Agenda

agenda

Margin Reform | Agenda

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Live virtual course | Agenda timing is in GMT

Respective time in HKT/SGT:
Start: 4:30pm
Break: 6:30pm
Finish: 7:45pm
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08:3009:30

Framework on Margin Requirements for Non-Centrally Cleared Derivatives

10:01 - 11:00

  • Overview of Uncleared Margin Rules (UMR)
    • Variation Margin (VM)
    • Initial Margin (IM) 
  • Understanding the initial margin model 
  • Methodologies for the calculation of initial margin (IM)
    • Standardized approach
    • Model approach
  • Impact on traditional trading models 
  • Transitioning to regulatory compliance
  • Liquidity risk and initial margin threshold
  • Bilateral vs cleared
Dipak Chotai

Managing Director

JD Risk Solutions

Dipak Chotai is the founder of a specialist consultancy firm, JD Risk Solutions, and is a veteran of risk management. He was most recently a Managing Director at UBS reporting into the Global Head of FX, Rates and Credit as the Head of Risk Management for the fixed income business, and was part of the IB leadership team. 

Dipak’s team was responsible for approving all bilateral legal documentation for UMR, and was integral in optimising the business for the Uncleared Margin regulation including running roadshows for clients globally on uncleared margin and mandatory clearing.

Throughout his 17-year tenure at UBS, Dipak has occupied roles within technology, middle office, and front office. Notably, Dipak was a senior trader on the XVA desk during the financial crisis. 

Dipak has also served on CCP Risk Committees and Default Management Committees, and on the boards of OTCDerivNet and CreditDerivClear. 

09:3010:30

Global regulatory landscape of IM

10:00 - 11:00

  • Main requirements for the mandatory exchange of the IM
  • Global regulatory perspectives and firm impact 
  • IM and Industry Advocacy
  • Transaction & counterparty scope of IM
  • Third party vs Triparty custodian models 
Jason Valoti

Partner

Simmons & Simmons LLP

Helen Fok

Consultant

Simmons & Simmons LLP

10:3010:45

Break

10:01 - 11:00

10:4511:45

Documentation

10:01 - 11:00

  • Types of documentation needed to implement IM
  • Legal documentation & custodian 
  • Impact on existing ISDAs and CSAs 
  • Negotiating the Eligible Collateral Schedule
Jonathan Quie

Partner

Simmons & Simmons LLP

Paul Metcalfe

Managing Associate

Simmons & Simmons LLP

Paul specialises in financial services law and regulation, with a focus on trading and investments.  He advises asset managers (both hedge and institutional) on all aspects of their trading relationships with market counterparties, including prime brokerage, derivatives and trading agreements. He also provides specialist advice to clients in relation to derivatives regulation in the UK and Europe.

08:3009:30

Preparing for the final stages of initial margin phase-in

10:00 - 11:00

  • Understanding the qualitative and quantitative impact
  • Key takeaways and lessons learnt from the previous phases 
  • Setting expectations of management and counterparties
  • Addressing the IM model risk 
  • Back testing and monitoring 
  • Best practices in efficient and control in margin call, collateral posting, administration and solutions 
Robert Fievez

Consultant – Derivatives and Investments

Resolution Life

Robert Fievez is Melbourne based with 15 years’ experience in Government and Financial Markets specialising in broad scope regulatory change. His experience has focused on helping firms, large and small, to match the regulatory requirement against the underlying portfolio impact and make the transition to new operating and business models. Mr. Fievez has also led engagement with local (APRA and RBA) and overseas (US Federal Reserve, Japanese Financial
Services Agency, etc.) regulators across a range of reform issues. Mr. Fievez is currently with Resolution Life, Australia within the Investment Strategy team overseeing implementation of derivatives business strategies for execution, risk management, compliance and collateral management.

09:3010:30

Collateral Management and Optimization

10:00 - 11:00

  • Trends in collateral and derivatives market space 
  • Impact of margin regulation and settlement changes on collateral management
  • Impact on the central clearing market
  • Eligible collateral & settlement time 
  • Collateral vs CVA charges
  • Market adoption and lessons learnt
  • Case Study: Developing collateral management processes and optimization 

10:3010:45

Break

10:01 - 11:00

10:4511:45

Key Challenges for UMR compliance

10:01 - 11:00

  • On boarding challenges; Self-Disclosure; who is in the scope?
  • Rule Selection; which rule applies and how to break down and allocate them to different functions
  • Getting the models approved
  • Operational challenges: settlement timing and implication
  • Cross border implications
  • Impact on buy- and sell-sides

08:3009:30

ISDA SIMM background and model implementation

10:00 - 11:00

  • ISDA SIMM outline and approach, and regulatory requirements
  • Understanding the IM models – SIMM vs grid
  • The Sensitivity based approach
    • Model sensitivities
    • Model parameters
  • Monitoring ISDA SIMM
  • Incorporating ISDA SIMM into derivative infrastructures
  • Challenges in implementing SIMM
Aseem Agrawal

Director, Counterparty Risk Solutions

Citi

09:3009:45

Break

10:01 - 11:00

09:4510:45

ISDA SIMM calculation

10:00 - 11:00

  • Key risk factors, sensitivities and measures 
  • Concentration thresholds
  • Calculating risk in derivative contracts
  • Practical examples
Aseem Agrawal

Director, Counterparty Risk Solutions

Citi