Securities Finance Securities Lending and Repurchase Agreements

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Edition: 1st
Format: Hardcover
Pub. Date: 2005-08-08
Publisher(s): Wiley
List Price: $126.00

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Summary

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.

Author Biography

FRANK J. FABOZZI, PhD, CFA, CPA, is the Frederick Frank Adjunct Professor of Finance at Yale University's School of Management. He is also a Fellow of the International Center for Finance at Yale University. Prior to joining the Yale faculty, Fabozzi was a visiting professor of finance in the Sloan School of Management at MIT. Fabozzi has authored and edited many acclaimed books in finance and is also the Editor of the Journal of Portfolio Management.

STEVEN V. MANN, PhD, is Professor of Finance at the Moore School of Business, University of South Carolina. He has coauthored four previous books and numerous articles in the area of investments, primarily fixed-income securities and derivatives. Mann also works as a consultant to investment/commercial banks and has conducted training programs for financial institutions throughout the United States.

Table of Contents

Prefacep. ix
About the Editorsp. xiii
Contributing Authorsp. xv
Securities Lendingp. 1
An Introduction to Securities Lendingp. 3
Securities Lending, Liquidity, and Capital Market-Based Financep. 39
Finding a Route to Market: An Institutional Guide to the Securities Lending Labyrinthp. 57
Evaluating Lending Optionsp. 79
The Auction Process and Its Role in the Securities Lending Marketsp. 87
The Fundamentals of Fixed Income Securitiesp. 107
Managing Liquidity Risks in Cash-Based Lending Programsp. 127
Quantifying Risks in Securities Lending Transactionsp. 141
Risk, Return, and Performance Measurement in Securities Lendingp. 151
Developing Effective Guidelines for Managing Legal Risks-U.S. Guidelinesp. 167
Tax Issues Associated with Securities Lendingp. 179
Accounting Treatment of Loans of Securitiesp. 205
Bond Financing via the Repo Marketp. 219
Repurchase and Reverse Repurchase Agreementsp. 221
The European Repo Marketp. 241
Overview of U.S. Agency Mortgage-Backed Securitiesp. 255
Dollar Rollsp. 283
Evaluating the Interaction of Dollar Rolls and MBS Investmentsp. 299
Equity Financing Alternatives to Securities Lendingp. 315
Equity Financing Alternatives to Securities Lendingp. 317
Indexp. 333
Table of Contents provided by Ingram. All Rights Reserved.

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