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ISDA SIMM™ Framework for Non-Risk Professionals

 6.5 CPD Credit Hours Available (England and Wales)

7.5 CLE Credit Hours Available (New York) Transitional and Nontransitional


Tuesday, November 14, 2017
One Bishops Square
London

PROGRAM AGENDA

Over the next few years, an increasing number of firms will phase into regulatory initial margin (IM) requirements based on the framework established in Margin Requirements for Non-Cleared Derivatives (BCBS 317), requiring them to select and implement a model to calculate IM. Due to the inherent benefits of adopting an industry-standard model, ISDA developed the ISDA Standard Initial Margin Model (SIMM), which is in use globally for the calculation of regulatory IM. As additional firms prepare for compliance with regulatory IM requirements, they will need to consider the legal, operational and technical steps necessary to undertake SIMM adoption. This course is designed to provide legal, operational and other non-risk professionals with a basic understanding of derivatives risk, the regulatory requirements for calculating IM, the fundamentals of how SIMM works and, address some of the practicalities of using SIMM, including regulatory approval, SIMM governance and dispute resolution.

 

 

 

8:15 AM

 

Registration and Continental Breakfast

 

 

 

8:45 AM

 

Introduction and Welcoming Remarks
Tara Kruse, Head, Non-cleared Margin Initiative, ISDA

 

 

 

9:00 AM

 

Derivatives Risk

  • Risk Factors and Sensitivities
  • Modelling Risks in Derivative Contracts
  • Trading Derivatives – Markets, Processes and Associated Risks

Speaker to be announced

 

 

 

9:45 AM

 

Initial Margin Requirements for Non-cleared derivatives

  • BCBS 317 – Principle 3: Methodologies for the Calculation of IM
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM Model – Requirements

Tara Kruse, Head, Non-cleared Margin Initiative, ISDA
Nnamdi Okaeme, Director, Risk and Capital, ISDA

 

 

 

10:45 AM

 

Morning Break

 

 

 

11:00 AM

 

 

ISDA SIMM Calculation

  • Description of the ISDA SIMM
  • Methodology
  • Simple example to illustrate calculation using methodology

Martin Baxter, Independent Consultant, ISDA

 

 

 

12:00 PM

 

ISDA SIMM Implementation

  • Inputs
  • Crowdsourcing Utility
  • Detailed Example
  • ISDA SIMM vs. IM Schedule

Scott Cogswell, Manager, Global Risk Analytics, HSBC

 

 

 

1:00 PM

 

Luncheon

 

 

 

2:00 PM

 

ISDA SIMM Model Usage

  • Phase-in Requirements for Covered Entities
  • Obtaining Licences for SIMM
  • Implementing and Testing SIMM
  • Getting Regulatory Approval for SIMM

Speaker to be announced

 

 

 

3:00 PM

 

ISDA SIMM Dispute Resolution

  • Dispute Resolution in the context of regulatory IM
  • Agreeing dispute resolution provisions
  • Reasons for disagreement over IM calculated using SIMM

Speakers to be announced

 

 

 

3:45 PM

 

Afternoon Break

 

 

 

4:00 PM

 

ISDA SIMM Governance

  • Global ISDA SIMM Governance and Development
  • Firm Level Portfolio Monitoring and Risk Remediation
  • Escalation Procedures for Issues related to SIMM

Andrew Betteridge, Quantitative Analyst, NatWest Markets
Tara Kruse, Head, Non-cleared Margin Initiative, ISDA

 

 

 

5:00 PM

 

Conference Concludes

 


Agenda is subject to change

- REGISTRATION FEE* -
$ 800 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.

 

Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700.
A map to the venue can be found here.
You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.

 

 

 


ISDA SIMMTM is a registered trademark of the International Swaps and Derivatives Association, Inc. (ISDA). Market participants or service providers wishing to license ISDA SIMM or other ISDA intellectual Property should contact isdalegal@isda.org 


For more information regarding conferences or exhibition opportunities, please contact the ISDA conference department

at +1 212-901-6000  or e-mail conferences@isda.org