Programme

Programme

Margin and Collateral Training Workshop

Day 1
Thursday 28 March 2019, Hong Kong 

08:30

Registration

09:00

Regulatory overview and timeline

  • OTC Derivative Reform
  • Uncleared Margin Rules (UMR)
  • Initial Margin and Industry Advocacy
  • Other regulations and the impact on Margin and Collateral e.g. SFTR & Brexit

Keith Noyes, Regional Director, Asia Pacific, ISDA 

10:30

Morning Coffee Break 

11:00

Collateral, in 2019 

  • Collateral 101. How collateral works, VM, IM, IA.
  • The Collateral Management  operating model
  • The changing face of Collateral

Kishore Ramakrishnan, Partner, TEMPLE GRANGE PARTNERS

12:00

Central clearing 

  • Key considerations for model approval - practical implementation considerations for model approval
  • Central clearing models - principal and agency model overview
  • Clearing broker on boarding criteria / operational considerations
  • Self Clearing vs Outsourcing

Jacky Mak, Managing Director, Head of OTC & FIC Business Development, Clearing Division, HKEX

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

Karim Chabane, Director, APAC Head Collateral Management, CITI

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

Eric Yung, Associate Director, Collateral Services, HSBC

17:00

End of Day 1

Day 2
Friday 29 March 2019, Hong Kong 

08:30

Registration 

09:00

Initial margin requirements for uncleared derivatives

  • Overview on the IM schedule – rules and requirements
  • Methodologies for the calculation of initial margin (IM)
    • Standardized approach
    • Model approach
  • IM threshold and IM modeling standards
  • Bilateral initial margin framework
  • Modeling options for cleared and uncleared trades
  • Back testing and monitoring

Jeffrey Duan, Director, Fixed Income & Currencies, Asia, Global Markets, DEUTSCHE BANK

10:30

Morning Break

11:00

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

Martin Wong, Head of Legal, Asia, MUFG SECURITIES

12:30

ISDA Create – IM

  • Meeting the Phase 4 and 5 Initial Margin documentation challenge
  • The ISDA digital standards and technology initiative
  • Overview of the platform and functionality
  • The power of ISDA Create – IM structured data
  • Upcoming features and what’s next for ISDA Create

Rishi Kapoor, Director, Public Policy, Asia-Pacific, ISDA

13:00

Lunch

14:00

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

Ben Watson, CEO, MAROON ANALYTICS AUSTRALIA

15:30

Afternoon break

16:00

ISDA SIMM calculation (demonstrations and practical examples)

Ben Watson, CEO, MAROON ANALYTICS AUSTRALIA

17:00

End of Day 2