ISDA SIMM™ Training – Non-Technical Workshop

Monday, November 19, 2018
Steigenberger Hotel Metropolitan
Frankfurt

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Monday, November 19, 2018

Download Agenda ISDA SIMM™ Training – Non-Technical Workshop for

8:30 AM Registration and Continental Breakfast

9:15 AM Introduction and Welcoming Remarks Silke Borgs, Tara Kruse

Silke Borgs, Legal Counsel, VÖB-Service GmbH
Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

9:30 AM Initial Margin (IM) Requirements for Non-cleared Derivatives Nnamdi Okaeme

  • BCBS 317 – Principle 3: Methodologies for the Calculation of IM
  • IM Schedule – Requirements and IM Calculation
  • Quantitative IM Model - Requirements
Nnamdi Okaeme, Director, Risk and Capital, ISDA

10:00 AM ISDA SIMM - Background Eduardo Epperlein

  • The industry’s need for a standard quantitative model
  • Sensitivity-based 99% 10-day approach
  • Summary of how SIMM meets regulatory requirements across jurisdictions
Eduardo Epperlein, Managing Director, Global Head of Risk Methodology, Nomura

10:30 AM Derivatives Risk Martin Baxter, Nnamdi Okaeme

  • Risk Factors
  • Risk Sensitivities
  • Modelling Risk in Derivative Contracts
Martin Baxter, Consultant, ISDA
Nnamdi Okaeme, Director, Risk and Capital, ISDA

11:00 AM Coffee Break

11:15 AM ISDA SIMM – Methodology and Calculation Martin Baxter

  • Description of the ISDA SIMM
  • Methodology
  • Example to illustrate calculation using methodology
  • Comparison of Initial Margin from SIMM versus schedule
Martin Baxter, Consultant, ISDA

12:15 PM Reconciling Initial Margin Differences Alistair Smith

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues
Alistair Smith, Managing Director, Head of Collateralised Risk & Margin, Deutsche Bank

12:45 PM Workshop Concludes

Register Now for ISDA SIMM™ Training – Non-Technical Workshop
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Steigenberger Hotel Metroplitan, Poststraße 6, 60329 Frankfurt am Main, Germany, +49 69 5060700

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Martin Baxter

Consultant

ISDA

Silke Borgs

Legal Counsel

VÖB-Service GmbH

Eduardo Epperlein

Managing Director, Global Head of Risk Methodology

Nomura

Tara Kruse

Global Head of Infrastructure, Data and Non-Cleared Margin

ISDA

Nnamdi Okaeme

Director, Risk and Capital

ISDA

Alistair Smith

Managing Director, Head of Collateralised Risk & Margin

Deutsche Bank

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Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.
Groups of three or more attendees from the same firm can receive a 20% discount on event registrations. To register your group, please email conferences@isda.org

Member $250 U.S.

Non-Member $300 U.S.

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Intermediate

Some knowledge of derivatives is assumed. No advance preparation is required.

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ISDA is an accredited provider of continuing education credits by the following organizations:

  • CLE

    ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.

  • CPE Sponsory

    ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417. www.nasba.org

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Follow us on Twitter @isdaconferences for the latest on upcoming events. For general questions, including exhibition/sponsorship opportunities, conference topics or location suggestions contact us: conferences@isda.org | +1 212-901-6000

ISDA SIMM™ 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.