ICMA Intensive one-day workshop: Repo & the European repo market

Date and Venue

Date: 27 September 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:
  • Explaining the legal and economic essence of a repo, building a well-grounded understanding which will provide 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;
  • recognising 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;
  • familiarising delegates with the core procedures for collateral management including the use of collateral after a default and the problem of collateral not being delivered;
  • differentiating the two basic species of repo and the variants of the repurchase transaction as well as explaining the relationship of repo to securities lending;
  • comparing and contrasting the two segments of the repo market (GC and specials) and highlight the drivers of the repo rate in both;
  • explaining the function and basic construction of the GMRA, which is the standard global master agreement for repo;
  • offering a perspective on the technology that currently supports each stage in the life-cycle of a repo in Europe;
  • setting 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.


08.45 Registration, Tea & Coffee

09.00     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 events/actions)
  • accounting consequences
  • core uses: financing long and covering short positions in securities

10.45     Types of repo

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

11.45     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
  • specials rates
  • what makes collateral go special?

12.30     Lunch

13.15     How is repo used

  • bond valuation
  • secondary market
  • primary market
  • collateral transformation
  • interest rate swaps & bond futures

14.15     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

15.00   Break

15.15     The GMRA

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

16.00     Collateral management under the GMRA

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

17.00     Regulation

  • Basel III risk-weighted capital
  • Basel III Leverage Ratio
  • Basel III LCR & NSFR

18.00     Event close

* Please note that ICMA reserves the right to make changes to this agenda.