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2ND APRIL 2019

24TH MAY 2019


European Margin Rules for Non-Cleared OTC Derivatives, the ISDA SIMM 2.1, and Negotiating and Documenting ISDA 2018 Credit Support Annexes and Credit Support Deeds for Initial Margin



The global Uncleared Margin Rules (UMR) for non-centrally cleared over-the-counter (OTC) derivatives represent one of the biggest challenges to banks and financial services firms around the world. In place since 2016, the first five phases have affected only the world's largest firms dealing in OTC derivatives. However, it is the next two phases, Phase 4 scheduled to go live in September 2019 and Phase 5 scheduled to go live in September 2020 that will usher in the most challenging frameworks for Newly In-Scope Counterparties (NISCs) across the European Union (EU). As the frameworks are based on Aggregate Average Notional Amount (AANA) of non-centrally cleared OTC derivatives, firms are required to prepare AANA estimates well in advance of these deadlines and must put in place a plethora of compliance frameworks. These include negotiating and documenting a host of Initial Margin (IM) Credit Support Annexes (CSAs) and Credit Support Deeds (CSDs), as well as negotiating Third-Party Custodian agreements and Collateral Transfer Agreements (CTAs).


This highly comprehensive and unique one day training course has been specifically designed to train attendees in all relevant aspects of the global UMR as applicable within the EU. The training course will guide attendees through all the relevant requirements for IM requirements under the European Market Infrastructure Regulation (EMIR) and Commission Delegated Regulation (EU) 2016/2251 (Delegated Regulation). The training course will also cover operational requirements relating to how to calculate IM, either through implementation of the Table-Based Methodology or the Standard Initial Margin Method (SIMM), and the practical advantages and disadvantages of both. Attendees will also be guided through key aspects of negotiating and documenting IM CSAs, CSDs, and CTAs, as well as negotiating and executing a range of Third-Party Custodian agreements. In addition, attendees will also be instructed on the ISDA SIMM™ operational framework as well as key SIMM Tool requirements.


Day 1


SESSION 1: The Global UMR Framework and EMIR Margin Rules Framework

·       Aggregate Average Notional Amount (AANA) of Non-Centrally Cleared derivatives; IM Timeline and Thresholds (2017, EUR3 Trillion; EUR 2.25 Trillion; 2018, EUR 1.5 Trillion; 2019, EUR 0.75 Trillion; 2020 Intragroup Transactions; EUR 8 Billion).

·       Entities trading In-Scope Products; NISCs; Global UMR Rule Sets; AANA Observation Windows; AANA Advanced Estimations (1 Year).

·       IM Requirements under EMIR and the Delegated Regulation (EMIR Margin Rules) (IM Definition; Requirements for Collateral Agreements; Phase-In Thresholds; Calculation Methodologies; Collateral Eligibility and Concentration Limits); IM Requirements Exemptions.


SESSION 2: Grid Methodology, Standard Initial Margin Method, SIMM Tools, Third-Party Custodians

·       Calculation of IM (Table-Based Methodology (Grid Methodology); Standard Initial Margin Method (SIMM); or both); Cost-Benefit Analysis of Grid Methodology and SIMM.

·       SIMM Tool Output Calculations; Explaining SIMM Tool Risk Factor Changes; SIMM Tool Minimum Requirements; SIMM Tool Excel Solutions; SIMM Tool Application Programming Interfaces (APIs).

·       Third-Party Custodians; Negotiation and Execution of Custodial Agreements; Eligible Collateral Schedules; Bilateral Custody Agreement; Custodian Account Control Agreements; Pledge Agreements; Segregated Accounts; Governing Law.


SESSION 3: Negotiating and Documenting IM Credit Support Annexes, Credit Support Deeds, and Collateral Transfer Agreements

·       EMIR Margin Rules Collateral Requirements (Levels and Types of Collateral; Default Events; Terminations Events; Netting Sets; Margin Call Procedures; Segregation Arrangements; Calculation of Margin; Valuation of Collateral; Margin Call Settlement; Governing Law).

·       Review of The English Law ISDA 2018 Credit Support Deed for IM (2018 IM CSD); Margin Approaches (Distinct Margin Flow (IM); Allocated Margin Flow (IM/IA); Greater of Margin Flow (IM/IA)); Margin Amount (IM); ISDA SIMM™ Method; SIMM Exception Method; Security Interest; Chargor Access Notice; Chargor Rights Events; Collateral Transfers; Defaults and Enforcement.

·       Negotiation of IM Terms (Eligible Collateral, Collateral Transfer Timings; SIMM v. Grid Coverage for risks; Pledge Account); Negotiation of Collateral Transfer Agreements (CTAs).


SESSION 4: The ISDA SIMM Operational Framework

·       SIMM Risk Classes; Risk Class Margins; Product Classes; Vega Risk; Curvature Risk; Definition of the Risk Factors; Definition of Sensitivity (Delta Margin Calculation; Vega and Curvature Calculation); Risk Weights; Correlations; Concentration Thresholds.

·       Candidate Model Key SIMM 2.1 Criteria (Ease of Application; Extensible; Governance; Margin Appropriateness; Non-Procyclical; Predictability; Reasonable Costs; Quick to Calculate; Transparency); Evidence of Proper Implementation; Margin Monitoring.

·       Portfolio Matching and Reconciliation using ArcadiaSoft IM Exposure Manager (IMEM) (Capture Inputs; Calculate Margin; Reconcile Inputs; Resolve Differences; Generate Margin Calls); Agreement Manager; Sensitivities Calculation; IM Benchmarking and Backtesting.



Key Benefits

· Highly comprehensive training for attendees covering all relevant aspects of the legal and operational frameworks governing the EMIR Margin Rules.

· In depth analysis of the advantages and disadvantages of choosing either the Table-Based Methodology or the SIMM to calculate IM internally.

· Highly beneficial guidance provided on negotiating and documenting IM CSAs, CSDs, and CTAs, as well as Third-Party Custodian agreements.

· Analysis of the ISDA SIMM 2.1 operational framework and how this framework can be applied internally within firms, as well as guidance on key SIMM Tool minimum requirements.

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”


Rodrigo Zepeda is Co-Founder and Managing Director of Storm-7 Consulting. He is an expert consultant who specialises in derivatives and banking and financial services law, regulation, and compliance. He is an expert in a very broad range of regulatory compliance frameworks such as FATCA, the OECD CRS, MiFID II, MAD 2 MAR, PSD2, CRD IV, Solvency II, OTC Derivatives, CCP Clearing, PRIIPs, BRRD, AML4, and the GDPR. He holds a LLB degree, a LLM Masters degree in International and Comparative Business Law, and has passed the New York Bar Examination. He was an Associate (ACSI) of the Chartered Institute for Securities & Investment from 2004 to 2014 and is now a Chartered Member (MCSI). He has created and delivered numerous conferences and training courses around the world such as 'FATCA for Latin American Firms' (Santo Domingo, Dominican Republic, Panama City, Panama), 'MiFID II: Regulatory, Risk, and Compliance (London), and 'Market Abuse: Operational Compliance' (London), 'AEOI (FATCA & CRS)' (Manama, Bahrain). He has also delivered numerous In-House Training Courses around the world to major international financial institutions such as The Abu Dhabi Investment Authority (MiFID II: Operational Compliance, Abu Dhabi, the United Arab Emirates), the United Nations Principles of Responsible Investment (MiFID II: Final Review, London), CAF, the Development Bank of Latin America (Swaps and Over-the-counter Derivatives, Lima, Peru), Rothschild Investment Management (UK) Limited (AEOI (FATCA & CRS), London) and Bethmann Bank AG (MAD 2 MAR, Frankfurt). He is a Reviewer for the Journal of Financial Regulation and Compliance and has also published widely in leading industry journals such as the Capco Institute's Journal of Financial Transformation, the Journal of International Banking Law and Regulation, as well as e-books on derivatives law. Noted publications include "Optimizing Risk Allocation for CCPs under the European Market Infrastructure Regulation"; "The ISDA Master Agreement 2012: A Missed Opportunity"; "The ISDA Master Agreement: The Derivatives Risk Management Tool of the 21st Century?"; "To EU, or not to EU: that is the AIFMD question"; and "The Industrialization Blueprint: Re-Engineering the Future of Banking and Financial Services?".





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.