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S7C OTC Derivatives Documentation, Negotiation and Clearing Training Programme©

This intensive one or two day intermediate to advanced level program will provide attendees with all the latest key global regulatory developments affecting over-the-counter (OTC) derivatives documentation. The training program can be specifically tailored to meet a company's training needs by allowing companies to choose from a range of 10 Modules covering European Union (EU), United States (U.S.) and global regulatory frameworks. A company can opt for a 1 day (4 Modules) or a 2 day (8 Modules) training programme. This includes the Third Basel Accord (Basel III), the European Market Infrastructure Regulation (EMIR), the revised Markets in Financial Instruments Directive (MiFID II), and the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank). The program will enable attendees to achieve an understanding of all the most relevant documentation issues affecting OTC derivatives at an intermediate or advanced level. This will include insights into negotiation and documentation strategies for OTC Master Agreements and Collateral and Credit Support Documentation, as well as awareness of how OTC Derivatives Clearing Agreements and ISDA® Protocols function, and key negotiated terms.

Days 1 to 2

MODULE 1: The EMIR Regulatory Framework in the EU

  • EMIR Key Clearing Obligations (FC, NFC+, NFC-, and TC+ entities) and Threshold Calculations.
  • Reporting, Risk Mitigation, and Dispute Resolution Obligations.
  • EMIR Documentation Initiatives, i.e. EMIR Protocols, Counterparty Classification Tool, Timely Confirmations Standard Wording.

MODULE 2: The Dodd-Frank Regulatory Framework in the U.S.

  • Overview of the application of Dodd-Frank to derivatives practices.
  • Regulated swap execution (Swap Execution Facility (SEF)).
  • Designated Contract Market (DCM) and clearing (Derivatives Clearing Organization (DCO), Securities Clearing Agency (SCA)).
  • Clearing and reporting obligations, exemptions, and uncleared swaps documentation.
  • Dodd-Frank Documentation Initiatives, i.e. Disclosure Statements and Annexes, Top Up Agreement, Representation and Safe Harbour Letters.

MODULE 3: The Impact of MiFID II and Basel III on OTC Derivatives

  • The Impact of MiFID II on OTC trading frameworks.
  • Authorised derivatives trading on a Multilateral Trading Facility (MTF) or Organised Trading Facility (OTF), Universal CCP model and the new commodity derivatives framework.
  • Key MiFID II and Third Country Firm Concepts and Obligations.
  • Risk Weights for derivatives and OTC transactions, and Qualifying and Non-Qualifying CCPs.
  • The Impact of Basel III on Counterparty Risk, Qualifying Master Netting Agreements, and key amendments to Credit Support Documents.

MODULE 4: A Global Regulatory Snapshot (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.

MODULE 5: OTC Derivatives Documentation and Negotiation - INTERMEDIATE

  • OTC Master Agreement architecture and key provisions.
  • Short Form and Long Form Confirmations and Master Confirmation Agreements.
  • Cross Default, Threshold Amounts, Events of Default and Termination Events.
  • Netting of Payments (Settlement, Novation, Close-out).
  • Valuation mechanics (Market Quotation, Loss Valuation, Close-out Amount).
  • ISDA® Definitions and Protocols.

MODULE 6: OTC Derivatives Documentation and Negotiation - ADVANCED

  • Negotiating and Documenting key 1992 and 2002 ISDA Master Agreement provisions, including:
  1. Terminations Events, Illegality and Force Majeure;
  2. Additional Termination Events (Change of Control, Impossibility, Ratings Agency downgrade, Subsequent Rating Events, NAV Threshold);
  3. Automatic Early Termination (Insolvency Events and Regimes);
  4. Disapplication of Certain Events of Default and Termination Events;
  5. Netting of Payments (Settlement, Novation, Close-out) and Valuation mechanics (Market Quotation, Loss Valuation, Close-out Amount); and
  6. CCP (EMIR, Dodd-Frank) specific amendments.

MODULE 7: Credit Support and Collateral Documentation – INTERMEDIATE

  • Collateral guidelines and collateral management practices, guarantees, and re-hypothecation rights and issues.
  • Overview of Key Collateral Documentation frameworks and clauses (1994 and 2013 Standard Credit Support Annexes (CSA) (Transfer– English Law) (Security Interest–New York Law) and Swap Collateral Margin Agreement).
  • Margin Rules and Independent Amount Segregation.
  • Case Study: Example calculations and negotiating points.

MODULE 8: Credit Support and Collateral Documentation - ADVANCED

  • Guarantees, Proprietary Security Interests, Re-hypothecation risk and rights, Credit Support Documents and Credit Support Providers.
  • Counterparty credit risk v. liquidity risk.
  • Negotiating and Documenting key Credit Support Annex (CSA) provisions, including:
  1. Laddered Thresholds, Minimum Transfer Amounts, Independent Amounts;
  2. Valuation (Agent, Collateral, Date, Time,
  3. Time (Notification, Resolution, Transfer, Valuation); and
  4. Dispute Resolution mechanisms (Exposure valuation methodologies and third party valuation determinations).
  • Cleared OTC derivatives margin segregation (omnibus, individual, LSOC).
  • Margin rules for non-cleared swaps and Independent Amount Segregation.

MODULE 9: ISDA® Protocols

  • In depth discussion of the provisions and effects of any one of a range of Protocols:
  1. 2014 ISDA® Resolution Stay Protocol;
  2. 2013 EMIR Port Rec, Dispute Res and Disclosure Protocol and Reporting Protocol and 2013 EMIR NFC Representation Protocol
  3. August 2012 DF and March 2013 DF Protocols.
  4. Close-out Amount Protocol; and
  5. Illegality/Force Majeure Protocol.

MODULE 10: OTC Derivatives Clearing Agreements

  • CCP and Client Clearing Documentation and common negotiated provisions (Margin, Termination Events, Pre-Default Porting).
  • Review of examples of how Cleared Swap Documentation frameworks operate in practice, including standard form execution agreements and addendums and customer clearing under modified Master Agreements.


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