Workshop - Margin reform phase V and VI

Workshop - Margin reform phase V and VI

Margin reform phase V and VI | Virtual pre-conference workshop

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

08:4509:00

Registration

08:45 - 08:46

09:0010:00

Framework on Margin Requirements for Non-Centrally Cleared Derivatives

09:00 - 09:45

  • Uncleared Margin Rules (UMR)
    • Variation Margin (VM)
    • Initial Margin (IM)
  • UMR final phases of IM
  • Fundamental challenges for market participants during the final phases of IM & the effect on newly in-scope counterparties
  • Impact on liquidity in derivatives market
  • Systemic impact
John Feeney

Consultant

Martialis Consulting

John Feeney manages Martialis Consulting working on financial markets product and infrastructure. He has been in financial markets for over 30 years in trading and management roles across most asset classes. Prior to joining NAB, Mr. Feeney has worked for Commonwealth Bank in Sydney, Citi in Sydney and London and Macquarie Bank in Sydney. Over this time he has traded and managed interest rate derivative, foreign exchange, traded credit, commodities and funding businesses.

Recently, Mr. Feeney has been an ISDA Board Member and Vice-Chairman and an AFMA Board member.

Mr. Feeney has a PhD and BSc (Hons) from University of Sydney.

10:0011:00

Global regulatory landscape of IM

09:45 - 10:45

  • Initial Margin and Industry Advocacy
  • Key differences between IM and VM
  • Main requirements for the mandatory exchange of the IM
  • Transaction & counterparty scope of IM
  • Eligible collateral across regulations
  • Third party vs Triparty custodian models
Alex Chui

Head of Collateral Services, AP

HSBC

Alex Chui is Head of Collateral Services in Global Market Operations Asia and Interim Global Head of Client Valuations at The Hongkong and Shanghai Banking Corporation Limited. Mr. Chui covers collateral operations teams including OTC Derivatives Collateral Management, Prime Brokerage Margin, Strategic Equity and Financing Margin and Client Valuation functions.
Mr. Chui was the Head of Liquidity Management Services in Nomura Group, Asia ex Japan and Director of Collateral Management Operations in Morgan Stanley Asia Ltd HK before joining HSBC in 2015. He covered OTC Derivatives Collateral Management, Prime Brokerage Margin, Client Valuation and Cash Management function in Hong Kong and Tokyo, with over 12 years’ experience in Investment Banking Operations department. 

Mr. Chui graduated from the University of Hong Kong and holds LLB degree in the London University. He is a Certified Public Accountant of AICPA.

He was awarded the Japanese Government Scholarship and studied in Waseda University in Tokyo.

Mr. Chui has led the HSBC Collateral Services team in Asia through key projects including the implementation of margin rules on non-centrally cleared over-the-counter (OTC) derivatives. The team successfully went live with the Phase 1 to 4 initial margin (IM) and regulatory variation margin (VM).

11:0011:15

Morning break

10:10 - 10:40

11:1512:15

Initial margin requirements for uncleared derivatives

11:00 - 12:00

  • Rules and requirements for the IM schedule
  • Methodologies for the calculation of initial margin (IM)
    • Standardized approach
    • Model approach
  • IM threshold and IM modeling standards
  • Bilateral initial margin framework
  • Modeling options for cleared and uncleared trades
  • Back testing and monitoring
  • IM model risk and governance framework
Robert Fievez

Director

Datalysis

Robert Fievez is Melbourne based with 15 years’ experience in Government and Financial Markets specialising in broad scope regulatory change. His experience has focused on helping firms, large and small, to match the regulatory requirement against the underlying portfolio impact and make the transition to new operating and business models. Mr. Fievez has also led engagement with local (APRA and RBA) and overseas (US Federal Reserve, Japanese Financial
Services Agency, etc.) regulators across a range of reform issues. Mr. Fievez is currently with Datalysis as a Director.

12:1512:15

End of Risk ASEAN virtual conference Day 1

12:00 - 12:05

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

09:0010:00

Key Challenges for UMR compliance

09:00 - 10:00

  • On boarding challenges.Self-Disclosure; who is in the scope?
  • Rule Selection; which rule applies and how to break down and allocate them to different functions
  • Getting the models approved
  • Operational challenges over settlement timing
  • Legal documentation & custodian
  • Cross border implications
  • Other challenges:
    • Operational implication
  • Impact on CSA documentation
John Feeney | Moderator

Partner

Martialis Consulting

John Feeney manages Martialis Consulting working on financial markets product and infrastructure. He has been in financial markets for over 30 years in trading and management roles across most asset classes. Prior to joining NAB, Mr. Feeney has worked for Commonwealth Bank in Sydney, Citi in Sydney and London and Macquarie Bank in Sydney. Over this time he has traded and managed interest rate derivative, foreign exchange, traded credit, commodities and funding businesses.

Recently, Mr. Feeney has been an ISDA Board Member and Vice-Chairman and an AFMA Board member.

Mr. Feeney has a PhD and BSc (Hons) from University of Sydney.

10:0011:00

Preparing for the final stages of initial margin phase-in

10:00 - 11:00

  • Understanding the qualitative and quantitative impact
  • The regulatory schedule
  • Requirements for the mandatory exchange of the initial margin
  • Key takeaways and lessons learnt from the previous phases
  • Best practices in efficient and control in margin call, collateral posting and administration
Eric Yung

Associate Director

HSBC

Eric Yung is an Associate Director at HSBC Collateral Services team in the Global Market division based in Hong Kong. He is responsible for the oversight of the front to back OTC derivatives collateral management function across Asia Pacific in the last 7 years.

Since Eric joined HSBC in 2011, he has been involved not only in various operational aspects in the collateral, but he has also actively participated in the internal design and implementation of the collateral management system and workflow, which enabled HSBC to comply with the Margin Rules for Non-Centrally cleared OTC Derivatives globally as the Phase 1 in-scope bank.

Prior to HSBC, Eric worked in Deutsche Bank Collateral Management leading the Data Control function.

11:0011:15

Morning break

10:10 - 10:40

11:1512:15

Collateral Management and Optimisation

11:15 - 12:15

  • Impact of margin regulation and settlement changes on collateral management
  • Impact on the central clearing market
  • Trends in collateral and derivatives market space
  • Eligible collateral & settlement time
  • Collateral vs CVA charges
  • Market adoption and lessons learnt
  • Case Study
Karim Chabane

Director, Head of APAC Collateral Management, Custody and Funds Services

Citibank

Karim Chabane is a Director within Citi Futures, Clearing and Collateral division based in Hong Kong and Regional Head of Collateral Management for Asia Pacific. He has responsibility within Investor Services Division for all aspects of the margining and collateral management products to Citi's customers including Investors, Banks and Financial Intermediaries.
Karim joined Citi in January 2011 from Euroclear Bank, the International Central Securities Depository to take responsibility of regional product management of the Citi collateral management and administration services before taking the Regional Head role.
While at Euroclear, Karim spent two years as Head of Product Management for the Asia-Pacific region covering the full range of Euroclear's products and services, including settlement & custody, collateral management and fund processing.
Prior to this, Karim spent 18 years at Euroclear 's head office in Brussels and held various senior positions across Cash & Treasury Operations, Sales & Relationship Management covering London-based brokers and investment banks, Project teams for some major market and infrastructure initiatives as well as Product Management.

12:1512:15

End of Day 2

12:15 - 12:16

Conference starts at 09:00 am (BKT) | 10:00 am (HKT)

09:0010:00

ISDA SIMM background and model implementation

09:00 - 10:00

  • ISDA SIMM outline and approach
  • Regulatory requirements on the use of IM models, including ISDA SIMM
  • Addressing the regulatory requirements under SIMM
    • Sensitivity based approach
    • Model sensitivities
    • Model parameters
  • Monitoring ISDA SIMM
  • Incorporating ISDA SIMM into derivative infrastructures
  • Challenges in implementing SIMM
Suiunbek Ibraev

Head of Analytics and Market Price Control, Market Risk Management

OCBC BANK

Dr Ibraev is in charge of analytics and market price control in the market risk management department of OCBC Bank. His responsibilities include validation of derivative valuation models, asset and liabilities management methodologies, oversight of the market data.

Dr Ibraev has 19 years of banking experience. Prior to joining OCBC Bank he worked in Frankfurt, London and Singapore as a front office quant in Dresdner Kleinwort, Commerzbank, VTB Capital, ANZ specialising in interest rate and foreign exchange derivatives. Models developed by Dr Ibraev had been deployed into the production systems, and been used for pricing, hedging and risk management.

He holds PhD in mathematics, global optimisation, from University of Wuppertal, Germany. Dr Ibraev's interests include parallel computing, cryptography, distributed ledger technology, FGPA accelerators, and machine learning.

10:0010:15

Morning break

10:10 - 10:40

10:1511:15

ISDA SIMM calculation

10:15 - 11:15

  • Practical Examples
  • Case Study
Suiunbek Ibraev

Head of Analytics and Market Price Control, Market Risk Management

OCBC BANK

Dr Ibraev is in charge of analytics and market price control in the market risk management department of OCBC Bank. His responsibilities include validation of derivative valuation models, asset and liabilities management methodologies, oversight of the market data.

Dr Ibraev has 19 years of banking experience. Prior to joining OCBC Bank he worked in Frankfurt, London and Singapore as a front office quant in Dresdner Kleinwort, Commerzbank, VTB Capital, ANZ specialising in interest rate and foreign exchange derivatives. Models developed by Dr Ibraev had been deployed into the production systems, and been used for pricing, hedging and risk management.

He holds PhD in mathematics, global optimisation, from University of Wuppertal, Germany. Dr Ibraev's interests include parallel computing, cryptography, distributed ledger technology, FGPA accelerators, and machine learning.

11:1511:15

End of Day 3

12:00 - 12:01