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Quantitative Finance · Glossário

O que é Tri-party and bilateral repo?

Também chamado de: tri-party repo · bilateral repo

Definition 5.4 Markets II: Rates, FX and Credit · Capítulo 5 — Repo and Specials

In tri-party repo a clearing bank acting as agent holds the collateral, allocates it from the borrower’s inventory according to the lender’s eligibility schedule, values it and applies the haircuts; the lender is lent against a basket, never a specific security. In bilateral repo the two sides settle directly, delivery versus payment, and the cash lender can ask for a specific security.

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