Collateral management a guide to mitigating counterparty risk

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 ex...

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Detalles Bibliográficos
Otros Autores:	Simmons, Michael, author (author)
Formato:	Libro electrónico
Idioma:	Inglés
Publicado:	Hoboken, NJ : Wiley 2019.
Edición:	1st edition
Colección:	THEi Wiley ebooks.
Materias:	Credit derivatives. Collateralized debt obligations.
Ver en Biblioteca Universitat Ramon Llull:	https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009630513406719

Tabla de Contenidos:

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
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 &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
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 &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
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.
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.

Collateral management a guide to mitigating counterparty risk

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