Structure repo and reverse repo transactions under GMRA documentation to fund and finance securities positions.
Finance & Banking
Repo, Securities Lending and Collateral Management for Treasury Desks
Learn to structure repo and securities lending transactions, optimise collateral and meet SFTR and liquidity coverage requirements from a treasury desk.
🗓️Duration5 training days
📚Content4 modules · 8 sessions
🎓On completionAccredited attendance certificate
About the programme
Course Overview
Secured funding markets keep bank and dealer balance sheets moving, but repo, securities lending and collateral management now sit under close regulatory and liquidity scrutiny. This course teaches treasury and collateral professionals to structure repo and reverse repo transactions under GMRA documentation, run securities lending and borrowing programmes under GMSLA, and manage haircuts, margining and tri-party collateral allocation across a funding book. Participants build collateral transformation and optimisation strategies that reduce funding cost, then apply SFTR trade and collateral reporting rules and connect secured funding activity to the liquidity coverage ratio and net stable funding ratio. Teaching works through term sheets, collateral schedules and worked funding calculations so participants finish able to run a treasury desk's secured funding and collateral operation with confidence.
Expected Learning Outcomes
Differentiate general collateral and special repo pricing and identify when specials trading creates funding opportunities.
Execute securities lending and borrowing transactions under GMSLA to support settlement, short covering and yield enhancement.
Calculate haircuts and margin requirements for various collateral types across tri-party and bilateral repo structures.
Report securities financing transactions in line with SFTR trade and collateral reporting obligations.
Optimise collateral allocation across a treasury desk to preserve high-quality liquid assets under the LCR.
Design collateral transformation trades that upgrade lower-quality assets into HQLA-eligible collateral.
Who Should Attend
Treasury desk professionals funding balance sheets through repo and securities lending markets.
Collateral management and optimisation specialists in banks and broker-dealers.
Money market and short-term funding traders in bank treasury functions.
Securities lending desk staff at custodian banks and asset managers.
Liquidity risk managers monitoring HQLA and LCR compliance.
Middle-office and operations staff processing repo and securities lending trades.
Course Modules
Select any module to see its sessions and points.
01Repo Market Mechanics and Documentation
2 sessions · 8 points
Session 1Structuring Repo and Reverse Repo Transactions Under GMRA
- Draft repo and reverse repo confirmations under the Global Master Repurchase Agreement, specifying purchase price, repurchase price and margin ratio.
- Distinguish classic repo, sell/buy-back and bond borrowing structures and identify when each is appropriate for a funding need.
- Calculate repo interest and break the repo rate down into a funding cost and an implied collateral value.
- Assess counterparty and legal risk in repo transactions, including treatment on counterparty default under GMRA close-out provisions.
Session 2General Collateral, Specials and Term Structure in Repo Pricing
- Differentiate general collateral repo from special repo and explain how scarcity of a specific security drives specials pricing.
- Identify trading opportunities created when a bond trades special due to short covering demand or auction settlement needs.
- Compare overnight, term and open repo structures and select tenor based on funding and liquidity needs.
- Build a repo rate curve across tenors to support treasury funding and investment decisions.
02Securities Lending and Borrowing Operations
2 sessions · 8 points
Session 1GMSLA Documentation and Lending Programme Structures
- Structure securities lending agreements under the Global Master Securities Lending Agreement, including fee and collateral terms.
- Design an agency securities lending programme, including lender guidelines, approved borrower lists and indemnification terms.
- Distinguish cash and non-cash collateral lending structures and their treatment of collateral reinvestment risk.
- Evaluate the revenue-sharing arrangements between beneficial owners, lending agents and borrowers in a lending programme.
Session 2Borrowing Demand, Fee Negotiation and Rehypothecation Controls
- Analyse borrower demand drivers, including short selling, settlement coverage and collateral upgrade needs.
- Negotiate lending fees and rebate rates for cash-collateralised loans based on security scarcity and general collateral rates.
- Apply rehypothecation limits and client asset protection rules when reusing collateral received from borrowers.
- Monitor recall risk and buy-in exposure when a lender recalls securities that have been re-lent or rehypothecated.
03Collateral Management and Optimisation
2 sessions · 8 points
Session 1Haircuts, Margining and Tri-Party Collateral Allocation
- Calculate haircuts for government bonds, corporate bonds and equities based on price volatility and liquidity characteristics.
- Set initial margin and variation margin schedules for repo and securities lending exposures, including margin call triggers.
- Configure tri-party collateral allocation rules with an agent bank to automate eligible collateral selection.
- Reconcile collateral valuations and margin calls between counterparties to resolve disputes within market-standard timelines.
Session 2Collateral Transformation and Balance Sheet Optimisation
- Structure collateral upgrade trades that exchange lower-rated assets for higher-quality collateral to meet counterparty requirements.
- Calculate the balance sheet and funding cost impact of collateral transformation trades for a treasury desk.
- Apply netting and compression techniques to reduce gross repo balance sheet usage under leverage ratio constraints.
- Evaluate collateral pooling strategies across business lines to reduce the total cost of secured funding.
04Regulatory Reporting and Liquidity Impact
2 sessions · 8 points
Session 1SFTR Trade and Collateral Reporting Obligations
- Identify securities financing transactions in scope of SFTR, including repo, securities lending and margin lending.
- Map required trade and collateral data fields for SFTR reporting to a trade repository under UTI generation rules.
- Reconcile daily SFTR reports between counterparties to identify and resolve matching breaks.
- Assess data quality controls needed to meet SFTR reporting accuracy and timeliness requirements.
Session 2Repo, Securities Lending and the Liquidity Coverage Ratio
- Classify repo and reverse repo cash flows within the Liquidity Coverage Ratio inflow and outflow categories.
- Assess the impact of secured funding transactions on the stock of high-quality liquid assets reported under the LCR.
- Model the effect of a shortened repo tenor or reduced counterparty limit on projected 30-day liquidity buffers.
- Design a treasury reporting dashboard that links repo and securities lending activity to daily LCR and NSFR metrics.
What the participant receives
4 course modules
A structured syllabus
8 training sessions
across 5 days
32 detailed points
Applied, detailed content
Accredited attendance certificate
On completing the programme
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