OTC Derivatives, Collateral Management and EMIR

Thursday, May 14

09.00 - 09.10 Welcome and Introduction

OTC Derivatives

09.10 - 12.30

1. Fundamental Derivative Concepts

  • Definition and Purpose
  • The Derivatives Marketplace
  • Basic Derivative Types
  • Investment Appeal of Derivatives

2. OTC Derivatives - Introduction

  • Essential Principles of OTC Derivatives
    • Parties
    • Tenure
    • Notional Principal Amount
    • Rates
    • Dates
    • Settlement
    • Exiting
  • OTC Derivative Product Types (Overview)
  • Legal Documentation - Introduction
    • ISDA Master
    • The Schedule
    • Credit Support Annex

12.30 - 13.30 Lunch

13.30 - 17.00

3. OTC Derivative Products and their Operational Characteristics (part 1)

  • Generic OTC Derivative Trade Lifecycle (Overview)
  • Trade Processing versus Collateral Processing
  • OTC Derivative Products
    • Interest Rate Swaps
    • Credit Default Swaps

For each product, the description includes definition, the investors' risk, product characteristics, trade components, cashflow concepts, settlement value calculation, settlement frequency, pre-maturity options, processing risks and mitigating controls

3. OTC Derivative Products and their Operational Characteristics (part 2)

  • OTC Derivative Products (continued)
    • Foreign Exchange Swaps
    • Currency Swaps

For each product, the description includes definition, the investors' risk, product characteristics, trade components, cashflow concepts, settlement value calculation, settlement frequency, pre-maturity options, processing risks and mitigating controls

4. Exiting an OTC Derivative Trade

  • Exit Methods
    • Unwind
    • Offset
    • Novation

Friday, May 15

Collateral Management for OTC Derivatives

09.00 - 12.30

5. Fundamental Collateral Concepts

  • Collateral Concepts for OTC Derivatives
  • How Exposures Arise on OTC Derivatives
  • Cash Collateral for OTC Derivatives
  • Bond Collateral for OTC Derivatives
  • Bond Collateral: Deriving Haircut Percentages
  • OTC Derivatives and the Credit Support Annex

6. The OTC Derivative Collateral Lifecycle

  • The Collateral Lifecycle
    • Portfolio Reconciliation
    • Marking-to-Market
    • Exposure Calculation
    • Exposure Calculation Simulation
    • Making & Receiving Margin Calls
    • Holding Collateral Received
    • Reuse of Bond Collateral
    • Collateral Substitution
    • Income and Corporate Action Events

12.30 - 13.30 Lunch

European Market Infrastructure Regulation

13.30 - 17.00

7. Regulatory Change for OTC Derivatives - Introduction

  • OTC Derivatives & the 2008 Global Financial Crisis
  • Overview of Required Regulatory Changes

8. EMIR and Centrally Cleared Trades (part 1)

  • Central Clearing Primary Concepts
  • Central Counterparty Services
  • Central Clearing: Advantages & Disadvantages

9. EMIR and Centrally Cleared Trades (part 2)

  • Central Counterparty Membership & Non-Membership
  • Clearing Member Margin Requirements: Introduction
  • Default Funds, Initial Margin & Variation Margin
  • Clearing Members Offering Client Clearing Services
  • The Clearing Obligation
  • Treatment of Legacy Trades
  • Central Counterparties and Interoperability
  • Central Clearing & the OTC Derivative Collateral Lifecycle
  • Collateral Transformation

10. EMIR and Non Centrally Cleared Trades - Overview

  • Definition of Non Centrally Cleared Trades
  • Reasons for Existence of Non Centrally Cleared Trades
  • Market Participants Exempt from the Clearing Obligation
  • Eligible Collateral
  • Initial Margin and Variation Margin Requirements
  • Additional Risk Mitigation Regulations
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