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 – Throughout Lifetime of Trade – Post-Trade Execution Events – Novation 533
Chapter 39 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade Execution Events – Unwind 541
Chapter 40 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade Execution Events – Offset 547
Chapter 41 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Post-Trade Execution Events – Credit Events 553
Chapter 42 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Collateral Substitution 559
Chapter 43 OTC Derivatives and Collateral – The Collateral Lifecycle – Throughout Lifetime of Trade – Income & Corporate Action Events 567
Chapter 44 OTC Derivatives and Collateral – The Collateral Lifecycle – Trade Termination – Trade Termination 575
Part 4b OTC Derivatives and Collateral – Legal Documentation
Chapter 45 OTC Derivatives and Collateral – Legal Documentation 579
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 583
Chapter 47 OTC Derivatives and Collateral – Regulatory Change and the Future of Collateral – Centrally Cleared Trades 597
Chapter 48 OTC Derivatives and Collateral – Regulatory Change and the Future of Collateral – Non Centrally Cleared Trades 629
Glossary of Terms 657
Useful Websites 703
Further Reading 705
Index 707
