Agenda

agenda

Margin Reform PhaseV : IM | Agenda

08:4509:00

Registration

08:30 - 09:00

09:0010:00

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
Karim Chabane

Director, Head of APAC Collateral Management, Custody and Funds Services

Citibank

Karim Chabane is a Director within Citi Futures, Clearing and Collateral division based in Hong Kong and Regional Head of Collateral Management for Asia Pacific. He has responsibility within Investor Services Division for all aspects of the margining and collateral management products to Citi's customers including Investors, Banks and Financial Intermediaries.
Karim joined Citi in January 2011 from Euroclear Bank, the International Central Securities Depository to take responsibility of regional product management of the Citi collateral management and administration services before taking the Regional Head role.
While at Euroclear, Karim spent two years as Head of Product Management for the Asia-Pacific region covering the full range of Euroclear's products and services, including settlement & custody, collateral management and fund processing.
Prior to this, Karim spent 18 years at Euroclear 's head office in Brussels and held various senior positions across Cash & Treasury Operations, Sales & Relationship Management covering London-based brokers and investment banks, Project teams for some major market and infrastructure initiatives as well as Product Management.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

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
Karim Chabane

Director, Head of APAC Collateral Management, Custody and Funds Services

Citibank

Karim Chabane is a Director within Citi Futures, Clearing and Collateral division based in Hong Kong and Regional Head of Collateral Management for Asia Pacific. He has responsibility within Investor Services Division for all aspects of the margining and collateral management products to Citi's customers including Investors, Banks and Financial Intermediaries.
Karim joined Citi in January 2011 from Euroclear Bank, the International Central Securities Depository to take responsibility of regional product management of the Citi collateral management and administration services before taking the Regional Head role.
While at Euroclear, Karim spent two years as Head of Product Management for the Asia-Pacific region covering the full range of Euroclear's products and services, including settlement & custody, collateral management and fund processing.
Prior to this, Karim spent 18 years at Euroclear 's head office in Brussels and held various senior positions across Cash & Treasury Operations, Sales & Relationship Management covering London-based brokers and investment banks, Project teams for some major market and infrastructure initiatives as well as Product Management.

11:1511:15

End of day 1

12:00 - 13:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

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
  • IM model risk and governance framework
Kishore Ramakrishnan

Partner

Temple Grange Partners

Kishore is the head and founding partner of Temple Grange Partners, Asia business. He comes with over 21+ years of industry & consulting experience spanning across multiple continents including Americas, Europe, Asia & Japan. He has advised top-tier U.S., U.K., Swiss, European, Japanese & Chinese banks, Financial Market Infrastructure [FMI] & Buy-side on the “structural” & “operational” implications on global and regional derivative regulations, Basel capital reforms, OTC derivative margin reforms, Volcker reforms, MiFID II, FRTB, front office trading supervision etc. His client engagements span multiple asset classes covering equities, derivatives & fixed income and his body of work includes but not limited to advising clients on booking model and legal entity strategy, margin model approvals, CPMI P-FMI assessments for CCP’s, target operating model design, industry benchmarking exercises covering banks, broker dealers, custodians, exchanges, CCP’s, asset managers, insurance firms. He has several national & international publications to his credit and has worked closely with global & regional regulators, industry associations such as ISDA, ASIFMA, HKSI, AIMA.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

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
Shawn Paul

Managing Director

CloudMargin

Shawn is Managing Director and regional head of Asia Pacific for CloudMargin (an IHS Markit portfolio company), the world’s first cloud-based collateral management workflow tool, which has earned nearly 20 industry awards and honours since 2015 for innovation and best-in-class technology. Previously he was Director of Wolters Kluwer’s Financial and Compliance Services (FCS) division in Asia Pacific where he held key roles, including Market Manager for Regulatory Reporting in Asia and General Manager for Australia, New Zealand, South Asia and Singapore. Prior to Wolters Kluwer, he worked with Calypso Technology growing the company’s Asia Pacific business. Throughout his career, Shawn has led expansion strategies in Asia Pacific for leading industry platforms such as FRSGlobal, Iris, SAASGAS and FinArch.

Shawn’s financial services career began as Branch Manager for the Commonwealth Bank of Australia. Shawn also works as an investor and coach in the Financial Technology and start-up space in the Asia Pacific region.

11:1511:15

End of Day 2

12:00 - 13:00

08:4509:00

Registration

08:30 - 09:00

09:0010:00

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
Carl Chan

Associate Director

KPMG Advisory (Hong Kong) Limited

Carl is a financial risk professional with more than 10 years of experience who served financial institutions, governments, pension funds etc. on risk management.  He covers margin requirements for non-cleared OTC derivative trades, market risk, FRTB, counterparty credit risk, etc. Uncleared margin rules have been one of his focus areas and he has worked with multiple financial institutions on adopting the new margin requirements and risk mitigation standards. His major clients are phase 5 and phase 6 banks.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

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
     
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

11:1511:15

End of day 3

12:30 - 13:30

08:4509:00

Registration

08:30 - 09:00

09:0010:00

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
Ben Watson

CEO

Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.

Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 23 years working for Investment Banks as a Quantitative Analyst. Up to 2012, he was the APAC regional head of the Quant function for RBS, and before that he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.

As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Taiwan, Singapore, US and New Zealand.

10:0010:15

Morning break

10:30 - 11:00

10:1511:15

ISDA SIMM calculation

15:30 - 17:00

  • Practical Examples
  • Case Study 
Ben Watson

CEO

Maroon Analytics Australia

Ben Watson is the CEO of Maroon Analytics Australia, a Quantitative Analytics Consultancy that helps Banks and Financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such OIS discounting, XVA pricing, Initial Margin modeling, and market and credit risk management.

Ben has recently developed a full-featured risk management system called Quantics. This system is currently being rolled out to a wholesale fund manager that is being used to manage the credit and market risk, as well as provides full profit and loss attribution on a large credit portfolio.
Ben came to the Maroon business with 23 years working for Investment Banks as a Quantitative Analyst. Up to 2012, he was the APAC regional head of the Quant function for RBS, and before that he was the local head of Quantitative Analytics at ABN AMRO Australia. Working directly with traders he has a long track record of building real-time pricing and risk management systems. He has built Credit, Bond, Swaps, FWD FX, Swaptions, Inflation Bonds and Swaps, MBS, CDS pricing and trading systems for the front office. While at RBS he managed the successful OIS migration of a large derivatives trading book and since working as has a consultant, he has advised and helped implement a number OIS migration projects.

As part of the Marron Analytics offering, Ben has developed a number of training courses in OIS Discounting, Counterparty Credit, and CVA, XVA, Initial Margin, Stress Testing, Pricing Fixed Income products, VaR/ Expected Shortfall and VBA for Finance. He has delivered these training courses across Australia, Taiwan, Singapore, US and New Zealand.

11:1511:15

End of course

17:00 - 17:01