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Bilateral Margin Requirements and SIMM - The Impact of Mandatory Margining and Central Clearing

4.4
7 reviews
  • Nicely planned. Considering direction in the EU and USA. Gives a wide comprehension of clearing associations through time and pertinent issues at the moment.
    |
  • Extremely extensive and all around concentrated on every one of the inquiries identified with CCPs for OTC derivatives.
    |
  • Great teacher. The course tended to the subject from a worldwide position where mechanics were treated adequately and contemplations were faced off regarding seriously. Particularly the last added to my destinations of the course.
    |

Short course

In New York (USA), London and Singapore (Singapore)

£ 2001-3000

Learn about the OTC derivatives market!

  • Duration

    2 Days

  • Start date

    Different dates available

Current regulation requires that OTC derivative markets implement bilateral margin rules. These rules are being phased-in with the aim of reducing systemic risk and promoting central clearing. This, along with related implications, is creating significant changes in the nature of collateralization both in terms of variation margin and initial margin – with the latter, in particular, being very complex to model in terms of costs and risk mitigation benefit.

In this course we will explore in detail the mechanics of bilateral margin rules for OTC derivatives and assess future scenarios along with their opportunities and risks. The programme also covers initial margin methodologies – especially the ISDA Standard Initial Margin Model (SIMM) – and the links to central clearing. Aspects such as segregation and required CSA changes, and the growing use of MVA (Margin Value Adjustment) are also explored.

The programme is suitable for both banks and end-users of OTC derivatives.

Participants will be able to take away all worked examples, as well as additional exercises and models implemented using Excel functions and macros. They will also receive a copy of Dr Jon Gregory's book "Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives", published by Wiley Finance.

Facilities

Location

Start date

London
See map
34 Curlew Street, se12nd

Start date

On request
New York (USA)
See map

Start date

Different dates availableEnrolment now open
Singapore (Singapore)
See map
The Finexis Building

Start date

On request

About this course

Credit traders, Derivatives traders and marketers
Risk managers and credit risk practitioners
Structurers
IT, Middle office
Senior management, Quantitative researchers
Product control, Portfolio managers
Operations / Collateral management

Numerate background (basic)
Knowledge of derivatives products
Basic knowledge of Microsoft Excel

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Reviews

4.4
fantastic
  • Nicely planned. Considering direction in the EU and USA. Gives a wide comprehension of clearing associations through time and pertinent issues at the moment.
    |
  • Extremely extensive and all around concentrated on every one of the inquiries identified with CCPs for OTC derivatives.
    |
  • Great teacher. The course tended to the subject from a worldwide position where mechanics were treated adequately and contemplations were faced off regarding seriously. Particularly the last added to my destinations of the course.
    |
100%
4.4
fantastic

Course rating

Recommended

Centre rating

Anonymous

5.0
03/11/2016
What I would highlight: Nicely planned. Considering direction in the EU and USA. Gives a wide comprehension of clearing associations through time and pertinent issues at the moment.
What could be improved: Nothing bad.
Would you recommend this course?: Yes

Anonymous

4.0
30/10/2016
What I would highlight: Extremely extensive and all around concentrated on every one of the inquiries identified with CCPs for OTC derivatives.
What could be improved: Everything OK.
Would you recommend this course?: Yes

Anonymous

5.0
28/10/2016
What I would highlight: Great teacher. The course tended to the subject from a worldwide position where mechanics were treated adequately and contemplations were faced off regarding seriously. Particularly the last added to my destinations of the course.
What could be improved: No negative aspects.
Would you recommend this course?: Yes

Anonymous

4.0
05/10/2016
What I would highlight: Exceptionally detailed two-day course.
What could be improved: Everything OK.
Would you recommend this course?: Yes

Anonymous

4.0
03/10/2016
What I would highlight: The course was totally phenomenal. Jon Gregory was incredible and addressed each question. He made me concentrate on the subject and consider it from an alternate point of view. Time and cash certainly worth spending on this course. It was one of the best trainings I have ever done.
What could be improved: Nothing bad.
Would you recommend this course?: Yes

Anonymous

4.5
02/07/2015
What I would highlight: Jon Gregory described an intricate subject with coherance and tolerance. He gave great cases to represent his focuses and was glad to answer inquiries around the subject. He was quick to ensure that the study material was completely comprehended and supported discourse.
What could be improved: Nothing.
Would you recommend this course?: Yes

Anonymous

4.5
08/04/2015
What I would highlight: Much obliged for an exceptionally useful and comprehensive course. It will help me build up a more top to bottom learning on clearing and margin necessities.
What could be improved: Nothing.
Would you recommend this course?: Yes
*All reviews collected by Emagister & iAgora have been verified

This centre's achievements

2016

All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 15 years

Subjects

  • OTC Derivatives
  • IT risk
  • Risk
  • Mechanics
  • Financial
  • Financial Training
  • Methodologies
  • Risk Management
  • Topology
  • Rehypothecation
  • Counterparty Risk
  • OTC
  • Derivatives
  • Financial Crisis
  • Bilateral Margin

Teachers and trainers (1)

Jon Gregory

Jon Gregory

Teacher

Dr Jon Gregory has over 15 years' experience as a practitioner in quantitative finance and is a partner at the capital markets consultancy Solum Financial Partners. Formerly he was global head of credit analytics at Barclays Capital and responsible for a team of around 30 researchers globally. Jon holds a PhD from Cambridge University and is author of the books “The xVA Challenge” (now in its third edition) and “Central Counterparties: The Impact of Mandatory Clearing and Bilateral Margin Requirements on OTC Derivatives”, both published by Wiley Finance.

Course programme

Day One

Background

  • The OTC derivatives market
  • Impact of the financial crisis
  • The clearing mandate
  • BCBS-IOSCO bilateral margin requirements

Example: Comparison of traditional bilateral clearing, central clearing and clearing under the new margin requirements

Counterparty Risk and Margin Concepts
  • History of central and OTC clearing
  • Netting and trade compression
  • Collateral (margin) and CSAs
  • Variation margin
  • Initial margin (independent amount)
  • Rehypothecation and segregation

Example: Impact of variation and initial margin posting

Mechanics of Bilateral and Central Clearing
  • Contractual terms
  • Default definitions
  • Close-out process
  • The margin period of risk (MPR)
  • CCP loss waterfall and comparison to bilateral markets

Example: Loss allocation examples

The Impact of Netting and Margining
  • Bilateral vs. multilateral netting
  • Does multilateral netting reduce exposure?
  • The impact of variation margin
  • The impact of initial margin

Example: The impact of netting and margining on counterparty risk and CVA

Day Two

Traditional Initial Margin Methods
  • Standardized portfolio analysis of risk (SPAN)
  • Value-at-risk (VAR) and expected shortfall (ES)
  • Historical simulation
  • Example CCP methodologies
  • Potential problems
    • Procyclicality
    • Data history
    • Normal vs. absolute returns

Example: Initial margin calculation with historical simulation

Historical Simulation and Variance-Covariance Approximation
  • Example CCP methodologies
  • The fundamental review of the trading book (FRTB)
  • Variance-covariance approximation to VAR and ES
  • Basic overview of SIMM

Example: Historical simulation compared to variance-covariance approach

The ISDA Standardized Initial Margin Model (SIMM)
  • SIMM methodology
    • Asset classes and risk classes
    • Risk weights and basis formula
    • Treatment of netting
  • Comparison to Historical simulation

Example: Initial margin worked examples

The Impact of Initial Margin
  • Reduction of counterparty risk (CVA)
  • Capital relief from initial margin – comparison of CEM, SA-CCR and IMM
  • The cost of initial margin and MVA (margin valuation adjustment)
  • Impact on CCP risk management
  • Risks of increase in margin requirements
  • Wealth transfer effects of initial margin

Example: MVA calculation

Bilateral Margin Requirements and SIMM - The Impact of Mandatory Margining and Central Clearing

£ 2001-3000