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Global Collateral Management Fee: £1,500 + VAT
London - UK
Today, the industry is upgrading and investing an enormous amount of money on people, processes and systems to make sure collateral management teams in each institution can be fully compliant with the new regulations around OTC cleared margin requirements and OTC non-cleared margin requirements. As the industry moves forward to adapt to this brave new world of regulations and striving to remain fully compliant, it requires a course to help financial practitioners to understand the material impact collateral management has on internal/external stakeholders, the industry, technology, adhering to market best practice and this is it. Taught by a trainer with over 10+ years of experience working in the collateral management space, this course provides a detailed insight on the current state of the industry and new collateral management initiatives in place.
  
16 - 17 January 2018 London, Liverpool Street
 
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Course Director(s)
Anthony Cure
 

 
What You Will Learn Is This Course Right For You?  
The evolving regulations that have impacted the financial industry in the last six years have resulted in a draft of numerous rules and regulations that have and will provide global market authorities more powers to oversee how institutions manage their operations and trading activity which will result in more transparent view of how risk is managed within the industry. At the for front of these new regulations, The Dodd Frank Act (DFA) in the US which was signed into law in July 2010 and European Market Infrastructure Regulation (EMIR) which went into force in August 2012 have resulted in stringent new rules and guidelines around the risk mitigation of derivatives. This new environment requires a new approach to collateral management. Historically, considered a back office function, today collateral management is becoming an integral part of the business when managing counterparty credit risk.
 
Course Overview    
Definitions of Collateral and Exposure

Collateral as a concept
The basic economic impact

Exposure sources

Securities lending
Repos
Loans
OTC derivatives
Exchange-traded derivatives
Equities settlements
FX
Commodity financing
Overdrafts

Exposure types

Counterparty
Mark-to-market
Potential future exposure

Business Drivers and Risks

Improving deal terms
Expanding dealing volumes
Generating additional revenues
Legal risk
Correlation risk
Market risk
Concentration risk
Counterparty risk
Operational risk
The effect of collateral on risk

Regulatory Capital

Regulatory guidelines
Regulatory capital treatment with and without collateral
Sample capital cost savings with collateral
Capital adequacy calculations
Current and future regulatory capital requirements

Exercise: Regulatory Capital

The Legal Framework for Global Collateralisation
Choice of law issues
Perfection
Enforceability
Law reform and regulator's requirements for collateral legal opinions
Title transfer and rehypothecation

Setting up the Function
Organisational requirements
Single operations centre
Distributed processing
Infrastructure priorities
Staffing and productivity
Systems requirements
"Buy" versus "Build" decisions
Vendors
Bilateral versus tri-partite
Policies and procedures
Agreement parameters
Risk management

Tri-Partite Collateral Management

Development of tri-party collateral
Mechanics of tri-party collateral in securities lending and tri-party repos
Fixed income versus equity
Legal aspects
Infrastructure requirements

Exercise: Collateral Allocation

Volatility, VAR Aan Margining Strategies

Volaility
VaR and VaR-span scenarios
Margin bases
Flat
Exposure-based
Value-at-risk
OTC versus exchange-traded margining
Margin timing

The ISDA Credit Support Annex

Agreement parameters
Haircuts
Thresholds
Minimum transfer amounts
Independent amounts
Rounding

The OTC Collateral Process

Portfolio identification and reconciliation
Exposure calculation
Margin calls
Receiving collateral
Posting collateral
Substitutions

Optimisation

Locating the "Cheapest-to-Deliver"
Pooling of collateral assets
Collateral opportunity cost
Trading the collateral market
Tracking rehypothecation

Exercise:Optimisation

Operational Risks

The implications of different forms of collateral
Operational risk techniques
Process decomposition and point of failure analysis
Self assessment
Statistical analysis
Managing operational risk

Summary and Questions

 

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