S7C CCP Clearing, Risk, Recovery and Resolution Training Programme©

This new and unique one or two day training program will provide attendees with a strong understanding of central counterparty (CCP) clearing models and operational frameworks. The program can be specifically tailored to meet a company's training needs by allowing companies to choose a 1 day (4 Modules) or 2 day (8 Modules) training programme covering European Union (EU) or United States (U.S.) CCP frameworks. EU Modules provide 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). U.S. Modules provide in depth instruction on the U.S. CCP regulatory framework governed by the U.S. Securities and Exchange Commission (SEC), the U.S. Commodity and Futures Trading Commission (CFTC) and the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank). The program will also provide deep coverage of margining practices, clearing models and agreements, operational risks, and risk management frameworks affecting CCPs. Attendees may also choose to be guided through the intricacies of effective CCP Recovery and Resolution Plans, and CCP Default Management, Recovery and Continuity Frameworks.

Days 1 to 2

MODULE 1: The Central Counterparty (CCP) Clearing Model (EU)

  • 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.

MODULE 2: The Central Counterparty (CCP) Clearing Model (U.S.)

  • 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: Options Clearing Corporation.

MODULE 3: The CCP Regulatory Framework (EU)

  • 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.

MODULE 4: The CCP Regulatory Framework (U.S.)

  • Differentiating CCPs in the U.S. (Derivatives Clearing Organization (DCO) and (Securities Clearing Agency) (SCA)).
  • The SEC, the CFTC and CCP authorisation, recognition and supervision.
  • CCP operating, clearing and reporting obligations under the Dodd-Frank framework.
  • CCPs and cleared products (swaps, securities-based swaps, mixed swaps).

MODULE 5: CCP Margining Practices

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

MODULE 6: 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 (FIA-ISDA Cleared Derivatives Execution Agreement + Addendum).

MODULE 7: 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).

MODULE 8: CCP Risk Management Frameworks

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

MODULE 9: 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.

MODULE 10: Designing Effective CCP Default Management, Recovery and Continuity Frameworks

  • Critical review of the 2012 CPMI-IOSCO Principles for Financial Market Infrastructure.
  • Critical review of 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.
 

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