Collateral Management

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.

Autorentext

MICHAEL SIMMONS is a financial services operations specialist with expertise in post-trade processes. For over 20 years, he worked at a blue-chip investment bank (S.G. Warburg and Warburg Securities) where he was the manager of Fixed Income (Bond) Operations. Over these two decades of hands-on experience in the field, Mike identified a need for practitioner-oriented education programs on multiple aspects of operations, including the securities trade lifecycle, corporate actions, operational risk and associated controls. He thus began writing and delivering popular training courses, including the Operations Certificate Programme (a 5-day multi-subject examined qualification) for the International Capital Market Association. He is the author of two previous books, namely Securities Operations and Corporate Actions. Observations on the style and content of this book can be conveyed to the author by email to info@mike-simmons.com.

Klappentext
Collateral Management, Demystified In today's risk-focused financial landscape, there is a clamour for practical information about the once-esoteric practice of exchanging collateral on financial products. Risk managers in organizations large and small, both on the buy-side and the sell-side, must bring collateral management to the fore to mitigate exposure. Collateral Management is a response to this intense demand from one of the industry's leading experts on the topic. Collateral Management is not a theoretical text. Rather, this book dissolves the topic of collateral management into its logical components, providing day-to-day guidance on how to implement this important risk mitigation strategy. With over 150 diagrams, more than 600 glossary entries, and numerous example calculations, Collateral Management provides professionals with the unique complex of knowledge and tools needed for a contemporary approach to collateral. Risk managers, lawyers, securities custodians, consultants, and financial software professionals alike will benefit from the comprehensive information in this text. Readers will master the principles and practices that apply to collateral for sales & repurchases (repo), securities lending & borrowing, and OTC derivatives. Today, firms of all sizes are actively using collateral as a major risk mitigation measure, and this guide to applied collateral management delivers complete coverage that practitioners need.

Inhalt
Foreword xvii

Acknowledgements xix

About the Author xxi

Introduction xxiii

Part 1 Introductory Elements

Chapter 1 Fundamental Collateral Concepts 3

Chapter 2 The Nature and Characteristics of Collateral Types 7

Part 2 Sale & Repurchase (Repo) Trades and Collateral

Chapter 3 Sale & Repurchase (Repo) Trades and Collateral Introduction to Repo 29

Chapter 4 Sale & Repurchase (Repo) Trades and Collateral Classic Repo Trades 33

Chapter 5 Sale & Repurchase (Repo) Trades and Collateral The Repo Trade Lifecycle 79

Introduction 79

Chapter 6 Sale & Repurchase (Repo) Trades and Collateral Stock-Based Classic Repo Trades 101

Chapter 7 Sale & Repurchase (Repo) Trades and Collateral Repo Trade Variations 103

Chapter 8 Sale & Repurchase (Repo) Trades and Collateral The Global Master Repurchase Agreement 121

Part 3 Securities Lending & Borrowing and Collateral

Chapter 9 Securities Lending & Borrowing and Collateral Introduction to SL&B 161

Chapter 10 Securities Lending & Borrowing and Collateral Principles of SL&B 167

Chapter 11 Securities Lending & Borrowing and Collateral The SL&B Trade Lifecycle 211

Chapter 12 Securities Lending & Borrowing and Collateral Accessing the SL&B Marketplace 237

Chapter 13 Securities Lending & Borrowing and Collateral The Global Master Securities Lending Agreement 253

Part 4a OTC Derivatives and Collateral

Chapter 14 OTC Derivatives and Collateral Transaction Types Introduction 295

Chapter 15 OTC Derivatives and Collateral Transaction Types Generic Structural Aspects 303

Chapter 16 OTC Derivatives and Collateral Transaction Types Interest Rate Swaps 311

Chapter 17 OTC Derivatives and Collateral Transaction Types Credit Default Swaps 319

Chapter 18 OTC Derivatives and Collateral Transaction Types Foreign Exchange Swaps 329

Chapter 19 OTC Derivatives and Collateral Transaction Types Cross-Currency Swaps 341

Chapter 20 OTC Derivatives and Collateral Legal Protection Introduction 349

Chapter 21 OTC Derivatives and Collateral Legal Protection Master Agreement and Schedule 351

Chapter 22 OTC Derivatives and Collateral Legal Protection Credit Support Annex 361

Chapter 23 OTC Derivatives and Collateral Static Data 401

Chapter 24 The OTC Derivative Collateral Lifecycle 413

Chapter 25 OTC Derivatives and Collateral The Collateral Lifecycle Pre-Trading Legal Documentation 415

Chapter 26 OTC Derivatives and Collateral The Collateral Lifecycle Pre-Trading Static Data 419

Chapter 27 OTC Derivatives and Collateral The Collateral Lifecycle Trading Trade Execution 421

Chapter 28 OTC Derivatives and Collateral The Collateral Lifecycle Post-Trading Trade Capture 429

Chapter 29 OTC Derivatives and Collateral The Collateral Lifecycle Post-Trading Trade Confi rmation/Affi rmation 435

Chapter 30 OTC Derivatives and Collateral The Collateral Lifecycle Post-Trading Trade/Portfolio Netting 439

Chapter 31 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Portfolio Reconciliation 447

Chapter 32 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Marking-to-Market 457

Chapter 33 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Exposure Calculation 463

Chapter 34 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Receiving Margin Calls 475

Chapter 35 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Issuing Margin Calls 501

Chapter 36 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Holding Collateral 515

Chapter 37 OTC Derivatives and Collateral The Collateral Lifecycle Throughout Lifetime of Trade Post-Trade Execution Events Introduction 531 Chapter 38 OTC Derivatives and Collateral The Collateral Lifecycle Throughou…