DAY 1 | DAY 2





  • Background of margin reform
  • Overview of margin reform
  • The new margin rules
  • Implementation timeline of the margin regulation
  • Calculation threshold under the new regulation

Rick Lakhiani, Regulatory Reform APAC Head, CITI


Non-centrally cleared OTC derivatives

  • Margin requirements and risk mitigation standards
    • Non clearable products - introduction
    • Regulatory context
    • BCBS-IOSCO key principles
    • Margin requirements and risk mitigation standards
  • Capital rules for standard approach
  • Key challenges
  • Business, operational and cross border impacts
  • Steps towards compliance with margin requirements 
  • Documentation tools for compliance

Rick Lakhiani, Regulatory Reform APAC Head, CITI


Morning Coffee Break


Calculating initial margin (IM) and variation margin (VM)

  • Objectives of IM and VM
  • IM and VM definitions
  • Implementation schedules
  • Methodologies for calculating IM
    • Schedule based approach
    • SIMM
    • Compare and contrast the two approaches
  • Calibration approach
  • Margin process flow
  • Back testing
  • Model Governance
  • Operational implications


Regulatory and risk management landscape in central clearing

    • Explanation of clearing infrastructures and the associated benefits;
    • Recent regulatory hotspots (e.g. CPMI-IOSCO principles, Dodd-Frank and MiFID II);
    • CCP risk management and safeguards (e.g. margin methodology and default fund); and
    • Account structures for the holding of collateral

Jeth Lee, Lead Counsel, SGX




Collateral transformation

  • The primary functions of collateral transformation
  • Correlation to optimisation
  • Key features:
    • Stock-lending
    • Repo transactions
    • Structured deals
  • Understanding potential restrictions
  • Collateral trading and the regulatory view of collateral transformation
  • What are the unintended consequences for putting the repo market between the buy side and CCPs?
  • What is the potential for liquidity risk and rehypothecation?


Margin and collateral optimisation strategies

  • Defining quality collateral and understanding collateral eligibility
  • The challenges of finding high quality collateral in Asia
  • Best practices in collateral optimisation:
    • Identify collateral held in various locations
    • Pooling collateral to meet various exposures,
    • Improve efficiency in collateral allocation
    • Establish networks to facilitate the efficient flow of collateral between counterparties
  • Exploring the tri-party agents offerings for optimization and the limitations
  • Accounting for securities processing costs and limitations, and the impact on the collateral optimization model
  • Collateral optimization models
  • Staging implementation in an evolving regulatory environment
  • Emerging trends in margin and collateral optimisation
  • Case studies


Review and summary of Day 1


End of Day 1

DAY 1 | DAY 2




Portfolio reconciliation, compression and dispute resolution

  • Portfolio reconciliation and Dispute resolution- Operational intricacies covering impacted parties, scope and frequency
  • Required frequencies for portfolio reconciliation
  • Compression- 
  • Benefits and types of compression
  • The emerging trends in the light of Basel III leverage ratio
  • Essential components of an effective portfolio compression mechanism

Variation margin – documentation and implementation

  • Objectives of implementing Variation margin
  • Why do I need to exchange margin?
  • Why are there two types of margin?
  • Putting margin documentation in place
  • The margin requirements
  • Applying the rules to your counterparty
  • Structure of the VM protocol
  • Which methodology works best?
  • VM protocol and bilateral documentation – best practices


Morning Coffee Break


Moving from bilateral to mandatory central clearing

  • Operation of T+1  requirements
  • The implementation phase of substitute compliance
  • Different implementation phase of structured compliance across all jurisdictions
  • Eligible collateral and collateral haircuts
    • Standardised schedule of risk-sensitive haircuts
    • Model approach to risk-sensitive haircuts
  • CCP selection checklist: How do netting, default fund and collateral efficiencies vary with different jurisdictions?
    • The key risk factors to consider
  • Wrong way risk
  • Concentration risk
  • Identifying and filling in infrastructure and operational gaps before connecting a CCP
  • Measuring and managing operational efficiencies when connecting with clearing counterparties
  • Phasing period towards complying with BCBS capital requirements for exposures to CCPs by 2017



Documentation requirements under the new collateral rules

  • The 4 relevant documents
    • Grandfather transactions
    • New transactions
    • IM transactions
    • VM transactions
  • Managing documentation and agreements
  • Negotiation in collateral terms
  • Increasing importance of standardisation
  • Cross-product and cross-affiliate collateral agreements
  • Collateral management reference data documentation and agreements
  • Overview of the margin call process and its documentation requirements





Central Counterparties (CCP) and Clearinghouse Margin Models

  • Differences in Initial Margin Models
  • Impacts of the margin models on portfolios and cost of trade
  • The revised policy framework for the capital treatment of bank exposures to central counterparties
    • Trade exposures
    • QCCP clearing member trade exposures to clients
    • Default fund exposures
    • Treatment of collateral posted for exposures to QCCPs
  • Relationship between CCP margin models and collateral documentation and agreements
  • Unilateral ability to change collateral eligibility rules
  • CCP haircuts
  • Collateralised and uncollateralised derivatives transactions


Cost-benefit analysis of central clearing

  • Assessing the costs of central clearing arising from:
    • Initial margin, variation margin and collateral
    • Pro-cyclicality
    • The prohibition of the use of non-cash collateral
    • Changes in hedging instrument customisation
    • Decision between regulation-imposed costs and the increased basis risk by using standardised swaps
    • The choice between using schedule-based and model-based approach in calculating margins
    • Reporting requirements and other compliance costs
  • Are the costs justified based on the original regulatory intent to incentivise central clearing?
  • Possible future adjustments to the regulations


Summary of workshop


End of Workshop