Securities Finance

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.

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.

Preface ixAbout the Editors xiiiContributing Authors xvPart One Securities Lending 1Chapter 1 An Introduction to Securities Lending 3Mark C. FaulknerChapter 2 Securities Lending, Liquidity, and Capital Market-Based Finance 39State StreetChapter 3 Finding a Route to Market: An Institutional Guide to the Securities Lending Labyrinth 57Mark C. FaulknerChapter 4 Evaluating Lending Options 79Anthony A. NazzaroChapter 5 The Auction Process and Its Role in the Securities Lending Markets 87Daniel E. Kiefer and Judith G. MabryChapter 6 The Fundamentals of Fixed Income Securities 107Frank J. FabozziChapter 7 Managing Liquidity Risks in Cash-Based Lending Programs 127Ed Blount and Aaron J. GerdemanChapter 8 Quantifying Risks in Securities Lending Transactions 141Mark C. FaulknerChapter 9 Risk, Return, and Performance Measurement in Securities Lending 151Peter EconomouChapter 10 Developing Effective Guidelines for Managing Legal Risks--U.S. Guidelines 167Charles E. DropkinChapter 11 Tax Issues Associated with Securities Lending 179Richard J. ShapiroChapter 12 Accounting Treatment of Loans of Securities 205Susan C. PetersPart Two Bond Financing via the Repo Market 219Chapter 13 Repurchase and Reverse Repurchase Agreements 221Frank J. Fabozzi and Steven V. MannChapter 14 The European Repo Market 241Richard ComottoChapter 15 Overview of U.S. Agency Mortgage-Backed Securities 255Frank J. FabozziChapter 16 Dollar Rolls 283Frank J. Fabozzi and Steven V. MannChapter 17 Evaluating the Interaction of Dollar Rolls and MBS Investments 299Anand K. Bhattacharya, Paul Jacob, and William S. BerlinerPart Three Equity Financing Alternatives to Securities Lending 315Chapter 18 Equity Financing Alternatives to Securites Lending 317Frank J. Fabozzi and Steven V. MannIndex 333