CCP Clearing, Risk Management, Recovery and Resolution (EU)

 

“The rise in the CCP clearing model in the EU has precipitated an urgent need for market participants to comprehensively understand the complexities of CCP regulatory and risk frameworks, margining practices, clearing agreements, and recovery and resolution plans.”

Conference Programme

This new and unique two day conference will provide delegates with a comprehensive understanding of central counterparty (CCP) clearing models and operational frameworks in the European Union (EU). Delegates will receive in depth instruction on the EU CCP regulatory framework governed by the European Securities and Markets Authority (ESMA) and the European Market Infrastructure Regulation (EMIR). Delegates will be able to practically compare a range of key issues affecting CCP offerings in the EU. The course will also provide deep coverage of margining practices, clearing models and agreements, operational risks, and risk management frameworks affecting CCPs. Finally, delegates will be guided through the intricacies of effective CCP Recovery and Resolution Plans, and CCP Default Management, Recovery and Continuity Frameworks.

Day 1

SESSION 1: The Central Counterparty (CCP) Clearing Model

  • An Overview of the CCP Clearing Model (Functional Definition; CCP Ownership; CCP Advantages and Disadvantages; Novation; Cleared Products; Margining; Multilateral Netting; Risk and Default; Loss Mutualisation; Auctions; Portability).
  • CCP Regulation v. 'Too Big To Fail'.
  • Case Study: LCH.Clearnet Swapclear‎.

SESSION 2: The EU CCP Regulatory Framework

  • ESMA and CCP authorisation, recognition and supervision in the EU.
  • CCP operating, clearing and reporting obligations under the EMIR framework.
  • CCP Cleared Products, Reporting, Interoperability, Third Country CCPs.
  • Basel III capital treatment/risk weightings for Qualifying and Non-Qualifying CCPs.

SESSION 3: CCP Clearing Models and Agreements (Direct and Indirect)

  • CCP and Client Clearing Documentation and common negotiated provisions (Margin, Termination Events, Pre-Default Porting).
  • Customer clearing under modified Master Agreements.
  • An Overview of ISDA® Clearing Agreements and Addendums (EU ISDA/FIA Cleared Derivatives Execution Agreement + Addendum).

SESSION 4: Designing Effective CCP Default Management, Recovery and Continuity Frameworks

  • The 2012 CPMI-IOSCO Principles for Financial Market Infrastructure.
  • The ISDA® Principles for CCP Recovery and CCP Default Management, Recovery and Continuity.
  • Developing new Total Loss Absorbing Capacity (TLAC) or bail-inable debt standards for CCPs.
  • Developing Standardised Regulatory Stress Testing and Disclosure.

 

Day 2

WORKSHOP 1: CCP Operational Risks

  • Default risks:
    CCP Member default, Distress, or Resignations; Failed Auctions, Reputational.
  • Non-default loss events:
    Fraud, Operational risk, Investment Risk, Legal risk, Model risk, Liquidity risk.

WORKSHOP 2: CCP Risk Management Frameworks

  • Membership Requirements, Transparency, Margin Methodology, Stress Testing, Risk Policy Issues, MiFID II Open Access.
  • Mutualised Default Funds, Default Waterfall, Default Fund Margin, Skin in the Game, and Rights of Assessment.
  • Recovery Tools (Default and Non-Default Losses).

WORKSHOP 3: CCP Margining Practices

  • CCP Margining Risks, Initial and Variation Margin, Interest Rates, Haircuts and Cross-Margining.
  • CCP Margin Methodologies.
  • Margin Segregation (omnibus, individual, legal segregation with operational commingling (LSOC)) and Re-hypothecation.
  • EU two-day net margin v. U.S. one-day gross margin.

WORKSHOP 4: CCP Recovery and Resolutions Plans

  • Resilience Incentives, Initial and Variation Margin Haircuts.
  • CCP Points of Non-Viability, Emergency Liquidity Arrangements, Auction Participation, Continuity of Service.
  • CCP Resolution Powers, Loss Allocation Arrangements, and CCP Default Management Process.
  • Cross-Border Cooperation and Coordination with Regulatory Authorities.

 

“Presented by Jon Gregory, Senior Advisor at Solum Financial Derivatives Advisory and author of “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives” ”
“Presented by Matthew Glass, Vice President EMEA Regulatory Submissions, JP Morgan Asset Management and ex Head of Operations, Technology and Client Service at CME Group, CME Clearing Europe ”
“Presented by Sol Steinberg, ex Vice President at LCH.Clearnet and the Founder of OTC Partners, a boutique value add firm that specialises in research, content, and business development, and the recipient of FTF’s award for “Most cutting edge risk contribution 2013” for developing the SMART risk analytics tool”
“Presented by Bipin Patel, Expert Consultant at Quantworks Limited, and ex Head of Business Risk, SwapClear – Listed Rates, Head of Business Risk, Exchanges, and Senior Manager, Member Capital Analytics and Quantitative Risk ForexClear at LCH.Clearnet (2012-2015). ”
“Presented by Rodrigo Zepeda the Co-Founder of Storm-7 Consulting and the author of “The ISDA Master Agreement 2012: A Missed Opportunity?” and “Optimizing Risk Allocation for CCPs under the European Market Infrastructure Regulation””

Key Benefits

  • Advanced knowledge and understanding of key CCP operational areas (EU regulatory framework, clearing models, agreements, margining practices, operational risks, recovery and resolution plans)
     
  • Extensive pre-conference questionnaire to identify delegate's key course objectives
     
  • Lenovo 8" Yoga Tablet pre-loaded with conference presentations and documentation to take-away
     
  • Comprehensive conference documentation
     
  • Post-conference expert trainer follow-up to guarantee all key course objectives have been met

Course Suitable For

  • Analysts
  • Central Bank Personnel
  • Collateral Management Function
  • Compliance Officers and Managers
  • Credit and Legal Professionals
  • Dealers
  • Fund Managers
  • Heads of Compliance
  • Heads of Operations
  • Heads of Risk
  • In-House Legal Counsel
  • ISDA Negotiators
  • OTC Derivatives Documentation Managers
  • OTC Derivatives End-Users
  • Risk Officers and Managers
  • Treasury Function

Disclaimer

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc., and Storm-7 Consulting Limited is neither sponsored by nor affiliated with the International Swaps and Derivatives Association, Inc. (ISDA), and the public is hereby informed that Storm-7 Consulting Limited holds no commercial, private, or other relationship with ISDA.