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.
Table of Contents:
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
About the Author :
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.
