Securities Finance

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.

• 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