Foreign Exchange Operations : Master Trading Agreements, Settlement, and Collateral.
David F. DeRosa
Bok Engelsk 2013 · Electronic books.
| Omfang | 1 online resource (414 pages)
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| Utgave | 1st ed.
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| Opplysninger | Intro -- Foreign Exchange Operations -- Contents -- Preface -- Acknowledgments -- CHAPTER 1 Introduction to Foreign Exchange -- DEFINING MONEY -- PARTICIPANTS IN THE FOREIGN EXCHANGE MARKET -- IDENTIFYING CURRENCIES AND EXCHANGE RATES -- QUOTATION CONVENTIONS -- THE FOREIGN EXCHANGE MARKET -- Basic Trades -- FOREIGN EXCHANGE REGIMES -- EXCHANGE RATE CONTROLS -- THE STRUCTURE OF THE FOREIGN EXCHANGE MARKET -- BANKS' IDENTIFICATION CODES -- Business Identification Schemes: SWIFT/BIC -- Bank Identification Schemes: IBAN -- Bank Identification Schemes: ABA/Routing Numbers -- THE AUTHORITIES -- SPOT FOREIGN EXCHANGE DEALS -- PROFIT AND LOSS ON A SIMPLE TRADE -- VALUE DATES -- FORWARD FOREIGN EXCHANGE AND COVERED INTEREST PARITY -- FORWARD SWAPS -- NON-DELIVERABLE FORWARDS -- SUMMARY -- APPENDIX 1.1: ISO CURRENCY CODES -- REFERENCES -- CHAPTER 2 Options on Foreign Exchange: Vanilla and Exotic Currency Options -- OPTION BASICS -- PUT-CALL PARITY -- THE IMPORTANCE OF OPTION MODELS -- RISK PARAMETERS -- Delta -- Gamma -- Theta -- Vega -- THE MINOR GREEKS -- Rho -- Vanna -- Volga -- MORE ON DELTA -- PORTFOLIOS OF OPTIONS -- AMERICAN EXERCISE MODELS -- Binomial Models -- Barone-Adesi and Whaley -- Numerical Techniques -- VOLATILITY -- IMPORTANT OPTION STRATEGIES -- OPTION MARKET MAKING -- NON-DELIVERABLE OPTIONS -- BARRIER OPTIONS -- BINARY OPTIONS -- BARRIER DETERMINATION AGENCY -- OTHER EXOTIC OPTIONS -- MORE ON OPTION-RELATED RISKS -- SUMMARY -- APPENDIX 2.1: FURTHER COMMENTS ON PUT-CALL PARITY -- APPENDIX 2.2: BLACK-SCHOLES-MERTON MODEL -- APPENDIX 2.3: BARRIER AND BINARY OPTIONS -- Barrier Options -- Binary Options -- One-Touch Binary Options -- Double-Barrier Knockout Option -- REFERENCES -- CHAPTER 3 How Trades Are Executed and Confirmed -- SPOT FOREIGN EXCHANGE DEALS -- FORWARD OUTRIGHT DEALS -- FORWARD SWAP DEALS -- OPTION TRADES.. - HOW FOREIGN EXCHANGE TRADES ARE EXECUTED -- CONCENTRATION IN MARKET MAKING -- EXAMPLE OF AN ELECTRONIC TRADING PLATFORM: FXALL -- Spot Trading -- Option Trading -- TRADE DOCUMENTATION CYCLE -- Spot Trade -- Vanilla Option Trade -- Non-Deliverable Option Trade -- Kick-Out Option Trade -- Double Knock-In Option Trade -- One-Touch Binary Option Trade -- INTERNAL OPERATIONS AND REPORTS FOR DEALERS -- Barrier Options -- SUMMARY -- APPENDIX 3.1: TRANSACTIONS AT DAILY FIXINGS -- REFERENCES -- CHAPTER 4 Foreign Exchange Settlement -- SETTLEMENT INSTRUCTIONS FOR AN INDIVIDUAL SPOT FOREIGN EXCHANGE DEAL -- OVERVIEW OF THE SETTLEMENT PROCESS -- THE BRETTON WOODS-SMITHSONIAN PERIOD -- THE HERSTATT LEGACY -- SETTLEMENT RISK -- Status R: Revocable -- Status I: Irrevocable -- Status U: Uncertain -- Status F: Fail -- Status S: Settled -- NETTING -- HOW THE MODERN SETTLEMENT SYSTEMS DEVELOPED -- LARGE-VALUE TRANSFERS -- CENTRAL BANK INVOLVEMENT -- CORRESPONDENT BANKING -- PAYMENT SYSTEMS -- DESIGNATED-TIME NET SETTLEMENT (DTNS) -- REAL-TIME GROSS SETTLEMENT (RTGS) -- EXAMPLES OF MODERN PAYMENT SYSTEMS -- United States -- Euro Zone -- United Kingdom -- Switzerland -- Japan -- Australia -- Hong Kong -- CLS BANK -- INTERNAL CONTROLS -- SUMMARY -- REFERENCES -- CHAPTER 5 Master Agreements: The Legal Underpinnings of the Foreign Exchange Market -- MOTIVATION -- THE ARCHITECTURE -- THE FXC MASTER AGREEMENT FORMS -- THE ISDA MASTER AGREEMENT FORMS -- SINGLE AGREEMENT -- NON-RELIANCE: PARTIES TO RELY ON THEIR OWN EXPERTISE -- NETTING: PAYMENT OR SETTLEMENT NETTING AND NOVATION NETTING -- Payment or Settlement Netting -- Novation Netting -- EVENTS OF DEFAULT -- TERMINATION EVENTS -- ADDITIONAL TERMINATION EVENTS -- CLOSE-OUT NETTING -- SAFE HARBORS -- EARLY TERMINATION -- Early Termination Due to an Event of Default -- Early Termination Due to a Termination Event.. - PAYMENTS UPON TERMINATION AND CLOSE-OUT AMOUNTS -- Payments on Early Termination: 1992 ISDA -- CLOSE-OUT AMOUNT: 2002 ISDA -- Close-Out Amount: FXC Master Agreements -- SET-OFF PROVISIONS -- SPECIAL FEATURES FOR OPTIONS: ICOM AND FEOMA -- SPECIAL FEATURES FOR NON-DELIVERABLE FORWARDS -- MISCELLANEOUS ISSUES -- Governing Law and Jurisdiction -- Status and Capacity -- Rules on Confirmations -- Waiver of Jury Trial -- Telephonic Recordings -- Payment and Late Interest -- MORE ON DEEDS OF ADHERENCE AND SCHEDULES -- SUMMARY -- APPENDIX 5.1: IFXCO TERMS -- APPENDIX 5.2: IFXCO ADHERENCE AGREEMENT -- REFERENCES -- CHAPTER 6 Margin and Collateral: Financing Foreign Exchange Trading -- CREDIT AGREEMENTS -- FRAMEWORK FOR THE ISDA CREDIT SUPPORT DEED AND THE FXC COLLATERAL ANNEX -- Net Exposure -- Independent Amount -- Net Exposure: Mark-to-Market -- Independent Amount -- Required Collateral -- Eligible Collateral -- FRAMEWORK FOR THE ISDA CREDIT SUPPORT ANNEXES -- ENFORCEMENT RIGHTS OF THE SECURED PARTY -- The ISDA Credit Support Deed (7) -- The FXC Collateral Annex (7.2b) -- The ISDA Credit Support Annexes -- SOME ADDITIONAL FEATURES COMMONLY FOUND IN CREDIT SUPPORT DOCUMENTS -- Interest on the Cash -- Good Faith and Commercially Reasonable Manner -- Right of Sale and Notice of Sale -- THE VALUE-AT-RISK CONCEPT -- VaR FOR SPOT, FORWARD, AND VANILLA OPTIONS -- PORTFOLIO VALUE-AT-RISK -- SAMPLE CUSTOMER CREDIT SNAPSHOT -- LIMITATIONS OF VaR -- LIMITATIONS OF COLLATERALIZED AGREEMENTS -- SUMMARY -- APPENDIX 6.1: THE 1999 COLLATERAL ANNEX TO FEOMA, IFEMA, OR ICOM MASTER AGREEMENT -- REFERENCES -- CHAPTER 7 Foreign Exchange Prime Brokerage -- OVERVIEW OF FX PRIME BROKERAGE -- PROS AND CONS OF FX PRIME BROKERAGE -- EXECUTION AND CONFIRMATION IN AN FX PRIME BROKERAGE ENVIRONMENT -- THE LEGAL ARCHITECTURE OF FX PRIME BROKERAGE.. - THE FX PRIME BROKER AND THE EXECUTING DEALER -- THE MASTER FX GIVE-UP AGREEMENT -- Key Elements of the Master FX Give-Up Agreement -- OTHER ELEMENTS OF THE MASTER FX GIVE-UP AGREEMENT -- The Master FX Give-Up Agreement Schedule -- Master FX Give-Up Agreement Notice -- THE FX PRIME BROKER AND THE DESIGNATED PARTY -- The FX Prime Brokerage Agreement -- THE EXECUTING DEALER AND THE DESIGNATED PARTY -- REVERSE GIVE-UP RELATIONSHIPS -- SUMMARY -- APPENDIX 7.1: MASTER FX GIVE-UP AGREEMENT -- APPENDIX 7.2: COMPENSATION AGREEMENT -- REFERENCES -- About the Author -- Index.. - The ultimate nuts-and-bolts guide to foreign exchange operations The foreign exchange landscape is particularly risky since so much of the world is unregulated and takes place over the counter (off exchange). Brilliant traders and money managers who are profitable may find themselves underperforming, or worse, losing, simply because they failed to establish strong operations. In this book, David DeRosa provides industry players with everything they need for strong operational functions from all the types of trades to execution, master trading agreements, documentation, settlement, margin and collateral, and prime brokerage services. Contains vital work flow solutions for trading in the volatile foreign exchange marketplace Offers information for mastering the operational aspect of foreign exchange trading to help determine best partners such as prime brokers and others Written by David DeRosa a leading foreign exchange expert who has consulted to hundreds of financial institutions Foreign Exchange Operations helps traders mitigate risks and offers a guide to all aspects of trading operations from mastering trading agreements to margin documentation.
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| ISBN | 9781118418390
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