Margin and Collateral Workshop, 21-22 March, Sydney

1. Margin and Collateral Training Workshop
21 – 22 March 2019, Sydney
0830 Registration
0900 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.
1000 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
1100 Morning break
1130 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
1230 Initial margin requirements for uncleared derivatives
 Overview on the IM schedule – rules and requirements
 Methodologies for the calculation of initial margin (IM)
o Standardized vs. Internal Models
 Requirements for an IM model
 Bilateral initial margin framework
 Modeling options for cleared and uncleared trades
 Understanding the impacts of IM, bi-lateral IM and MVA on business models
1330 Lunch
1430 Collateral optimisation and transformation strategies
 The primary functions of collateral transformation
 How do firms engage in collateral transformation
o Rehypothecation
o Cash collateral
o Securities lending transactions
 Understanding potential restrictions

2. Margin and Collateral Training Workshop
21 – 22 March 2019, Sydney
 Collateral trading and impact of regulation
o Title transfer agreements & MIFIDII
o Title transfer agreements & impact of Singapore Securities & Futures
Regulations
 Collateral managers & their role in collateral optimization
 Comparison of collateral optimization with and without a collateral manager
 Collateral optimization & securities lending regulatory requirements
 Collateral managers & custody regulation
o Impact of RG133 in Australia
o Impact of Singapore Securities & Futures Regulation
1530  Is there a case for MVA?
 MVA as a future IM interest
 What are the components of MVA
 Initial margin (IM) and its projection to the future
 Complexity of the MVA: Characterize the valuation effects of initial margin
financing (MVA)
 Known approximations to the MVA
 MVA: ISDA SIMM and CCP initial margin
1630  End of Day 1

3. Margin and Collateral Training Workshop
21 – 22 March 2019, Sydney
0830 Registration
0930 VM rules and requirements
 Context of VM and the objectives of implementing VM
 Key jurisdictions in implementing the variation margin rules
 Entities subject to VM requirements
 Trades subject to VM requirements
 Cross border implications
 Other challenges:
o Operational implication
o Impact on CSA documentation
 Posting of variation margins
1045 Morning break
1115 Legal requirements, documentation and repapering of CSA
 Understanding the ISDA English Law Variation Margin CSA
 Key mechanics of the ISDA Credit Support Anex (CSA)
 Operational implications of executing and maintaining multiple CSAs under an
existing ISDA Master Agreement
 Repapering of legal agreements to govern the newly required collateral terms
for VM
o restricted forms of eligible collateral
o regulatory-specified MTAs
o T+1 settlement of collateral
1245 Lunch
1345 ISDA SIMM background and model implementation
 Regulatory requirements on the use of IM models, including ISDA SIMM
 Addressing the regulatory requirements under SIMM
o Sensitivity based approach
o Model sensitivities
o Model parameters
 Monitoring ISDA SIMM
 Incorporating ISDA SIMM into derivative infrastructures
1515 Afternoon break
1530 ISDA SIMM calculation (demonstrations and practical examples)
1630  End of Day 2