Collateral Management Best Practices

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Recommended that you register at least two weeks in advance.

Course Features

  • Course date:10/15/2019
  • Course Duration: 1 Day
  • Level: Advanced
  • Prerequisites: None
  • Method: Live & Virtual
  • Venue: MicroTek
  • Time: 9:00 am – 5:00 pm
  • Dress Code: Business Casual
  • Category:
  • Certificate: Yes
  • CPE Credits: 7
  • Course Code: 210

Collateral Management Best Practices

This one-day program examines industry-accepted Collateral Management Best Practices as a follow-up to the Collateral Management Fundamentals program. The scope of these best practices includes collateral for repo and securities lending transactions, cleared and uncleared derivatives and other products, and TBA’s.   In response to the 2008 global financial crisis, regulatory mandates in the OTC derivatives markets have required participants to implement changes to the way that uncleared derivative contracts are margined. In this class, participants will gain a solid understanding of the general structure and foundations of Initial Margin and Variation Margin for Uncleared Derivatives.  Learning outcomes for participants include the ability to understand advanced critical concepts for collateral management such as how collateral legal agreements are negotiated and structured, marking-to-market and best practices for position valuations, calculation of credit risk, initial and variation margin calculations, determining collateral eligibility and profiles, concept of cheapest-to-deliver, collateral eligibility and selection criteria.  Recent trends on the part of industry organizations to facilitate these changes will be discussed.

Learning Objectives:

  • Compare best practices for collateral management supporting repo and securities lending businesses as well as TBA trading
  • Discuss the background and basics of the IM and VM for Uncleared Derivatives
  • Explain the industry’s need for a standard quantitative model for initial margin
  • Analyze differences within regulatory jurisdictions
  • Recognize the components of the Account Control Agreement and segregation requirements
  • Describe ISDA’s SIMM and how it is used
  • Compare and contrast Proprietary and Standardized Initial Margin Models
  • Define the approaches to reconciling IM differences and how disputes are resolved
  • Relate VM requirements to US and International Working Group on Margin Requirements (WGMR) frameworks
  • Identify eligible collateral and valuation percentages
  • Recognize the components of the Account Control Agreement and segregation requirements
  • Explore Operational and Technology requirements to support best practices for collateral management

 

Session 1 : Solutions for Document Drafting, Maintenance, Management, and Updates

  • Impact on Collateral Management of ICMA’s Global Master Repurchase Agreement (GMRA) and ISLA’s Global Securities Lending Agreements (GMSLA) on data capture and storage
  • Intricacies of Credit Support Annex (CSA) documentation with the ISDA framework
  • Technology solutions to manage multiple master agreements for collateral
  • Best practices for input and maintenance of data from these documents as reference data for collateral optimization purposes

 

Session 2: Background to Initial Margin and Variation Margin Regulatory changes

  • Summarize impact on the clearing and settlement of OTC Derivatives of regulatory changes in the U.S., European, and Asian markets, including Dodd-Frank, EMIR, MiFID, and UMR
  • Differentiate between cleared and uncleared derivatives
  • Identify the roles and responsibilities of Swap Dealers, Investment Managers, Eligible Contract Participants (ECPs), Financial and non-Financial end users
  • Understand the market structure for OTC derivatives
  • Relate IM and VM requirements to US and International Working Group on Margin Requirements (WGMR) frameworks

 

Session 3: Initial Margin (IM) for Uncleared Derivatives

  • Review the IM framework – rules and requirements
  • Analyze methodologies for the calculation of initial margin
  • Compare and contrast Standardized vs. Proprietary Internal IM models
  • Explain the SIMM ISDA approach
  • Explore key factors for the implementation of SIMM for non-cleared IM rules
  • Understand how to ensure accurate data for SIMM
  • Identify eligible collateral and valuation percentages
  • Recognize the components of the Account Control Agreement and segregation requirements
  • Define the approaches to reconciling IM differences and dispute resolutions
  • Review Portfolio Compression, Netting, and Portfolio Reconciliations

 

Session 4: Variation Margin (VM) for Uncleared Derivatives

  • Understand the context and objectives of VM implementation
  • Relate VM requirements to US and International Working Group on Margin Requirements (WGMR) frameworks
  • Understand how VM collateral requirements are determined Review impact of legal entities subject to VM requirements
  • Ring fence trades subject to VM requirements

 

Session 5: Review of Third-Party Vendor Solutions to implement Collateral Management Best Practices

  • Software Solutions and integrated application packages
  • Solutions offered by global custodians and prime brokers
  • Cost/Benefits of Out-sourcing arrangements and results

Instructor

  • Charlotte is a broadly accomplished financial services executive with over 25 years of comprehensive experience in delivering innovative and cost-effective operations and technology training solutions for equities, derivatives and fixed income product lines.  Her successful career as a senior-level manager in Operations at Credit Suisse, Paine Webber and Bankers Trust furnishes the industry expertise that …
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