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.
Cover
Collateral Management: A Guide to Mitigating
Counterparty Risk
© 2019
Dedication
Contents
Foreword
Acknowledgements
About the Author
Introduction
PART 1:
Introductory Elements
1
Fundamental Collateral Concepts
2
The Nature and Characteristicsof Collateral Types
PART
2: Sale & Repurchase (Repo) Trades and Collateral
3 Sale & Repurchase (Repo) Trades and Collateral – Introduction to Repo
4 Sale & Repurchase (Repo) Trades and Collateral – Classic Repo Trades
5 Sale & Repurchase (Repo) Trades and Collateral – The Repo Trade Lifecycle
6
Sale & Repurchase (Repo) Tradesand Collateral – Stock-Based ClassicRepo Trades
7 Sale & Repurchase (Repo) Trades and Collateral – Repo Trade Variations
8 Sale & Repurchase (Repo) Tradesand Collateral – The Global Master
Repurchase Agreement
PART 3: Securities Lending & Borrowing and Collateral
9 Securities Lending & Borrowing and
Collateral – Introduction to SL&B
10
Securities Lending & Borrowing and Collateral – Principles of SL&B
11 Securities Lending & Borrowing and
Collateral – The SL&B Trade Lifecycle
12 Securities Lending & Borrowing and Collateral – Accessing the SL&B Marketplace
13 Securities Lending & Borrowing and Collateral – The Global Master Securities Lending Agreement
PART 4a: OTC Derivatives
and Collateral
14 OTC Derivatives and Collateral –Transaction Types – Introduction
15 OTC Derivatives and Collateral –Transaction Types – Generic
Structural Aspects
16 OTC Derivatives and Collateral –Transaction Types – Interest
Rate Swaps
17 OTC Derivatives and
Collateral – TransactionTypes – Credit Default Swaps
18 OTC Derivatives and Collateral –Transaction Types – Foreign
Exchange Swaps
19 OTC Derivatives and
Collateral – TransactionTypes – Cross-Currency Swaps
20 OTC Derivatives and Collateral – Legal
Protection – Introduction
21 OTC Derivatives and Collateral – Legal
Protection – Master Agreementand Schedule
22 OTC Derivatives and Collateral – Legal
Protection – Credit Support Annex
23 OTC Derivatives and
Collateral – Static Data
24
The OTC Derivative Collateral Lifecycle
25 OTC Derivatives and Collateral – The
Collateral Lifecycle – Pre-Trading –Legal Documentation
26 OTC Derivatives and Collateral –The Collateral Lifecycle –Pre-Trading – Static Data
27
OTC Derivatives and Collateral –The Collateral Lifecycle –Trading – Trade Execution
28
OTC Derivatives and Collateral –The Collateral Lifecycle –Post-Trading – Trade Capture
29 OTC Derivatives and Collateral – The Collateral Lifecycle – Post-Trading –Trade Confirmation/Affirmation
30 OTC Derivatives and Collateral – The Collateral Lifecycle – Post-Trading –Trade/Portfolio Netting
31 OTC Derivatives and Collateral – The
Collateral Lifecycle – Throughout Lifetimeof Trade – Portfolio Reconciliation
32 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout
Lifetime of Trade – Marking-to-Market
33 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Exposure Calculation
34 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetimeof Trade – Receiving Margin Calls
35 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Issuing Margin Calls
36 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout
Lifetime of Trade – Holding Collateral
37 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade
Execution Events – Introduction
38 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade
Execution Events – Novation
39 OTC Derivatives and Collateral –The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade
Execution Events – Unwind
40 OTC Derivatives and Collateral –The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade
Execution Events – Offset
41 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade
Execution Events – Credit Events
42 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Collateral
Substitution
43 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Income & Corporate Action Events
44 OTC Derivatives and Collateral –The Collateral Lifecycle – Trade Termination – Trade Termination
PART 4b: OTC Derivatives and Collateral – Legal
Documentation
45 OTC Derivatives and
Collateral – Legal Documentation
46 OTC Derivatives and Collateral – Regulatory Change and the Future of Collateral – Introduction
47 OTC Derivatives and Collateral –
Regulatory Change and the Future of Collateral – Centrally Cleared Trades
48 OTC Derivatives and Collateral – Regulatory Change and the Future of Collateral – Non-Centrally
Cleared Trades
Glossary of Terms
Useful Websites
Further Reading
Index
