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Collateral Management: A Guide to Mitigating Counterparty Risk

Collateral Management: A Guide to Mitigating Counterparty Risk

Michael Simmons

ISBN: 978-1-119-37717-7

Dec 2018

640 pages

Description

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.

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Foreword

Acknowledgements

About the Author

Introduction

Part 1

Chapter 01 Fundamental Collateral Concepts

Chapter 02 The Nature & Characteristics of Collateral Types

Part 2 Sale & Repurchase (Repo) Trades and Collateral

Chapter 03 Sale & Repurchase (Repo) Trades and Collateral - Introduction to Repo

Chapter 04 Sale & Repurchase (Repo) Trades and Collateral - Classic Repo Trades

Chapter 05 Sale & Repurchase (Repo) Trades and Collateral - The Repo Trade Lifecycle

Chapter 06 Sale & Repurchase (Repo) Trades and Collateral - Stock Based Classic Repo Trades

Chapter 07 Sale & Repurchase (Repo) Trades and Collateral - Repo Trade Variations

Chapter 08 Sale & Repurchase (Repo) Trades and Collateral - The Global Master Repurchase Agreement

Part 3 Securities Lending & Borrowing and Collateral

Chapter 09 Securities Lending & Borrowing and Collateral – Introduction to SL&B

Chapter 10 Securities Lending & Borrowing and Collateral – Principles of Securities Lending & Borrowing

Chapter 11 Securities Lending & Borrowing and Collateral – The SL&B Trade Lifecycle

Chapter 12 Securities Lending & Borrowing and Collateral – Accessing the Securities Lending & Borrowing Marketplace

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

Chapter 15 OTC Derivatives and Collateral – Transaction Types - Generic Structural Aspects

Chapter 16 OTC Derivatives and Collateral – Transaction Types - Interest Rate Swaps

Chapter 17 OTC Derivatives and Collateral – Transaction Types - Credit Default Swaps

Chapter 18 OTC Derivatives and Collateral – Transaction Types - Foreign Exchange Swaps

Chapter 19 OTC Derivatives and Collateral – Transaction Types - Cross Currency Swaps

Chapter 20 OTC Derivatives and Collateral – Legal Protection – Introduction

Chapter 21 OTC Derivatives and Collateral – Legal Protection - Master Agreement and Schedule

Chapter 22 OTC Derivatives and Collateral – Legal Protection - Credit Support Annex

Chapter 23 OTC Derivatives and Collateral – Static Data

Chapter 24 The OTC Derivative Collateral Lifecycle – Introduction

Chapter 25 The OTC Derivative Collateral Lifecycle - Pre Trading - Legal Documentation

Chapter 26 The OTC Derivative Collateral Lifecycle - Pre Trading - Static Data

Chapter 27 The OTC Derivative Collateral Lifecycle - Trading - Trade Execution

Chapter 28 The OTC Derivative Collateral Lifecycle - Post-Trading - Trade Capture

Chapter 29 The OTC Derivative Collateral Lifecycle - Post-Trading - Trade Confirmation/Affirmation

Chapter 30 The OTC Derivative Collateral Lifecycle - Post-Trading - Trade/Portfolio Netting

Chapter 31 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Portfolio Reconciliation

Chapter 32 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Marking-to-Market

Chapter 33 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Exposure Calculation

Chapter 34 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Receiving Margin Calls

Chapter 35 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Issuing Margin Calls

Chapter 36 The OTC Derivative Collateral Lifecycle - Throughout Lifetime of Trade - Holding Collateral

Chapter 37 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events – Introduction

Chapter 38 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events – Novation

Chapter 39 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events – Unwind

Chapter 40 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events – Offset

Chapter 41 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events - Credit Events

Chapter 42 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events - Collateral Substitution

Chapter 43 The OTC Derivative Collateral Lifecycle - Post Trade Execution Events - Income and Corporate Action Events

Chapter 44 The OTC Derivative Collateral Lifecycle - Trade Termination

Part 4b OTC Derivatives and Collateral: Legal Documentation

Chapter 45 OTC Derivatives and Collateral: Legal Documentation

Part 4c OTC Derivatives and Collateral: Regulatory Change And The Future Of Collateral

Chapter 46 OTC Derivatives and Collateral - Regulatory Change and The Future Of Collateral - Introduction

Chapter 47 OTC Derivatives and Collateral - Regulatory Change and The Future Of Collateral - Centrally Cleared Trades

Chapter 48 OTC Derivatives and Collateral - Regulatory Change and The Future Of Collateral - Non Centrally Cleared Trades

Glossary of Terms

Useful Websites

Further Reading

Index