Programme

Programme

Margin and Collateral Training Workshop

Day 1
Thursday 28 March 2019, Hong Kong 

08:30

Registration

09:00

Regulatory overview and timeline 

  • FRTB, Dodd-Frank, MiFID II
  • MiFID & SFTR – Their importance for clearing
  • CCP supervision and the new role of ESMA

10:30

Morning Coffee Break 

11:00

Central clearing and collateral demand

  • Collateral management - operating model building blocks
  • Key considerations for model approval - practical implementation considerations for model approval
  • Central clearing models - principal and agency model overview
  • clearing broker onboarding criteria/ operational considerations

12:00

Initial margin requirements for uncleared derivatives

  • Overview on the IM schedule – rules and requirements
  • Methodologies for the calculation of initial margin (IM)
    • Standardized vs. Internal Models
  • Requirements for an IM model
  • Bilateral initial margin framework
  • Modeling options for cleared and uncleared trades
  • Back testing and monitoring 

13:00

Lunch 

14:00

Collateral optimisation and transformation strategies

  • The primary functions of collateral transformation
  • How do firms engage in collateral transformation
    • Rehypothecation
    • Cash collateral
    • Securities lending transactions
  • Understanding potential restrictions
  • Collateral trading and impact of regulation
  • Collateral managers & their role in collateral optimization
  • Comparison of collateral optimization with and without a collateral manager
  • Collateral optimization & securities lending regulatory requirements

15:30

Afternoon coffee break 

16:00

VM rules and requirements

  • Context of VM and the objectives of implementing VM
  • Key jurisdictions in implementing the variation margin rules
  • Entities subject to VM requirements
  • Trades subject to VM requirements
  • Cross border implications 
  • Other challenges:
    • Operational implication
    • Impact on CSA documentation

Posting of variation margins

17:00

End of Day 1

Day 2
Friday 29 March 2019, Hong Kong 

08:30

Registration 

09:30

ISDA SIMM approach and model implementation

  • Regulatory requirements on the use of IM models, including ISDA SIMM
  • Implementing SIMM for non-cleared initial margin rules 
  • Accuracy data for SIMM
  • Comparison to FRTB’s standard approach 
  • Monitoring and reporting on SIMM
  • On-going issues with SIMM models

11:00

Morning Break

11:30

Legal requirements, documentation and repapering of CSA

  • Understanding the ISDA English Law Variation Margin CSA
  • Key mechanics of the ISDA Credit Support Anex (CSA)
  • Operational implications of executing and maintaining multiple CSAs under an existing ISDA Master Agreement
  • Repapering of legal agreements to govern the newly required collateral terms for VM
    • restricted forms of eligible collateral
    • regulatory-specified MTAs
    • T+1 settlement of collateral

13:00

Lunch

14:00

Is there a case for MVA?

  • MVA as a future IM interest
  • What are the components of MVA
  • Initial margin (IM) and its projection to the future
  • Complexity of the MVA: Characterize the valuation effects of initial margin financing (MVA)
  • Known approximations to the MVA
  • MVA: ISDA SIMM and CCP initial margin

15:30

Afternoon break

16:00

ISDA SIMM calculation (demonstrations and practical examples)

17:00

End of Day 2