Collateral Management a Guide to Mitigating Counterparty Risk
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Somerset
John Wiley & Sons, Incorporated
2019
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| Online Access: | |
| Collection: | O'Reilly - Collection details see MPG.ReNa |
Table of Contents:
- 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
- 22.8 CSA Components
- 22.8.1 Base Currency
- 22.8.2 Eligible Currency
- 22.8.3 Eligible Collateral
- 22.8.4 Haircut and Valuation Percentage
- 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
- 10.2 Principles of Securities Borrowing
- 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
- 10.2.1 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
- CHAPTER 18 OTC Derivatives and Collateral
- Transaction Types
- Foreign Exchange Swaps
- 18.1 Definition
- 18.2 Purpose
- 18.2.1 'Spot' Foreign Exchange