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