A Practical Guide to Collateral Management in the OTC Derivatives Market

Written and edited by the collateral management experts at Lombard Risk Management. Lombard Risk Management is an established provider of financial trading and risk management software and leading market data services. Since its inception in 1988, it has done business with 60 of the top 100 banks worldwide. Our software products include Oberon and Firmament. Oberon is an established trading and risk management system for the major interest rate, fixed income, FX and money market products, and associated hedges. Firmament is a suite of next generation trading, risk management and analysis applications designed to support the credit markets. Firmament applications include Firmament Collateral, the web based collateral management application. Lombard Risk also provide data on a daily basis for credit derivatives and other OTC derivative products through ValuSpread, a set of market leading price verification services currently including: ValuSpread Credit, ValuSpread Credit Data and ValuSpread Credit Historic Data.

Introduction Collateral - Theory and Practicalities of Credit Risk Mitigation Techniques in the OTC Derivatives Market Collateralising Repo and Securities Lending Transactions Implementing a Collateral Management Programme Use of Technology in the Collateral Management Area Legal Issues Surrounding Collateralisation Legal Documentation for Collateral Netting and Collateral Incorporation of Collateral into Credit Exposure Calculations Capital Adequacy The Impact of Collateral on Corporate Liquidity Collateral Risk Management Accounting and Tax Glossary