Workshop - Margin Reform PhaseV : IM

Workshop - Margin Reform PhaseV : IM

Margin Reform PhaseV : IM

Oct 15-16, Bangkok

Day 1 - Oct 15, 2020

08:45

Registration

09:00

Framework on Margin Requirements for Non-Centrally Cleared Derivatives

  • 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

10:30

Morning break

11:00

Global regulatory landscape of IM

  • 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

12:30

Lunch

13:30

Initial margin requirements for uncleared derivatives

  • 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

15:00

Afternoon break

15:30

Key Challenges for UMR compliance

  • On boarding challenges
  • Self-Disclosure; who is in the scope?
  • Rule Selection; which rule applies and how to break down and allocate them to different functions
  • Getting the models approved
  • Operational challenges over settlement timing
  • Legal documentation & custodian
  • Cross border implications
  • Other challenges:
    • Operational implication
  • Impact on CSA documentation

17:00

End of Day 1

Day 2 - Oct 16, 2020

08:45

Registration

09:00

Preparing for the final stages of initial margin phase-in

  • 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

10:30

Morning break

11:00

Collateral Management and Optimisation

  • 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
12:30

Lunch

13:30

ISDA SIMM background and model implementation

  • ISDA SIMM outline and approach
  • Regulatory requirements on the use of IM models, including ISDA SIMM
  • Addressing the regulatory requirements under SIMM
    • Sensitivity based approach
    • Model sensitivities
    • Model parameters
  • Monitoring ISDA SIMM
  • Incorporating ISDA SIMM into derivative infrastructures
  • Challenges in implementing SIMMDefinitions of the trading book under FRTB
15:00

Afternoon break

15:30

ISDA SIMM calculation

  • Practical Examples
  • Case Study
17:00

End of Day 2