Clearing and Settlement of Derivatives (eBook)

David Loader (Autor)

eBook Download: PDF

2005 | 1. Auflage
272 Seiten
Elsevier Science (Verlag)
978-0-08-045635-5 (ISBN)

Infos

This book makes the reader aware of the background to the derivatives markets, how they have developed and their importance today.

Clearing and Settlement of Derivatives addresses how and why derivative products are used and how the industry is structured, looking at both the exchange and over-the-counter markets. The role of the various parties is explained and the interaction between securities, commodities and derivatives explored.

The key regulation that affects the use of derivatives by banks, corporate companies, institutional investors and private clients is covered and by way of example, the book reviews the various Directives affecting investment funds' use of derivatives, capital adequacy requirements on banks and guidelines for private client use. The regulations looked at will be international, making this book suitable for most UK, European, and North American markets.

* Informs and educates the reader about derivative products and everything that happens when trades take place without using confusing technical detail and unexplained jargon
* Explains the background to derivatives and the market infrastructures and regulation in a clear and easy to read way
* Deals with the extensive procedures and processes involved in lively, easy to follow road maps

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This book makes the reader aware of the background to the derivatives markets, how they have developed and their importance today. Clearing and Settlement of Derivatives addresses how and why derivative products are used and how the industry is structured, looking at both the exchange and over-the-counter markets. The role of the various parties is explained and the interaction between securities, commodities and derivatives explored.The key regulation that affects the use of derivatives by banks, corporate companies, institutional investors and private clients is covered and by way of example, the book reviews the various Directives affecting investment funds' use of derivatives, capital adequacy requirements on banks and guidelines for private client use. The regulations looked at will be international, making this book suitable for most UK, European, and North American markets.* Informs and educates the reader about derivative products and everything that happens when trades take place without using confusing technical detail and unexplained jargon* Explains the background to derivatives and the market infrastructures and regulation in a clear and easy to read way* Deals with the extensive procedures and processes involved in lively, easy to follow "e;road maps"e;

Inhalt

Cover 1
Contents 6
Preface 10
Acknowledgements 16
Disclaimer 18
The development of futures and options and OTC derivatives 20
The first futures market 21
The emergence of financial futures and options markets 22
The first options markets 25
Summary 31
Derivative products 34
Over-the-counter derivatives 50
The role of the clearing house 54
Eurex AG 57
The Options Clearing Corporation (OCC) 59
LCH.Clearnet 59
Risk management 62
Summary 62
Futures processing 64
Futures trading 68
Clearing process 69
Use of futures 71
Futures clearing and settlement 73
Variation margin 74
Initial margin 74
Futures delivery 76
The delivery process 78
LCH.Clearnet.Clearnet delivery procedures 81
The process of delivery 82
The delivery process of Gilts through CREST 87
Commodity futures delivery 87
Physical delivery of LME contracts 89
The SWORD system 92
Soft commodities 92
Workflow road map 94
Summary 100
Options processing 102
Workflow road map 105
Option exercise and assignment 110
Exercise and assignment procedures 114
Delivery 115
Summary 115
OTC products 116
Forward rate agreements 116
Swaps 117
Equity swap cash flow 121
Over-the-counter options 122
Settlement of OTC products 123
The post-trade environment 125
Event calendar 126
Communication/Information 127
Other settlement issues 128
Accounting and regulatory issues 129
SwapClear 129
Benefits of netting 130
SwapsWire 132
Summary 133
Using derivatives in investment management 134
Introduction 134
Basic illustration of derivatives use in asset allocation 134
Income enhancement 135
Hedging 137
Speculation and exposure taking 139
Use of OTC derivatives 140
Regulation and compliance 141
Summary 142
Margin and collateral 144
Initial margin 144
An explanation of delta 145
Intra-day margin 146
Spot month margin 147
Margin methods 147
Margin offsets 147
Variation margin 148
Tick size 150
Option margin 150
Settlement of option margin 152
Collateral 153
Acceptable collateral 154
Margining to a client 158
Single currency margining and settlement 159
Margining OTC positions 160
Summary 160
Impact of corporate actions 162
Introduction 162
OTC derivatives 172
Summary 173
Operational risk 176
Identifying and managing specific risks 177
Mapping operational risk in a derivatives operations environment 178
Specific operational risks 180
Recognising, measuring and managing operational risk 181
Summary 183
Glossary of derivatives terms 186
Appendix 222
Euronext.liffe equity index future contract specification 222
Euronext.liffe listed option contracts 230
IPE exchange for physicals 234
IPE expiry dates 240
LME copper brands 252
FSA derivatives and warrants risk warning 256
Useful websites and suggested further reading 264
Euronext.liffe corporate action policy 268
SPAN 276
TIMS 280
Index 284

Produkt-Details

• Erscheint lt. Verlag: 16.8.2005
• Sprache: englisch
• Themenwelt: Sachbuch/Ratgeber
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Themenwelt: Betriebswirtschaft / Management ► Spezielle Betriebswirtschaftslehre ► Bankbetriebslehre
• ISBN-10: 0-08-045635-9 / 0080456359
• ISBN-13: 978-0-08-045635-5 / 9780080456355