arc-17-workshop-m-c-management1439x300-v1

27-28 September 2017, Singapore

DAY 1 | DAY 2

DAY ONE -- 27 September 2017

08:30

Registration

09:00

Introduction

  • 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

09:30

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

10:30

Morning Coffee Break

11:00

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

  • Context of IM and VM
    • Objectives of IM and VM
    • IM and VM definitions
    • Implementation schedules
  • Zoom in on IM
    • Methodologies for calculating IM
    • Standardized Approach
    • ISDA SIMM
    • IM aggregation
  • Other Challenges:
    • Operational Implication
    • Backtesting of IM
    • Regulatory Approval
    • What's next? 

YUAN Xiaoli Milly, Risk Management Solution Expert, MUREX

12:00

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

13:00

Lunch

14:00

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?

Dr Frederick Shen, Head Global Treasury Business Management Unit , OCBC

15:00

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

Dr Frederick Shen, Head Global Treasury Business Management Unit , OCBC

16:00

Review and summary of Day 1

16:30

End of Day 1

DAY 1 | DAY 2

DAY TWO - 28 September 2017

08:30

Registration

09:00

Regulatory reform of OTC derivatives

  • Basel capital reforms and its impact on derivatives trading
  • Impact of non-risk based measures on derivatives trading i.e., leverage ratio, NSFR etc.
  • Cost of dealing with FX swaps on a bi-lateral basis and through a CCP covering margin costs and capital charges with an illustrative example

Kishore Kumar Ramakrishnan, Risk Services Industry Expert (Formerly Director, Risk Services & Consulting, PWC)

10:00

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

John Ho, Head, Financial Markets, Legal, STANDARD CHARTERED BANK

11:00

Morning Coffee Break

11:30

Margin requirements and its implications to the financial sector

  • Collateral / Margin negotiation checklist
  • Collateral optimisation building blocks
  • Operational implications of margin reforms, centralised architecture key considerations
  • Scope and scale: who is affected and when?
  • Collateral management: An organization-wide pursuit

Kishore Kumar Ramakrishnan, Risk Services Industry Expert (Formerly Director, Risk Services & Consulting, PWC)

13:00

Lunch

14:00

Documentation requirements under the new collateral rules

  • The 4 relevant documents
    • Grandfather transactions
    • New transactions
    • IM transactions
    • VM transactions
  • ISDA/CSA, GMRA, GSLA etc.
  • 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

John Ho, Head, Financial Markets, Legal, STANDARD CHARTERED BANK

15:00

Central clearing and collateral demand

  • Collateral management - operating model building blocks
  • Key considerations for model approval - practical implementation considerations for model approval
  • Central clearing models - principal and agency model overview
  • Clearing broker onboarding criteria / operational considerations

Kishore Kumar Ramakrishnan, Risk Services Industry Expert (Formerly Director, Risk Services & Consulting, PWC)

16:30

Summary of workshop

17:00

End of Workshop