Collateral Management : A Guide to Mitigating Counterparty Risk.
Michael. Simmons
Bok Engelsk 2019 · Electronic books.
| Omfang | 1 online resource (753 pages)
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| Opplysninger | 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 & -- REPURCHASE (REPO) TRADES AND COLLATERAL -- CHAPTER 3 Sale & -- 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 & -- 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 & -- Receiving Margin Calls -- 4.1.14 Settlement of Margin Calls -- 4.1.15 Holding Collateral Received.. - 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 & -- Borrowing Marketplace: Introduction -- 10.4.1 Securities Lenders -- 10.4.2 Securities Borrowers -- 10.4.3 Intermediaries -- 10.5 Securities Lending & -- 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 & -- 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 & -- Borrowing and Collateral - The SL& -- 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 & -- Rebates -- 11.9 Additional Factors -- CHAPTER 12 Securities Lending & -- Borrowing and Collateral - Accessing the SL& -- 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 & -- 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.. - 22.7.3 Standing Settlement Instructions.. - 4.1.16 Updating Books & -- Records -- 4.1.17 Collateral Substitution -- 4.1.18 Income Events -- 4.1.19 Additional Aspects of Repo -- CHAPTER 5 Sale & -- Repurchase (Repo) Trades and Collateral - The Repo Trade Lifecycle -- Introduction -- 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 & -- Repurchase (Repo) Trades and Collateral - Stock-Based Classic Repo Trades -- CHAPTER 7 Sale & -- 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 & -- Records -- 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 & -- Repurchase (Repo) Trades and Collateral - The Global Master Repurchase Agreement -- PART 3 SECURITIES LENDING & -- BORROWING AND COLLATERAL -- CHAPTER 9 Securities Lending & -- Borrowing and Collateral - Introduction to SL& -- 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 & -- Borrowing and Collateral - Principles of SL& -- B -- 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.. - 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).
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| Emner | |
| Sjanger | |
| Dewey | |
| ISBN | 9781119377108
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| ISBN(galt) |
