International Securities
Identification (ISN) 187
International Swaps and Derivatives
Association (ISDA) 31, 105
intra-day margin 127, 187
intrinsic value 187
investment
banks 187
business 187
grade 187
trust company 187
Investment Services Directive
(ISD) 187
investments 187
invoice amount 188
IPE Brent Crude Delivery
Mechanism 68–70
IPE Brent Crude futures 27–31
K
knock-out/knock-in options 104
know your customer 188
Korea Stock Exchange 4
Kospi option 4
L
last notice day 61, 188
Last Trading Day 17, 18, 24, 48,
61–2, 188
layering 188
LCH/LCH.Clearnet 36, 40–1,
135–9, 188
delivery procedures 62–8
leverage 188
LIBID 188
LIBOR see London Interbank
Offer Rate (LIBOR)
LIFFE Connect 188
LIFFE see London International
Financial Futures and Options
Exchange (LIFFE)
limit order 189
limited liability 241–2
liquidation 189
liquidity 26, 189
liquidity risk 189
local 189
currency 189
futures 74–5
Lombard rate 189
London Clearing
House/LCH.Clearnet 36
London Inter Bank Offered Rate
(LIBOR) 20, 21
London Interbank Offer Rate
(LIBOR) 189
London International Financial
Futures and Options Exchange
(LIFFE) 6, 7, 189
London Metal Exchange (LME) 189
contracts 70–3
copper brands 233–5
London Stock Exchange (LSE) 189
London Traded Option Market 7
long 84, 189
Long Gilt futures 17–19
long position 190
look back option 104
lot 190
M
managed fund 190
management information 162
mandatory event 190
margin 190
additional 132–3
calculation 78, 88
delta 126–7
initial 125–6
intra-day 127
methods 128
offsets 128–9
option 131–2
premium 132
settlement of option 133–4
spot month 128
variation 129–30
margining
client 139–40
OTC positions 141
single currency 140
270 Index
market 190
counterparty 190
forces 190
maker 190
price 190
risk 157, 190
value 190
mark-to-market 190
Master Agreement 105
Matching System 42
MATIF 191
maturity 191
model risk 191
MONEP 191
money laundering 191
money market 191
mutual fund 191
N
naked option 192
naked writing 192
NASDAQ 192
National Association of Pension
Funds (NAPF) 192
netting 111–13
New York Mercantile Exchange 192
Nikkei Dow Index 192
Nikkei futures 192
nominal amount 192
non-clearing member (NCM) 40, 192
Non-Private Customer 192
notional 192
novation 40, 192
NYMEX see New York Mercantile
Exchange
O
off-exchange transactions 238, 240–1
offer price 193
omnibus account 193
open
interest 193
order 193
outcry 193
position 193
open ended 193
Open Ended Investment
Company (OEIC) 193
opening trade 193
opening/closing transactions
futures 77–8
options 88
operational risk 157, 164–5, 193
definition 157
identifying/managing 158–60,
162–4
mapping 159–60
measuring 162–4
specific 161–2
system/technology 158–60
option 3–4, 6, 83–6, 193, 239
booking trade to relevant
client account/trading
book 87–8
buying 239
client settlement instructions
90–1
commission 88–9
delivery 96
exercise and assignment 91–5
fees 89
history 6–10
margin 88, 131–2
opening/closing transactions 88
premium 25, 193
settlement with clearing
house 89–90
styles 85, 92, 103
trade capture 86–7
trade enrichment 87
trade validation 87
traditional 240
workflow road map 86–91
writing 240
Options Clearing Corporation
(OCC) 36, 40
options on futures 193
options trading contract (OTC)
1–2, 7, 8
order driven market 194
ordinary dividends 252
ordinary shares 194
Index 271
OTC see over-the-counter (OTC)
out-of-the-money 92, 194
out-trade 194
over-the-counter (OTC) 31–4, 194
accounting/regulatory
issues 110
collateral 109
communication/information 108
default 109
derivatives 153–4
equity swap cash flow 102–3
event calendar 107
forward rate agreements 97–8
margining 141
netting 111–13
options 103–4
post-trade environment 106–7
reconciliation 109
settlement 104–6
SwapClear 110–11
swaps 98–102
SwapsWire 113–14
use 121
P
payment date 99
pension fund 194
physical delivery 194
pit 194
placement 194
portfolio 194
pre-settlement 195
premium 132, 195
present value 195
price 3, 17, 24, 48, 252–3
price (conversion) factor 195
principal-to-principal market 195
principal trading 195
principal value 195
private customer 195
project A 195
proprietary trader 195
Protected Payments System
(PPS) 41
put option 83–4, 103, 195
puttable swaps 104
R
RCH see Recognised Clearing House
realised profit 195
Recognised Clearing House 195
Recognised Investment Exchange
(RIE) 196
reconciliation 161, 196
regulation 122–3
reputational risk 196
reset dates 99
RIE see Recognised Investment
Exchange (RIE)
right of offset 196
rights issue 196, 251–2
risk arrays 258–9
risk mapping 160
risk warning 196, 237–43
rollover 104, 196
S
securities 196
Securities and Exchange
Commission (SEC) 196
Securities House 196
segregation of funds 196
Serious Fraud Office 196
settlement 140, 197
date 197
day 24
flow 56–7
options 89–90
settlement institution 38
share futures 197
share option 197
short 197
short options 197, 260
Singapore Exchange (SGX)
6, 7, 47, 197
soft commodities 73–5, 197
SPAN 127, 197
definition 257
identifying overall risk 257–8
initial margin 257
methodology 258–60
speculation 120–1, 197
speculator 197
272 Index
spot delivery 197
spot market 197
spot month 128, 197
spot rate 197
spread 198
Standard & Poors 198
standard settlement instructions 198
standing instruction 198
stock 198
stock dividend 198
stock index futures/options 199
stock market 199
stop (order) 199
straddle 199
straight-through-processing 199
strike price/rate 85, 199
suspension of trading 242
SwapClear 110–11
netting 111–13
swaps 98–102
SwapsWire 113–14
swaption 100, 103
SWIFT 199
Swiss Options and Financial
Futures Exchange 4
SWORD system 73
system/technology risk 158–9
T
takeovers 254–5
tender 199
term 99
termination date 99
Theoretical Intermarket Margin
System (TIMS) 132, 199, 261–3
theoretical value 199
theta 199
tick size 17, 24, 26, 45, 48, 131, 199
time value 199
TIMS see Theoretical Intermarket
Margin System (TIMS)
trade
capture 76, 86–7
enrichment 87
input 161
validation 76–7, 87
Trade Registration System (TRS) 42
traded option 200
trader 200
trading
hours 17, 18, 24–5, 48
permits 200
platform 17, 18, 25, 48, 75
Treasury Bill 200
Treasury Bonds 4, 200
Treasury Note 200
Treasury Notes (USA) 200
trigger options 104
triple A – rating 200
U
underlying asset/underlying
26, 200
unit of trading 23, 47
unit trust 200
Universal Stock Futures Contracts
251, 252, 254–5
unrealised profit 200
V
valuation 161
Value at Risk (VaR) 157, 200
vanilla products 23
variation margin (VM) 33, 55,
129–30, 200
vega 200
volatility 201
W
warrant agent 201
warrants 201, 237–43
websites 245–6
workflow road map
futures 75–81
options 86–91
writer 84, 133–4, 201
X
XETRA 201
Index 273
This Page is Intentionally Left Blank
..................Content has been hidden....................
You can't read the all page of ebook, please click here login for view all page.