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Global Variation Margin

Understanding the VM Requirements and new documentation for Uncleared Swaps including the ISDA 2016 VM Protocol

 

6.25 CPD Credit Hours Available (England and Wales)
 

7.5 CLE Credit Hours Available (New York)

Transitional and Nontransitional


Thursday, June 8, 2017
Sandton Convention Centre
Johannesburg

PROGRAM AGENDA

 

8:15 AM

 

Registration and Continental Breakfast

 

 

 

8:45 AM

 

Introduction and Welcoming Remark
Fred Quenzer,
Counsel, ISDA

 

 

 

9:00 AM

 

What changes are coming and why does it matter?

This session will provide an overview of the significance of the Variation Margin rules that went into effect on March 1, 2017 by reference to the U.S. and EU rules, and the impact on market participants’ swaps documentation. It will provide the context for the rest of the day’s in-depth sessions.

Topics will include:

  • Entities subject to the rules
  • Cross-Border issues to consider
  • Practical steps firms need to take to comply
  • Changes to swaps documentation

Anthony Colegrave, Counsel, Allen & Overy LLP
Brett Gallie, Head, Global Markets, The Standard Bank of South Africa Limited

 

 

 

9:30 AM

 

Determining which rules will apply – ISDA Regulatory Margin Self-Disclosure Letter

The ISDA Regulatory Margin Self-Disclosure Letter will help parties identify whether the margin rules of various different jurisdictions will apply to their counterparty relationships.
Using case-study examples, this session will:

  • Examine information parties will need to request from each other to determine which rules will apply
  • Demonstrate the ISDA Amend platform for completing the letter electronically

Chris Arnold, Partner, Mayer Brown International LLP

 

 

 

10:30 AM

 

Morning Break

 

 

 

11:00 AM

 

Variation Margin Requirements

This session will run through the specific requirements for Variation Margin that firms will need to meet under the U.S. and EU rules, including:

  • Transactions covered by the rules
  • Eligible collateral and minimum haircuts
  • Valuation frequency and collateral settlement timing
  • Documentation and legal review requirements

Anthony Colegrave, Counsel, Allen & Overy LLP

 

 

 

11:30 AM

 

Introduction to the ISDA 2016 Variation Margin Protocol and New Collateral Documentation Architecture

The broad application of the Variation Margin rules will require a large number of counterparty relationships to be redocumented to comply with the regulations. The ISDA 2016 Variation Margin Protocol leverages ISDA’s Protocol technology and the new 2016 Variation Margin CSAs to facilitate this repapering exercise. The Protocol sets out three alternative “Methods” for establishing regulation-compliant CSAs, which may include establishing multiple CSAs under a single Master Agreement. This session will examine this new documentation architecture and show how it is reflected in New CSA Method, Amend Method and Replicate-and-Amend Method under the Protocol.

It will also outline the basic design features of the Protocol, including:

  • Jurisdictions, agreements and transactions covered by the Protocol
  • Application of multiple rule sets
  • How the Protocol will apply to different counterparty relationships, using questionnaire matching

Habib Motani, Partner, Clifford Chance LLP

 

 

 

12:30 PM

 

Luncheon

 

 

 

1:30 PM

 

The ISDA 2016 Variation Margin CSAs and the New CSA Method

The New CSA Method under the Protocol creates a brand new CSA in the form of one of the three Variation Margin CSAs published by ISDA in 2016. This session will highlight the changes in the new Variation Margin CSAs from the CSAs that ISDA previously published. It will also explain how parties can use the New CSA Method in the Protocol to generate the necessary additional terms to complete the pro-forma document and produce a new CSA.

Fred Quenzer, Counsel, ISDA

 

 

 

2:30 PM

 

Using the ISDA VM Protocol

  • Amend and Replicate-and-Amend Methods
    • Changes to existing CSAs that are effected by the Protocol
  • Protocol Questionnaire and ISDA Amend
    • Purpose and operation of each question
    • How interactions between two parties filling out the question determine the outcome
    • Demonstration of the ISDA Amend platform
  • Using the Protocol
    • Commercial and practical issues firms should consider

Fred Quenzer, Counsel, ISDA

 

 

 

3:30 PM

 

Afternoon Break

 

 

 

3:45 PM

 

Using the ISDA VM Protocol (continued)

 

 

 

4:30 PM

 

VM Operational Issues

This session will focus on various operational concerns and challenges as it pertains to the Uncleared Margin rules in the U.S. regarding the settlement of collateral on a T+1 basis.

  • T+1 Collateral Settlement Issues

  • VM Collateral Rehypothecation Concerns

  • Potential Changes Needed: Custodian Funding Timing

  • Trade Allocation Considerations for Asset Managers

Speaker to be announced

 

 

 

5:00 PM

 

Conference Concludes

 

 


Agenda is subject to change

- REGISTRATION FEE* -
$ 850 U.S. (member) / $ 975 U.S. (non-member)
*The invoice total must be paid in full - registration fees are net of tax and wire transfer fees are not included.

We suggest registering at least two weeks in advance to ensure your seat.

Please click here for the Conference Registration Form.

 

 

Sandton Convention Centre, 161 Maude Street, Sandton 2196, South Africa. Phone +27 11 779 0000. A map to the venue can be found here.

 


 


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