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Repurchase agreements (REPOs)

It is possible to handle Repurchase Agreements - REPO's in FA.

Repo security

Define a Security with Basic info:

  • Code and name= Recommended some logic containing collateral security, dates and currency. May also hold code from counterparty or other system

  • Security type = Financing (BOND)

  • Sub type = LR : Repurchase agreement

  • Multipliers = 100

  • Issuer = Recommended to set Counterparty

In Extra info tab set following parameters:

  • Issue date = Repo start date

  • Issue price = 100

  • Maturity date = Repo end date

  • Maturity price = 100

  • Calendar day convention = The agreed day counting convention

  • Frequency = Once

  • Fixings for floating rate note = Start date and agreed repo rate

portfolio_management_repos_1b.png
portfolio_management_repos_2b.png

Market data info

You need to maintain prices on Repo’s manually or by importing. If you have prices from an external source these can be imported to FA just by saving a csv file and use Import - Import security prices.

Coupon and maturity processing

Coupon and maturity processing is made with same routines as for Bonds. An important note is that for these Securities it will exist short positions in maturity processing. If a short position transaction type EXPSH - Expire short position must be used instead of EXP - Expire.

Transactions

On all Repo related transactions it is recommended to have identification from other system as reference and add counterparty.

Collateral markup on Bonds

On Repo start date, enter COLL transaction like below.

portfolio_management_repos_3b.png

On Repo end date, an opposite COLL transaction is booked

portfolio_management_repos_4b.png

In case of reversed repo the transaction amounts are the opposite, negative at start date and positive on end date.

Transactions in Repo security

In a repo transaction you enter a Sell with an amount that represent the transaction amount in the Bond on start date. Unit price is 100.

If reversed repo then enter a buy instead.

portfolio_management_repos_5b.png

On end date book a the Coupon and Maturity (Expiration) transactions. These can be generated by scheduled Coupons and expiration process.

portfolio_management_repos_6b.png
portfolio_management_repos_7b.png

Position monitoring

On start date

In Overview column Total commitment (c) can see the Nominal amount in Repo’s.

You also see the Repo security position row.

Screenshot_2.jpg

During repo life

In Overview Repo security position row you can see the Accrued Interest in the Repo.

Screenshot_3.jpg

On repo end date

In Overview column Total commitment (c), it is now released as Repo has ended.

On cash account you have the settled interest booked.

Screenshot_4.jpg

In Analytics+ you can see it like this.

Screenshot_5.jpg

Above I have added a custom Analytics+ column Net amount after repo that is net of Amount in position and Collateral marked position.

Limit on net position

It is possible to make a limit based on Analytics+ column Net position. In a limit you can just not allow Net position to be negative.