if there is a failure to deliver collateral?

 Repo structures

  • repurchase transactions v sell/buy-backs
  • variants of repurchase transactions
  • forward repo
  • floating-rate repo
  • open & evergreen repo
  • comparing repo v securities lending

 GC and specials markets

  • general collateral: OTC & ATS/CCP definitions
  • GC repo rate & spreads to other money market instruments
  • specifics & specials: OTC & ATS/CCP definitions
  • what makes collateral go on special?


  • what is a master repurchase agreement
  • architecture of the GMRA: main text, annexes & confirmations
  • negotiating a GMRA
  • legal opinions

 European repo market infrastructure

  • trading venues
  • matching
  • clearing
  • collateral management delegating collateral management (delivery v HIC v tri-party)
  • market infrastructural models: OTC, traditional triparty, Swiss triparty, bilateral electronic, anonymous electronic, OTC post-trade clearing, GC financing


  • Basel III risk-weighted capital
  • Basel III Leverage Ratio
  • Basel III LCR & NSFR
* Please note that ICMA reserves the right to make changes to this agenda.