OTC DERIVATIVES DOCUMENTATION, NEGOTIATION, RISK AND CLEARING
29th - 30th September 2015
ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc. This conference 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.
Being able to identify all the latest key global regulatory developments affecting over-the-counter (OTC) derivatives documentation is far from easy. This two day intensive intermediate to advanced level course will provide delegates with everything they need to know about the latest global OTC derivatives regulations, including the impact of the EMIR, Dodd-Frank, Basel III, and MiFID II on OTC derivatives documentation. The course will enable delegates to achieve an understanding of all the most relevant documentation issues affecting OTC derivatives, including CCP margin optimisation and risk and collateral analytics. This will also include insights into negotiation and documentation strategies for OTC Master Agreements and Collateral and/or Credit Support Documentation, as well as awareness of how OTC Derivatives Clearing Agreements and ISDA® Protocols function, key negotiated terms, and automating OTC Derivatives Documentation processes.
Day One: Sessions
SESSION 1: Global and EU Regulation: (Basel III, EMIR, and MiFID II)
• EMIR Key Clearing Obligations (FC, NFC+, NFC-, and TC+ entities) and Threshold Calculations, Risk and Reporting Obligations, and EMIR Documentation Initiatives.
• Basel III impact on Counterparty Risk, Qualifying Master Netting Agreements, and Credit Support Documentation.
• MiFID II key Concepts and Obligations, MTF, OTF, and CCP trading and clearing models, commodity derivatives framework.
• Risk Weights for derivatives and OTC transactions, and Qualifying and Non-Qualifying CCPs.
SESSION 2: OTC Derivatives Clearing Agreements
• CCP and Client Clearing Documentation and common negotiated provisions, such as Margin, Termination Events, and
• Review of examples of how Cleared Swap Documentation frameworks operate in practice, including execution agreements and addendums.
SESSION 3: CCP Margin Optimisation, Initial Margin Analytics and CCP Basis Risk Metrics
• Centralised collateral optimization and collateral management decision support systems, and margins calls.
• CCP price, CCP risk valuation tools, and forecasting, validating and optimising CCP margin requirements.
• Calculating, analysing, and optimising OTC Initial Margin for non-cleared trades, and cleared trades across multiple CCPs.
SESSION 4: OTC Derivatives Risk Analytics
• Real-time risk calculation engines to identify consolidated risk exposure across OTC counterparties, contracts and collateral, and OTC asset and model analytics libraries, measures and techniques.
• Increasing the efficiency and timeliness of the OTC derivatives pre-trade negotiation process.
• Automation of Deal Capture, Trade Execution, and Post-Trade Confirmation Valuation and Collateral Exchange.
• Addressing Market Risk through enterprise-wide VaR calculator and stress-testing framework.
Day Two: Workshops
WORKSHOP 1: OTC Derivatives Documentation, Negotiation and ISDA® Protocols
• OTC Master Agreement architecture and key operational provisions.
• Short Form and Long Form Confirmations and Master Confirmation Agreements.
• Events of Default and Termination Events.
• Netting (Settlement, Novation, Close-out).
• Valuation mechanics (Market Quotation, Loss Valuation, Close-out Amount).
• ISDA® Definitions and Protocols
WORKSHOP 2: Credit Support and Collateral Documentation, Management and Analytics
• Collateral guidelines and collateral management practices, guarantees, and re-hypothecation rights and issues.
• Key Collateral Documentation (1994 and 2013 Standard Credit Support Annexes (CSA) (Transfer– English Law) (Security Interest–New York Law) and Swap Collateral Margin Agreement).
• Swaps Margin Rules and Independent Amount Segregation.
• Collateral analytics, optimization and efficiency.
WORKSHOP 3: OTC Derivatives Documentation Processes and Systems
• The Documentation Process Challenges – the Master Agreement and related annexes.
• Document Generation and Assembly Tools
• Achieving Straight Through Processing (STP) in the Confirmations Space.
• Managing the Legal Contract Data Requirements.
• Business Empowerment using Technology (Natural Language Processing, Enterprise Search, Data Extraction and Classification, Business Intelligence Tools and Cloud Computing).
WORKSHOP 4: Collateral, Valuation and Credit Risk
• Credit and Counterparty Risk, Valuation Adjustment and OTC derivatives.
• Collateral Management, Margining Costs, Collateral Delay and Dispute Resolutions.
• New Generation Counterparty and Funding Risk Pricing.
• Close-Out (Risk Free v. Replacement; Netting Rules; Re-Hypothecation).
- Advanced knowledge and understanding of key OTC Master Agreement provisions; negotiating techniques; credit support arrangements; and OTC derivatives central clearing in the EU and the US
- Extensive pre-course questionnaire to identify delegate's key course objectives
- Lenovo 8" Yoga Tablet pre-loaded with course presentations and documentation to take-away
- Comprehensive course documentation
- Post-course trainer follow-up to guarantee all key course objectives have been met
Course Suitable For
- Collateral Management Function
- Compliance Officers and Managers
- Credit and Legal Professionals
- Fund Managers
- In-House Legal Counsel
- ISDA Negotiators
- OTC Derivatives Documentation Managers
- OTC Derivatives End-Users
- Risk Officers and Managers
- Treasury Function