workshop 2020-Managing Collateral

workshop 2020-Managing Collateral

Managing Collateral and Margining Rules Workshop | November 2-4

09:00 – 10:00

Framework on Margin Requirements for Non-Centrally Cleared Derivatives

09:00 - 10:00

  • 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

10:15 – 11:15

Global regulatory landscape of IM

10:15 - 11:15

  • 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

11:30 – 12:30

Initial margin requirements for uncleared derivatives

11:30 - 12:30

  • 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

09:00 – 10:00

Preparing for the final stages of initial margin phase-in

09:00 - 10:00

  • 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

10:15 – 11:15

Initial margin and CCP margin buffers

10:15 - 11:15

  • Understanding initial margin models
  • What are the common clearing risks in OTC derivatives?
  • Explaining the margining process
  • Regulatory minimums for initial margin requirements
  • Methods to prevent procyclicality

11:30 – 12:30

Collateral Management and Optimisation

11:30 - 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

09:00 – 10:00

CCP resolution frameworks

09:00 - 10:00

  • Differences in regulation for banks/clearing houses
  • How the resolution frameworks are set up and operate
  • Assessing CCP financial resources
  • How to treat CCP equity in resolution
  • Clearing as a systemic risk

10:15 – 11:15

Uncleared margin rules

10:15 - 11:15

  • Understanding initial margin models – SIMM vs grid
  • The impact on traditional trading models and implications to best execution
  • The transition to regulatory compliance
  • Liquidity risk and initial margin threshold
  • Bilateral vs cleared