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Securities Finance: Securities Lending and Repurchase Agreements

Securities Finance: Securities Lending and Repurchase Agreements

Frank J. Fabozzi, Steven V. Mann

ISBN: 978-0-471-75605-7

Sep 2005

351 pages



In Securities Finance, editors Frank Fabozzi and Steven Mann assemble a group of prominent practitioners in the securities finance industry to provide readers with an enhanced understanding of the various arrangements in the securities finance market. Divided into three comprehensive parts—Securities Lending, Bond Financing via the Repo Market, and Equity Financing Alternatives to Securities Lending—this book covers a wide range of securities finance issues, including alternative routes to the securities lending market, evaluating risks in securities lending transactions, U.S. and European repo markets, dollar rolls and their impact on MBS valuation and strategies, derivatives for financing equity positions and equity repos, and more. Filled with in-depth insight and expert advice, Securities Finance contains the information readers need to succeed in this rapidly expanding market.

About the Editors.

Contributing Authors.

PART ONE: Securities Lending.

Chapter 1: An Introduction to Securities Lending (Mark C. Faulkner).

Chapter 2: Securities Lending, Liquidity, and Capital Market-Based Finance (State Street).

Chapter 3: Finding a Route to Market: An Institutional Guide to the Securities Lending Labyrinth (Mark C. Faulkner).

Chapter 4: Evaluating Lending Options (Anthony A. Nazzaro).

Chapter 5: The Auction Process and Its Role in the Securities Lending Markets (Daniel E. Kiefer and Judith G. Mabry).

Chapter 6: The Fundamentals of Fixed Income Securities (Frank J. Fabozzi).

Chapter 7: Managing Liquidity Risks in Cash-Based Lending Programs (Ed Blount and Aaron J. Gerdeman).

Chapter 8: Quantifying Risks in Securities Lending Transactions (Mark C. Faulkner).

Chapter 9: Risk, Return, and Performance Measurement in Securities Lending (Peter Economou).

Chapter 10: Developing Effective Guidelines for Managing Legal Risks—U.S. Guidelines (Charles E. Dropkin).

Chapter 11: Tax Issues Associated with Securities Lending (Richard J. Shapiro).

Chapter 12: Accounting Treatment of Loans of Securities (Susan C. Peters).

PART TWO: Bond Financing via the Repo Market.

Chapter 13: Repurchase and Reverse Repurchase Agreements (Frank J. Fabozzi and Steven V. Mann).

Chapter 14: The European Repo Market (Richard Comotto).

Chapter 15: Overview of U.S. Agency Mortgage-Backed Securities (Frank J. Fabozzi).

Chapter 16: Dollar Rolls (Frank J. Fabozzi and Steven V. Mann).

Chapter 17: Evaluating the Interaction of Dollar Rolls and MBS Investments (Anand K. Bhattacharya, Paul Jacob, and William S. Berliner).

PART THREE: Equity Financing Alternatives to Securities Lending.

Chapter 18: Equity Financing Alternatives to Securites Lending (Frank J. Fabozzi and Steven V. Mann).