Impact of COVID-19 on OTC Derivatives Funding

The implications of COVID-19 on funding the counter (OTC) derivatives market.

Impact of COVID-19 on OTC Derivatives Funding

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With the current COVID-19, financial institutions are facing difficult challenges globally. In comparison to the 2008-09 financial crisis, the current crisis is more widespread, impacting more financial institutions across banking, asset managers, insurance and pension funds.

In this 1.5 hr course, our speaker James Sehgal will discuss and provide insights into the implications of Covid-19 on funding the counter (OTC) derivatives markets.  Issues such as implications on margining for cleared and non-cleared derivatives will be covered along with implications on FVA (Funding Valuation Adjustment) and CVA (Credit Valuation Adjustment). Stress test analysis will also be covered.  It is extremely vital for financial institutions to be aware of what the funding constraints will be and how different institutions can approach the challenges.
 

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James Sehgal

Principal Consultant

Invicta PTE LTD

Invicta PTE LTD Principal Consultant and Kynec, Director

Varun James Sehgal has a diverse experience over 22 years across 3 continents (North America, Europe and Asia Pacific) in front office Markets Trading / Portfolio Management of XVA (CVA/DVA, FVA, WWR, Differential Discounting, Capital Optimisation etc), Funding, Collateral Optimisation, and Front Office Market Risk Oversight and more recently Clearing and Margin reforms.  He has been a practitioner of XVA since 2005 and formerly was Asia Pacific Head of XVA at a global bank based in Singapore.

As an ex-practitioner of XVA he has hands on experience in structuring of Derivatives, Regulations (Basel III, CRDIV, Capital Optimisation, and Funding / Differential Discounting), Risk Policy, Control and Governance. He has advised on projects associated to XVA, BCBS-IOSCO / SIMM regulation Margin Requirement for Non-Centrally Cleared Derivatives, FRTB (i.e. CVA-Capital) and IFRS9.
He co-authored a handbook section on Counterparty risk and XVA/ Capital for PRMIA (Professional Risk Managers’ International Association). He has chaired and presented at various industry conferences on CVA/XVA/Capital within Asia Pacific (Bloomberg, RiskMinds, Risk, Marcus Evans etc) and London, UK.
At present he is Principal Consultant of Financial Markets at Invicta PTE LTD, which is based in Singapore He is also Director of Kynec Ltd. which is focused on both CCP Direct Clearing of OTC Derivatives, Client Clearing and Margin Consolidation, which is based in London, U.K.

 

Who should attend?
  • Head of Fixed Income
  • Credit Risk Managers/Analysts
  • CRO/Risk Manager
  • Clearing Risk Manager
  • Portfolio Risk Manager/Analysts
  • Stress testing
  • Liquidity
  • Market risk
  • Treasury / Funding
  • Capital management
  • Recovery and resolution
Course highlights
  • Impact of COVID-19 on different constraints, and comparisons between current banks and banks during 2008-09 financial crisis
  • Similarities and dissimilarities to stress scenario for 2008-09 GFC, and new stress scenarios
  • Implications to FVA portfolio, margin reforms, and CCP margining requirements
  • The implications on credit risk on corporates, tier II, and tier III institutions