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.

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