Agenda

agenda

Margin Reform PhaseV : IM | Agenda

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

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
     

10:3011:00

Morning networking break

10:30 - 11:00

11:0012:30

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
     

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

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

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

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
     

17:0017:00

End of Day 1

17:00 - 17:01

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

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
     

10:3011:00

Morning networking break

10:30 - 11:00

11:0012:30

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
     

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

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 
     

15:0015:30

Afternoon networking break

15:00 - 15:30

15:3017:00

ISDA SIMM calculation

15:30 - 17:00

  • Practical Examples
  • Case Study 
     

17:0017:00

End of course

17:00 - 17:01