Programme

Programme

Margin and Collateral Training Workshop

Day 1
Thursday 21 March 2019, Sydney

08:30

Registration

09:00

Regulatory overview and timelines

  • 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

Sean Moore, Partner, DELOITTE
Nicholas Ferguson, Senior Analyst, DELOITTE 

10:00

Morning Coffee Break 

10:30

Collateral, in 2019

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

Lubomir Slavtchev, Director, Collateral Trading, NATIONAL AUSTRALIA BANK

12:00

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

Allan McGregor, Senior Manager, Derivatives & OTC Markets, ASX 

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

Robert Fievez, Director, Financial Services, Risk and Regulation, PwC

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

Robert Fievez, Director, Financial Services, Risk and Regulation, PwC

17:00

End of Day 1

Day 2
Friday 22 March 2019, Sydney

08:30

Registration 

09:00

ISDA SIMM background and model implementation

  • Regulatory requirements on the use of IM models, including ISDA SIMM
  • Addressing the regulatory requirements under SIMM
  • Sensitivity based approach
    • Model sensitivities
    • Model parameters
  • Monitoring ISDA SIMM
  • Incorporating ISDA SIMM into derivative infrastructures

Ben Watson, CEO, MAROON ANALYTICS AUSTRALIA

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

Kendall Park, Lead Lawyer, Initial Margin Project, WESTPAC

12:30

Lunch

13:30

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

Dale Rayner, Partner, KING & WOOD MALLESONS 
Max Allan, Senior Associate, KING & WOOD MALLESONS 

15:00

Afternoon break

15:30

ISDA SIMM calculation (demonstrations and practical examples)

Ben Watson, CEO, MAROON ANALYTICS AUSTRALIA

16:30

End of Day 2