Collateral Management : A Guide to Mitigating Counterparty Risk

ISBN-13: 9780470973509 / Angielski / Twarda / 2016 / 752 str.

Michael Simmons

Opis

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.

Spis treści

Foreword xviiAcknowledgements xixAbout the Author xxiIntroduction xxiiiPart 1 Introductory ElementsChapter 1 Fundamental Collateral Concepts 3Chapter 2 The Nature and Characteristics of Collateral Types 7Part 2 Sale & Repurchase (Repo) Trades and CollateralChapter 3 Sale & Repurchase (Repo) Trades and Collateral - Introduction to Repo 29Chapter 4 Sale & Repurchase (Repo) Trades and Collateral - Classic Repo Trades 33Chapter 5 Sale & Repurchase (Repo) Trades and Collateral - The Repo Trade Lifecycle 79Introduction 79Chapter 6 Sale & Repurchase (Repo) Trades and Collateral - Stock-Based Classic Repo Trades 101Chapter 7 Sale & Repurchase (Repo) Trades and Collateral - Repo Trade Variations 103Chapter 8 Sale & Repurchase (Repo) Trades and Collateral - The Global Master Repurchase Agreement 121Part 3 Securities Lending & Borrowing and CollateralChapter 9 Securities Lending & Borrowing and Collateral - Introduction to SL&B 161Chapter 10 Securities Lending & Borrowing and Collateral - Principles of SL&B 167Chapter 11 Securities Lending & Borrowing and Collateral - The SL&B Trade Lifecycle 211Chapter 12 Securities Lending & Borrowing and Collateral - Accessing the SL&B Marketplace 237Chapter 13 Securities Lending & Borrowing and Collateral - The Global Master Securities Lending Agreement 253Part 4a OTC Derivatives and CollateralChapter 14 OTC Derivatives and Collateral - Transaction Types - Introduction 295Chapter 15 OTC Derivatives and Collateral - Transaction Types - Generic Structural Aspects 303Chapter 16 OTC Derivatives and Collateral - Transaction Types - Interest Rate Swaps 311Chapter 17 OTC Derivatives and Collateral - Transaction Types - Credit Default Swaps 319Chapter 18 OTC Derivatives and Collateral - Transaction Types - Foreign Exchange Swaps 329Chapter 19 OTC Derivatives and Collateral - Transaction Types - Cross-Currency Swaps 341Chapter 20 OTC Derivatives and Collateral - Legal Protection - Introduction 349Chapter 21 OTC Derivatives and Collateral - Legal Protection - Master Agreement and Schedule 351Chapter 22 OTC Derivatives and Collateral - Legal Protection - Credit Support Annex 361Chapter 23 OTC Derivatives and Collateral - Static Data 401Chapter 24 The OTC Derivative Collateral Lifecycle 413Chapter 25 OTC Derivatives and Collateral - The Collateral Lifecycle - Pre-Trading - Legal Documentation 415Chapter 26 OTC Derivatives and Collateral - The Collateral Lifecycle - Pre-Trading - Static Data 419Chapter 27 OTC Derivatives and Collateral - The Collateral Lifecycle - Trading - Trade Execution 421Chapter 28 OTC Derivatives and Collateral - The Collateral Lifecycle - Post-Trading - Trade Capture 429Chapter 29 OTC Derivatives and Collateral - The Collateral Lifecycle - Post-Trading - Trade Confi rmation/Affi rmation 435Chapter 30 OTC Derivatives and Collateral - The Collateral Lifecycle - Post-Trading - Trade/Portfolio Netting 439Chapter 31 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Portfolio Reconciliation 447Chapter 32 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Marking-to-Market 457Chapter 33 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Exposure Calculation 463Chapter 34 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Receiving Margin Calls 475Chapter 35 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Issuing Margin Calls 501Chapter 36 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Holding Collateral 515Chapter 37 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Post-Trade Execution Events - Introduction 531Chapter 38 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Post-Trade Execution Events - Novation 533Chapter 39 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Post-Trade Execution Events - Unwind 541Chapter 40 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Post-Trade Execution Events - Offset 547Chapter 41 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Post-Trade Execution Events - Credit Events 553Chapter 42 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Collateral Substitution 559Chapter 43 OTC Derivatives and Collateral - The Collateral Lifecycle - Throughout Lifetime of Trade - Income & Corporate Action Events 567Chapter 44 OTC Derivatives and Collateral - The Collateral Lifecycle - Trade Termination - Trade Termination 575Part 4b OTC Derivatives and Collateral - Legal DocumentationChapter 45 OTC Derivatives and Collateral - Legal Documentation 579Part 4c OTC Derivatives and Collateral - Regulatory Change and the Future Of CollateralChapter 46 OTC Derivatives and Collateral - Regulatory Change and the Future of Collateral - Introduction 583Chapter 47 OTC Derivatives and Collateral - Regulatory Change and the Future of Collateral - Centrally Cleared Trades 597Chapter 48 OTC Derivatives and Collateral - Regulatory Change and the Future of Collateral - Non Centrally Cleared Trades 629Glossary of Terms 657Useful Websites 703Further Reading 705Index 707

O autorze

 

Michael Simmons (London, UK), has spent the majority of his working life within the operational areas of international investment banks, most notably within the S.G. Warburg group in London.  Having gained a detailed understanding of various back office tasks through many years of hands–on experience, he assumed managerial responsibility for a number of operational areas.

In recent years, Michael has worked as head of business consultancy within a global computing services firm, and currently operates as an independent analyst/consultant, trainer and project manager.  Michael′s areas of expertise include all aspects of the trade lifecycle, straight through processing and operational risk, for both fixed income and equity productMichael Simmons (London, UK), has spent the majority of his working life within the operational areas of international investment banks, most notably within the S.G. Warburg group in London.  Having gained a detailed understanding of various back office tasks through many years of hands–on experience, he assumed managerial responsibility for a number of operational areas.

Michael Simmons (London, UK), has spent the majority of his working life within the operational areas of international investment banks, most notably within the S.G. Warburg group in London.  Having gained a detailed understanding of various back office tasks through many years of hands–on experience, he assumed managerial responsibility for a number of operational areas.

In recent years, Michael has worked as head of business consultancy within a global computing services firm, and currently operates as an independent analyst/consultant, trainer and project manager.  Michael′s areas of expertise include all aspects of the trade lifecycle, straight through processing and operational risk, for both fixed income and equity products. Michael Simmons (London, UK), has spent the majority of his working life within the operational areas of international investment banks, most notably within the S.G. Warburg group in London.  Having gained a detailed understanding of various back office tasks through many years of hands–on experience, he assumed managerial responsibility for a number of operational areas.

In recent years, Michael has worked as head of business consultancy within a global computing services firm, and currently operates as an independent analyst/consultant, trainer and project manager.  Michael′s areas of expertise include all aspects of the trade lifecycle, straight through processing and operational risk, for both fixed income and equity products.  

Udostępnij