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Collateral management : a guide to mitigating counterparty risk

Author: Michael Simmons
Publisher: Chichester, West Sussex, United Kingdom : John Wiley & Sons, 2018. ©2019
Edition/Format:   eBook : Document : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Simmons, Michael, 1951- author.
Collateral management
Chichester, West Sussex, United Kingdom : John Wiley & Sons, 2019
(DLC) 2018043094
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Michael Simmons
ISBN: 1119377102 9781119377122 1119377129 9781119377177 111937717X 9781119377108
OCLC Number: 1052905200
Description: 1 online resource.
Contents: 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 Value2.2.9 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 Transaction4.1.2 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 4.1.16 Updating Books & Records4.1.17 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 Calculations7.1.2 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
Responsibility: Michael Simmons.

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