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Understanding the Margin Requirements and New ISDA Credit Support Documents for Uncleared Swaps

Including the AEJ Bilateral CSA Templates and Disclosure Letters


Friday, July 7, 2017
Marina Mandarin Singapore
Singapore

PROGRAM AGENDA

8:15 AM

 

Registration and Morning Coffee

 

 

 

9:00 AM

 

Introduction and Welcoming Remarks

 

 

 

9:05 AM

 

Who will the rules apply to?

This session will provide an explanation and comparison of the US, EU, Singapore and Hong Kong rules that determine which trading relationships will be in scope for margin requirements, using case-study examples to demonstrate the application of the rules. Topics will include:

  • Entities subject to the rules
  • Application to domestic and cross-border counterparty pairings, including branches
  • Substituted compliance
  • Portfolio size thresholds and phase-in of requirements

 

 

 

10:00 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 the case-study examples introduced in the previous session, this session will examine:

  • Information parties will need to request from each other to determine which rules will apply
  • Use of ISDA Amend to request and complete the letter electronically

 

 

 

10:45 AM

 

Morning Break

 

 

 

11:00 AM

 

Variation Margin Requirements

March 2017 marks the date when most in-scope firms will first have to comply with margin rules. These firms will be subject to variation margin requirements from that date. This session will run through the requirements that will apply under the US, EU, Singapore and Hong Kong rules, including:

  • Transaction scope
  • Eligible collateral and minimum haircuts
  • Valuation frequency and collateral settlement timing
  • Documentation and legal review requirements

 

 

 

11:45 AM

 

ISDA 2016 Variation Margin CSAs and New Collateral Documentation Architecture

In 2016, ISDA published three new forms of Credit Support Annex to allow parties to document regulation-compliant terms for the exchange of variation margin. These documents also recognize the potential for a new documentation architecture involving multiple CSAs under a single Master Agreement. This session will examine this new structure and highlight the changes in the new Variation Margin CSAs from the CSAs that ISDA previously published.

 

 

 

 12:30 PM

 

Luncheon

 

 

 

1:30 PM

 

ISDA 2016 Variation Margin Protocol and AEJ VM CSA Bilateral Template

The broad application of the variation margin rules will require a large number of counterparty relationships to be re-documented 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. ISDA also published two new bilateral templates of the AEJ VM CSA to allow parties to document terms that comply with Asia ex-Japan variation margin rules in addition to the US, EU, Canada, Switzerland and Japan margin rules. This session will explain how the Protocol and the AEJ VM CSA will operate, including:

  • Different Protocol methods for bringing existing documentation into compliance with WGMR rules
  • Jurisdictions, agreements and transactions covered by the Protocol
  • How the Protocol will apply to different counterparty relations, using questionnaire matching
  • Structure of the AEJ VM CSA and how it is different from the new 2016 VM CSAs and the VM Protocol

 

 

 

2:45 PM

 

Using the ISDA 2016 Variation Margin Protocol and the AEJ VM CSA Bilateral Template

This session will focus on the Questionnaire to the Protocol and options in the AEJ VM CSA Bilateral Template, providing delegates with an understanding of:

  • The various decisions they will need to make in advance of using the Protocol or the AEJ VM CSA Bilateral Template
  • How to complete Questionnaire(s) to implement preferred approaches
  • How their Questionnaire(s) will interact with those of their counterparties to produce documentation outcomes under the Protocol
  • How to complete paragraph 11 or paragraph 13 to the AEJ VM English law CSA or NY law VM CSA Bilateral Template

 

 

 

3:45 PM

 

Afternoon Break

 

 

 

4:00 PM

 

Initial Margin Requirements

The number of firms subject to initial margin requirements will increase over the next few years as requirements are phased in annually until 2020. Market participants will need to prepare for these changes in advance. This session will examine the key requirements under US, EU, Singapore and Hong Kong rules and industry solutions developed to date, including:

  • Transaction scope, eligible collateral and haircuts (comparison with variation margin requirements)
  • IM calculation, including model requirements and ISDA SIMMTM
  • Segregation requirements
  • Documentation and legal review requirements – including ISDA-published documents and legal opinions

 

 

 

5:00 PM

 

Conference Concludes

 


Agenda is subject to change

- REGISTRATION FEE* -
$ 650 U.S. (member) / $ 750 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.

 

Marina Mandarin Singapore, 6 Raffles Boulevard, Marina Square, Singapore 039594, Phone: + 65-6845-1000



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