Agenda
agenda
Margin Reform PhaseV : IM | Agenda
08:30 – 09:00
Registration & refreshments
08:30 - 09:00
09:00 – 10:30
Framework on Margin Requirements for Non-Centrally Cleared Derivatives
09:00 - 10:30
- Uncleared Margin Rules (UMR)
- Variation Margin (VM)
- Initial Margin (IM)
- UMR final phases of IM
- Fundamental challenges for market participants during the final phases of IM & the effect on newly in-scope counterparties
- Impact on liquidity in derivatives market
- Systemic impact
10:30 – 11:00
Morning networking break
10:30 - 11:00
11:00 – 12:30
Global regulatory landscape of IM
11:00 - 12:30
- Initial Margin and Industry Advocacy
- Key differences between IM and VM
- Main requirements for the mandatory exchange of the IM
- Transaction & counterparty scope of IM
- Eligible collateral across regulations
- Third party vs Triparty custodian models
12:30 – 13:30
Lunch
12:30 - 13:30
13:30 – 15:00
Initial margin requirements for uncleared derivatives
13:30 - 15:00
- Rules and requirements for the IM schedule
- 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
15:00 – 15:30
Afternoon networking break
15:00 - 15:30
15:30 – 17:00
Key Challenges for UMR compliance
15:30 - 17:00
- 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 over settlement timing
- Legal documentation & custodian
- Cross border implications
- Other challenges:
- Operational implication
- Impact on CSA documentation
17:00 – 17:00
End of Day 1
17:00 - 17:01
08:30 – 09:00
Registration & refreshments
08:30 - 09:00
09:00 – 10:30
Preparing for the final stages of initial margin phase-in
09:00 - 10:30
- Understanding the qualitative and quantitative impact
- The regulatory schedule
- Requirements for the mandatory exchange of the initial margin
- Key takeaways and lessons learnt from the previous phases
- Best practices in efficient and control in margin call, collateral posting and administration
10:30 – 11:00
Morning networking break
10:30 - 11:00
11:00 – 12:30
Collateral Management and Optimisation
11:00 - 12:30
- Impact of margin regulation and settlement changes on collateral management
- Impact on the central clearing market
- Trends in collateral and derivatives market space
- Eligible collateral & settlement time
- Collateral vs CVA charges
- Market adoption and lessons learnt
- Case Study
12:30 – 13:30
Lunch
12:30 - 13:30
13:30 – 15:00
ISDA SIMM background and model implementation
13:30 - 15:00
- ISDA SIMM outline and approach
- 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
- Challenges in implementing SIMM
15:00 – 15:30
Afternoon networking break
15:00 - 15:30
15:30 – 17:00
ISDA SIMM calculation
15:30 - 17:00
- Practical Examples
- Case Study
17:00 – 17:00
End of course
17:00 - 17:01