Repo Buy-in Rules
The GMRA rules for repo buy-in (in their simple form) have been taken as good market practice. The process is called default valuation process, where one side is declared in mini-default, (fail on security delivery versus overall default) and a default notification can be sent to the counterparty immediately after the failure to deliver. The buy-in execution can start one business day after the default notification (buy-in notice) has been given and must be completed within five business days. If this is not possible, then the default valuation can be settled for cash. Overall lead-time from failure to execution is one business day (five days for cash bonds above).
Please note that buy-in processes in repo only work on the closing leg of the repo and only if the opening leg has settled (if opening legs fail a repo will simply be cancelled and no bond movement occurs).
This is a summary only and reference should be made to the GMRA in specific situations. GMRA updates can be found at http://www.icma-group.org.
