CCP CLEARING, RISK MANAGEMENT, RECOVERY AND RESOLUTION (EU)
27TH-28TH SEPTEMBER 2018, FRANKFURT
27TH-28TH NOVEMBER 2018, FRANKFURT
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.
SESSION 1: CENTRAL COUNTERPARTIES AND THE EU CCP REGULATORY FRAMEWORK
• An Overview of the CCP Clearing Model (Definition, Ownership, Advantages, Disadvantages, Novation, Cleared Products, Margining, Multilateral Netting).
• ESMA and CCP Authorisation, Recognition, Supervision, and CCP Operational, Clearing and Reporting Obligations under the EMIR Framework.
• CCP Cleared Products, Reporting, Interoperability, Third Country CCPs, Basel III Capital Risk Weightings for Qualifying and Non-Qualifying CCPs.
• CCP Regulation v. ‘Too Big to Fail’ Debates.
SESSION 2: CCP OPERATIONAL RISKS AND RISK MANAGEMENT FRAMEWORKS
• Default Risks (Member Default, Distress, Resignations, Failed Auctions, Reputational).
• Non-Default Risks (Fraud and Cyber, Operational, Investment, Legal, Model, Liquidity).
• Membership Requirements, Transparency, Margin Methodology, Stress Testing).
• Recovery Tools, Mutualised Default Funds, Default Waterfall, Default Fund Margin, Skin-in-the-game (SITG), Assessment Rights, Tear-Ups (Voluntary, Partial, Full).
SESSION 3: CCP MARGINING PRACTICES
• CCP Margining Risks, Initial and Variation Margin, Interest Rates, Haircuts, Cross-Margining Practices.
• CCP Margin Methodologies, Calculating Margin Period of Risk (MPOR).
• Margin Segregation Practices (Omnibus, Individual, Legal Segregation with Operational Commingling (LSOC) and Re-hypothecation).
• EU Two-day Net Margin v. US One-day Gross Margin Debates.
SESSION 4: CCP CLEARING AGREEMENTS
(DIRECT AND INDIRECT)
• CCP and Client Clearing Documentation and Common Negotiated Provisions (Margin, Termination Events, Pre-Default Porting, Additional Provisions).
• Customer Clearing under Modified Master Agreements.
• An Overview of ISD Clearing Agreements and Addendums (EU ISDA/FOA Cleared Derivatives Execution Agreement and Addendum).
SESSION 5: CCP INTEROPERABILITY ARRANGEMENTS
• EMIR Interoperability Arrangements (Risk Management, Provision of Margin Among CCPs, Approval of Interoperability Arrangements).
• CPMI-IOSCO (2012) Principles for Financial Market Infrastructures (PFMIs) Interoperability Types, CCP Interoperability Key Considerations and Risks.
• ESMA Guidelines and Recommendations on Interoperability Arrangements (2013), ESMA Final Report possible systemic risk and cost implications of interoperability arrangements (2016), Bank of England Interoperability Implementation (2014).
• Costs, Benefits, Risks, Challenges of Interoperability Arrangements, and Practical Case Studies.
SESSION 6: DESIGNING EFFECTIVE CCP DEFAULT MANAGEMENT, RECOVERY AND CONTINUITY FRAMEWORKS
• 2012 CPMI-IOSCO Principles for Financial Market Infrastructure, 2014 CPMI-IOSCO Recovery of Financial Market Infrastructures, 2017 CPMI-IOSCO Resilience of central counterparties.
• The ISDA CCP Default Management, Recovery and Continuity Framework.
• Developing new Total Loss Absorbing Capacity (TLAC) or Bail-inable Debt Standards for CCPs.
• Developing Standardised Regulatory Stress Testing and Disclosure Frameworks.
SESSION 7: CCP RECOVERY AND RESOLUTION PLANS
• Resilience Incentives, Initial and Variation Margin Haircuts.
• CCP Points of Non-Viability, Emergency Liquidity Arrangements, Continuity of Services, Auction Design.
• CCP Resolution Powers, Loss Allocation Arrangements, and CCP Default Management Process.
• Implementing Effective Cross-Border Cooperation and Coordination with Regulatory Authorities.
SESSION 8: THE CCP RECOVERY AND RESOLUTION REGULATION
• European Systemic Risk Board (ESRB) Opinion on a central counterparty recovery and resolution framework (July 2017).
• ESMA Resolution Committee, Resolution Authorities, Resolution Colleges, European Supervisory Authorities and Cooperation Agreements, Decision Making, Information Exchange.
• Recovery Planning (Recovery Plans, Assessment of Recovery Plans, Coordination Procedure), Resolution Planning (Plans, Coordination Procedure, Resolution Objectives, Tools, Powers).
• Resolvability (Assessment of Resolvability, Addressing or Removing Impediments to Resolvability), Early Intervention Measures (Removal of Senior Management and Board).
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.
Comprehensive conference documentation.
Post-conference expert trainer follow-up to guarantee all key course objectives have been met.
Course Suitable For
Central Bank Personnel
Collateral Management Function
Compliance Officers and Managers
Credit and Legal Professionals
Heads of Compliance
Heads of Operations
Heads of Risk
In-House Legal Counsel
OTC Derivatives Documentation Managers
OTC Derivatives End-Users
Risk Officers and Managers
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.