Collateral management : a guide to mitigating counterparty risk / Michael Simmons.

Format:

Book

Author/Creator:

Simmons, Michael, author.

Series:

THEi Wiley ebooks.

THEi Wiley ebooks

Language:

English

Subjects (All):

Credit derivatives.

Collateralized debt obligations.

Physical Description:

1 online resource (753 pages)

Edition:

1st edition

Place of Publication:

Hoboken, NJ : Wiley, 2019.

System Details:

Access using campus network via VPN at home (THEi Users Only).

text file

Summary:

Insight into collateral management and its increasing relevance in modern banking In the wake of recent financial crises, firms of all sizes have adjusted their policies to incorporate more frequent instances of collateral management. Collateral Management: A Guide to Mitigating Counterparty Risk explains the connection between the need for collateral management in order to alleviate counterparty risk and the actions that firms must take to achieve it. Targeted at middle and back office managers seeking a hands-on explanation of the specifics of collateral management, this book offers a thorough treatment of the subject and attends to details such as internal record management, daily procedures used in making and receiving collateral calls, and settlement-related issues that affect the movements of cash and securities collateral. An expert in financial topics ranging from trade lifecycle to operational risk, author Michael Simmons offers readers insight into a field that, so far, is struggling to produce enough expertise to meet its high demand. Presents hands-on advice and examples from a bestselling, internationally renowned author who introduces his third book on operations and operations-related activities Explains the relationship between collateral management and preventing institutional defaults, such as the recent Lehman Brothers downfall Since 2008, firms have recognized and embraced the importance of collateral management, but this book will provide practitioners with a deeper understanding and appreciation of its relevance.

Contents:

Intro

Collateral Management

Contents

Foreword

Acknowledgements

About the Author

Introduction

PART 1 INTRODUCTORY ELEMENTS

CHAPTER 1 Fundamental Collateral Concepts

CHAPTER 2 The Nature and Characteristics of Collateral Types

2.1 Cash Collateral: Overview

2.1.1 Introduction

2.1.2 Eligible Collateral

2.1.3 Haircut

2.1.4 Settlement

2.2 Bond Collateral: Overview

2.2.1 Introduction

2.2.2 Types of Bond

2.2.3 Bond Identifiers

2.2.4 Bond Denominational Values

2.2.5 Market Value of Bonds

2.2.6 Bond Holding Locations

2.2.7 Acceptable Bond Collateral

2.2.8 Haircut and Bond Collateral Value

2.2.9 Settlement

2.2.10 Bond Interest Payments

PART 2 SALE &amp

REPURCHASE (REPO) TRADES AND COLLATERAL

CHAPTER 3 Sale &amp

Repurchase (Repo) Trades and Collateral - Introduction to Repo

3.1 Introduction to Repo

3.2 Participants in the Repo Marketplace

3.2.1 Institutional Investors

3.2.2 Supranational Organisations

3.2.3 Central Banks

3.2.4 Investment Banks

3.2.5 Brokers

3.2.6 Electronic Trading Platforms

CHAPTER 4 Sale &amp

Repurchase (Repo) Trades and Collateral - Classic Repo Trades

4.1 Cash-Based Classic Repo Transactions

4.1.1 The Duration of a Classic Repo Transaction

4.1.2 Classic Repo Legal Agreements

4.1.3 Collateral in a Classic Repo

4.1.4 Repo Rate Format and Repo Interest Calculation Method

4.1.5 Over-Collateralisation: Haircut and Initial Margin

4.1.6 Repo Trade Settlement Cycle

4.1.7 Repo Trade Confirmation and Affirmation

4.1.8 Repo Trade Settlement

4.1.9 Portfolio Reconciliation

4.1.10 Marking-to-Market

4.1.11 Exposure Calculation

4.1.12 Threshold and Minimum Transfer Amount

4.1.13 Making &amp

Receiving Margin Calls

4.1.14 Settlement of Margin Calls

4.1.15 Holding Collateral Received.

4.1.16 Updating Books &amp

Records

4.1.17 Collateral Substitution

4.1.18 Income Events

4.1.19 Additional Aspects of Repo

CHAPTER 5 Sale &amp

Repurchase (Repo) Trades and Collateral - The Repo Trade Lifecycle

5.1 Pre-Trading

5.2 Trade Execution

5.3 Pre-Settlement

5.4 Settlement of Opening Leg

5.5 Throughout Lifetime of Trade

5.6 Settlement of Closing Leg

CHAPTER 6 Sale &amp

Repurchase (Repo) Trades and Collateral - Stock-Based Classic Repo Trades

CHAPTER 7 Sale &amp

Repurchase (Repo) Trades and Collateral - Repo Trade Variations

7.1 Buy/Sell Backs (Overview)

7.1.1 Trade Monetary Calculations

7.1.2 Other Characteristics of Buy/Sell Backs

7.2 Tri-Party Repo (Overview)

7.2.1 Tri-Party Trade Processing

7.2.2 Advantages of Tri-Party Repo

7.2.3 Tri-Party Agents

7.2.4 Updating Books &amp

7.3 Delivery by Value (Overview)

7.3.1 DBV Trade Execution

7.3.2 Post-Execution Process

7.3.3 Term DBVs

7.3.4 Changes to Cash or Collateral

7.4 Repo Central Clearing (Overview)

7.5 GC Pooling (Overview)

7.5.1 The GC Pooling Trading/Clearing/Settlement Process

7.6 RepoClear (Overview)

CHAPTER 8 Sale &amp

Repurchase (Repo) Trades and Collateral - The Global Master Repurchase Agreement

PART 3 SECURITIES LENDING &amp

BORROWING AND COLLATERAL

CHAPTER 9 Securities Lending &amp

Borrowing and Collateral - Introduction to SL&amp

B

9.1 Introduction to Securities Lending

9.1.1 Securities Lenders

9.2 Introduction to Securities Borrowing

9.2.1 Securities Borrowers

CHAPTER 10 Securities Lending &amp

Borrowing and Collateral - Principles of SL&amp

10.1 Principles of Securities Lending

10.1.1 Increasing Return on Investment

10.1.2 Reducing the Cost of Holding Securities

10.1.3 Arbitrage Strategies.

10.2 Principles of Securities Borrowing

10.2.1 Fulfilling Delivery Commitments

10.3 Lendable and Borrowable Assets

10.4 Participants in the Securities Lending &amp

Borrowing Marketplace: Introduction

10.4.1 Securities Lenders

10.4.2 Securities Borrowers

10.4.3 Intermediaries

10.5 Securities Lending &amp

Borrowing: Legal Documentation

10.5.1 Background

10.5.2 GMSLA: Overview

10.5.3 Ownership and Reuse of Securities

10.5.4 Uniqueness of Legal Documentation

10.6 Securities Lending &amp

Borrowing and Collateral

10.6.1 Risks and Risk Mitigation

10.6.2 Purpose and Use of Collateral

10.6.3 Eligible Collateral

10.6.4 Over-Collateralisation (Margin)

10.6.5 Trade Confirmation

10.6.6 Giving and Taking Collateral

10.6.7 Interest on Cash Collateral

10.6.8 Exposure Management During the Lifetime of the Trade

10.6.9 Portfolio Reconciliation

10.6.10 Securities Collateral: Holding and Reuse

10.6.11 Collateral Substitution

10.6.12 Treatment of Income

10.6.13 Corporate Actions

10.6.14 Voting Rights

10.6.15 Recalls and Returns

10.6.16 Fees and Rebates

10.7 Conclusion

CHAPTER 11 Securities Lending &amp

Borrowing and Collateral - The SL&amp

B Trade Lifecycle

11.1 Pre-Trading

11.2 Trade Execution

11.3 Pre-Settlement

11.4 Settlement of Opening Leg

11.5 Throughout Lifetime of Trade

11.6 Recall and Return of Securities

11.7 Settlement of Closing Leg

11.8 Settlement of Fees &amp

Rebates

11.9 Additional Factors

CHAPTER 12 Securities Lending &amp

Borrowing and Collateral - Accessing the SL&amp

B Marketplace

12.1 Routes to Market

12.1.1 Direct Lender to Borrower Contact: Overview

12.1.2 Agency Lending: Overview

12.1.3 ICSDs' Failed Trade Management: Overview

12.2 Collateral Management.

12.2.1 Direct and Agency Lending Models

12.2.2 ICSDs' Tri-Party Collateral Management

CHAPTER 13 Securities Lending &amp

Borrowing and Collateral - The Global Master Securities Lending Agreement

PART 4a OTC DERIVATIVES AND COLLATERAL

CHAPTER 14 OTC Derivatives and Collateral - Transaction Types - Introduction

14.1 Exchange-Traded Derivatives

14.1.1 Futures: Overview

14.1.2 Options: Overview

14.2 OTC Derivatives

14.2.1 Swaps: Overview

14.3 Exchange-Traded Derivatives versus OTC Derivatives: Summary

14.4 The Future of OTC Derivatives

CHAPTER 15 OTC Derivatives and Collateral - Transaction Types - Generic Structural Aspects

15.1 OTC Derivative Products

15.2 OTC Derivative Trades - Generic Trade Components and Subsequent Actions

15.2.1 Parties

15.2.2 Term (Duration)

15.2.3 Notional Principal

15.2.4 Rates

15.2.5 Dates

15.2.6 Settlement

15.2.7 Exiting

15.3 OTC Derivatives: Trade Processing and Collateral Processing

15.4 OTC Derivatives: Exposure and Collateral Management

CHAPTER 16 OTC Derivatives and Collateral - Transaction Types - Interest Rate Swaps

16.1 Definition

16.2 Purpose

16.3 Trade Components

16.4 Interest Payment Calculation

16.5 IRS Operations Activity: Overview

16.6 IRS and Collateral Management

CHAPTER 17 OTC Derivatives and Collateral - Transaction Types - Credit Default Swaps

17.1 Definition

17.2 Purpose

17.3 Trade Components

17.4 Cost of Protection

17.5 Credit Events

17.6 CDS Operations Activity: Overview

17.7 Settlement Following Credit Events

17.7.1 Physical Settlement

17.7.2 Cash Settlement

17.8 The Protection Seller's Risk

17.9 CDS and Collateral Management

17.10 CDS Variations

17.10.1 Basket Default Swaps

17.10.2 Loan Credit Default Swaps.

CHAPTER 18 OTC Derivatives and Collateral - Transaction Types - Foreign Exchange Swaps

18.1 Definition

18.2 Purpose

18.2.1 'Spot' Foreign Exchange

18.2.2 'Forward' Foreign Exchange

18.2.3 Foreign Exchange 'Swaps'

18.3 Trade Components

18.4 FXS Operations Activity: Overview

18.5 Foreign Exchange Swaps and Collateral Management

18.6 Foreign Exchange Swap Variations

18.6.1 Forward/Forward Foreign Exchange Swap

CHAPTER 19 OTC Derivatives and Collateral - Transaction Types - Cross-Currency Swaps

19.1 Definition

19.2 Purpose

19.2.1 Initial Exchange of Principal Amounts

19.2.2 Periodic Exchange of Interest Payments

19.2.3 Re-Exchange of Principal Amounts

19.3 Trade Components

19.4 CCS Operations Activity: Overview

19.5 Cross-Currency Swaps and Collateral Management

19.6 Cross-Currency Swap Variations

CHAPTER 20 OTC Derivatives and Collateral - Legal Protection - Introduction

CHAPTER 21 OTC Derivatives and Collateral - Legal Protection - Master Agreement and Schedule

21.1 Introduction

21.2 Content of the ISDA Master Agreement

21.2.1 Events of Default

21.2.2 Termination Events

21.2.3 Other Terms and Conditions

21.2.4 Close Out Netting

21.3 Content of the Schedule to the Master Agreement

21.4 Negotiating and Signing the Document Framework

21.5 Trading Following Signing of Document Framework

21.6 Trade Confirmation

21.7 Summary

CHAPTER 22 OTC Derivatives and Collateral - Legal Protection - Credit Support Annex

22.1 Introduction

22.2 Signing of CSA and Trade Execution

22.3 New versus Old CSAs

22.4 OTC Derivative Exposures

22.5 CSA Legal Structures

22.6 Responsibilities Under the CSA: Overview

22.7 Day-to-Day Use of the CSA

22.7.1 Product Coverage

22.7.2 Collateral Direction (Two-Way and One-Way CSAs).

22.7.3 Standing Settlement Instructions.

Notes:

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781119377122

1119377129

9781119377177

111937717X

9781119377108

1119377102

OCLC:

1052905200