managing-repo-and-funding
Structures repo market analysis with collateral valuation, haircut assessment, and funding cost optimization. Use when managing repo positions, evaluating collateral, or optimizing funding costs.
Best use case
managing-repo-and-funding is best used when you need a repeatable AI agent workflow instead of a one-off prompt.
Structures repo market analysis with collateral valuation, haircut assessment, and funding cost optimization. Use when managing repo positions, evaluating collateral, or optimizing funding costs.
Teams using managing-repo-and-funding should expect a more consistent output, faster repeated execution, less prompt rewriting.
When to use this skill
- You want a reusable workflow that can be run more than once with consistent structure.
When not to use this skill
- You only need a quick one-off answer and do not need a reusable workflow.
- You cannot install or maintain the underlying files, dependencies, or repository context.
Installation
Claude Code / Cursor / Codex
Manual Installation
- Download SKILL.md from GitHub
- Place it in
.claude/skills/managing-repo-and-funding/SKILL.mdinside your project - Restart your AI agent — it will auto-discover the skill
How managing-repo-and-funding Compares
| Feature / Agent | managing-repo-and-funding | Standard Approach |
|---|---|---|
| Platform Support | Not specified | Limited / Varies |
| Context Awareness | High | Baseline |
| Installation Complexity | Unknown | N/A |
Frequently Asked Questions
What does this skill do?
Structures repo market analysis with collateral valuation, haircut assessment, and funding cost optimization. Use when managing repo positions, evaluating collateral, or optimizing funding costs.
Where can I find the source code?
You can find the source code on GitHub using the link provided at the top of the page.
SKILL.md Source
# Managing Repo And Funding ## When To Use - Evaluating existing repo book positions for collateral adequacy, tenor mismatch, or counterparty concentration - Assessing haircuts on specific collateral classes (Treasuries, agencies, corporates, ABS/MBS, equities) - Optimizing overnight vs. term funding costs across bilateral and tri-party channels - Preparing margin call or substitution analysis when collateral values shift - Modeling funding ladder scenarios for liquidity stress testing - Reviewing counterparty credit exposure within the repo portfolio ## Inputs To Gather - **Position data**: Outstanding repo and reverse-repo balances by counterparty, tenor bucket, and collateral type - **Collateral schedule**: CUSIP/ISIN-level holdings pledged or received, with current market values and accrued interest - **Haircut tables**: Applicable haircut percentages by collateral type, credit rating, and remaining maturity — source from FICC/GSD schedules, prime broker margin grids, or internal risk policy [VERIFY: confirm haircut source matches governing agreement — GMRA, MRA, or tri-party schedule] - **Funding rate benchmarks**: SOFR, Fed Funds effective, tri-party GC rates, and any term SOFR fixings relevant to the book - **Counterparty limits**: Approved credit lines, concentration caps, and netting eligibility per counterparty - **Maturity ladder**: Roll dates, open vs. term positions, and any evergreen structures with termination notice periods ## Workflow 1. **Map the repo book** - Aggregate positions by collateral type (govts, agencies, IG corporates, HY/unrated, structured) - Segment by tenor: overnight/open, 1-week, 1-month, 3-month, term >3 months - Tag each trade as bilateral, tri-party (BNY, JPM, etc.), or GCF/FICC-cleared [VERIFY: clearing status and CCP membership] 2. **Assess collateral valuation and haircuts** - Mark collateral to current market prices; include accrued interest for coupon-bearing securities - Compare applied haircuts against governing schedule — flag any collateral trading below investment grade or approaching downgrade watch - Calculate net exposure per counterparty: (collateral market value × (1 − haircut)) − repo principal - Identify margin deficit or surplus positions; flag any exceeding the minimum transfer amount (MTA) 3. **Analyze funding costs** - Compute weighted-average repo rate across the book, broken out by collateral type and tenor - Benchmark against SOFR (overnight), term SOFR (for term trades), and GC composite rates - Quantify spread to benchmark: positive spread = funding at a premium; negative = favorable funding - Identify "specials" trading meaningfully below GC — note the specific issues and the basis-point spread 4. **Evaluate concentration and rollover risk** - Check single-counterparty exposure against credit limits and regulatory large-exposure thresholds [VERIFY: applicable regulatory framework — Basel III, SEC Rule 15c3-1, or internal policy] - Assess maturity concentration: what percentage of funding rolls within 1 day, 1 week, 30 days - Model a stress scenario where the largest counterparty or collateral class is unavailable — quantify the funding gap 5. **Optimize and recommend** - Identify substitution opportunities: swap higher-haircut collateral for lower-haircut eligible securities to free up balance sheet - Recommend tenor extension for positions rolling overnight if term funding is available at acceptable spread - Flag opportunities to move bilateral trades to cleared (FICC-sponsored) for capital relief - Propose counterparty diversification where concentration limits are approaching thresholds ## Output The final management report should include: - **Position summary table**: Columns for counterparty, direction (repo/reverse), collateral type, principal, market value, haircut %, net exposure, maturity date, and rate - **Funding cost dashboard**: Weighted-average rate by collateral bucket vs. benchmark, with trend vs. prior period - **Haircut adequacy matrix**: Current haircuts vs. policy/schedule requirements, with exceptions highlighted - **Concentration heat map**: Counterparty and collateral-type exposure as percentage of total book and of approved limits - **Risk flags**: Margin calls pending, collateral on downgrade watch, tenor mismatches exceeding policy, or positions approaching regulatory thresholds - **Action items**: Specific substitution, extension, or diversification trades recommended with estimated cost/benefit ## Quality Checks - Verify all collateral market values are as-of the same pricing snapshot (T or T-1 close) — mixed dates distort haircut adequacy - Confirm haircut percentages match the operative agreement for each counterparty (GMRA Annex I, MRA Schedule, or tri-party eligibility profile) - Cross-check repo rates against published SOFR/GC benchmarks for reasonableness — rates deviating >25 bps from GC without a specials explanation warrant review - Ensure netting is applied only where a valid netting opinion or ISDA/GMRA close-out netting clause exists [VERIFY: netting enforceability per jurisdiction] - Validate that concentration metrics use correct denominator (total repo book, not total firm assets) unless policy specifies otherwise - Confirm all open/evergreen positions reflect correct termination notice periods in the maturity ladder
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