“OTC derivatives counterparties simply cannot afford to miss this vital course which explains and simplifies all facets of the new 2016 Variation Margin documentation framework.”


The Training Course


The ISDA® 2016 Variation Margin (VM) Protocol sets out a new and highly complex documentation framework governing regulatory requirements for non-cleared over-the-counter (OTC) derivatives across multiple regulatory systems (e.g. United States (US), Canada, European Union (EU). New regulatory requirements set out new minimum mandatory variation margin requirements (e.g. marked-to-market, eligibility, thresholds, haircuts) that are required to be implemented by non-cleared OTC derivatives counterparties. However, the new VM Protocol and VM Credit Support Annex (VM CSA) also introduce a bewildering array of different compliance methodologies (i.e. Amend Method, Replicate and Amend Method, New Method, CSA Amendments, New CSA) and new provisions. This training course aims to provide attendees with comprehensive knowledge and understanding of how the new framework operates, what are the different compliance methodologies that can be invoked, and what key provisions should be negotiated and documented under the new VM CSA framework. 



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.  




MODULE 1: An Overview of the Variation Margin Framework

·       The Basel Committee on Banking Supervision (BCBS) and the International Organization of Securities Commissions (IOSCO) Margin Requirements for Non-Centrally Cleared Derivatives Transactions.

·       The Variation Margin Rules (US) and the Variation Margin Rules (EU).

·       VM Protocol Components: (1) VM Adherence Letter; (2) VM Questionnaire; (3) VM Protocol Agreement; and (4) New Credit Support Annexes OR Substantive Amendments (New York Law; English Law; Japanese Law).

·       VM Protocol Methods: (1) The Amend Method; (2) The Replicate and Amend Method; and (3) The New Method.


MODULE 2: Variation Margin Protocol

·       The ISDA 2016 Variation Margin Protocol on ISDA Amend Process.

·       The VM Protocol Process (Adherence to and Effectiveness of the Protocol; Delivery and Receipt of Questionnaires; Matching and Effectiveness of Questionnaires).

·       Applicable Amendments (Replica CSA and New CSAs) and Protocol Master Agreements and New CSAs.

·       Supplemental Protocol Exhibits, Representations and Agreements, Definitions.


MODULE 3: 2016 Credit Support Annex for Variation Margin

·       An Overview of the 2016 CSA for VM (VM CSA) Structure and a Summary of New Provisions.

·       Clause by Clause Documentation and Interpretation Analysis (Paragraphs 1-12).

·       Comparative Analysis of 1994 CSA, 1995 CSA, and 2016 CSA (Interest Transfer, Interest Adjustment) Interest Provisions.

·       Identification of a Range of New Provisions that may prove to be operationally challenging (Disputes, Indemnifications, Third-Party Custodian Agreements, Rights and Remedies, Notice, Fungibility, Legally Ineligible Credit Support).


MODULE 4: Variation Margin and CSA Documentation Strategies

·       Factors influencing the choice between adopting the Variation Margin (VM) Protocol and bilateral amendments to Credit Support Agreements.

·       Mandatory VM and CSA Terms (In-Scope Product Population; VM and MTA Thresholds; Exchange Days; Eligible Collateral Types; Haircuts).

·       Key CSA Documentation Strategies (Flawed Asset Provisions; Transfer Timing; Valuation Agent, Valuation Methodologies, and Valuation Disputes; Substitutions; Dispute Resolution Procedures; Custodian Provisions and Indemnification; Additional Relevant Amendments) and VM CSA Paragraph 13 Elections and Variables.

·       Exhibits (CSA Amendments) (New CSAs).


Training Course Expert Trainer


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, United Kingdom (UK)), and 'Market Abuse: Operational Compliance' (London, UK). 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, UK), and CAF, the Development Bank of Latin America (Swaps and Over-the-counter Derivatives, Lima, Peru). 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?".


Key Benefits


• Attendees will obtain a clear understanding of how the new Variation Margin framework operates.

• Attendees will be guided in detaiL through the 2016 Credit Support Annex and how it operates in practice.

• Attendees will be instructed on key 2016 Credit Support Annex documentation strategies and the lengthy Variation Margin Exhibits. 

Course suitable for


  • Analysts
  • Collateral Management Function
  • Compliance Officers and Managers
  • Corporate Treasurers
  • Credit and Legal Professionals
  • Dealers
  • Fund Managers
  • ISDA Negotiators
  • Legal Counsel
  • OTC Derivatives Buy Side
  • OTC Derivatives Documentation Managers
  • Risk Officers and Managers
  • Settlements Staff
  • Treasury Function