ISDA SIMM™ Training – Non-Technical Workshop

Thursday, May 10, 2018
London

Member $250 U.S.

Non-Member $300 U.S.

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Thursday, May 10, 2018

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

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks Tara Kruse

Tara Kruse, Global Head of Infrastructure, Data and Non-Cleared Margin, ISDA

9:00 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

9:30 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

10:00 AM Derivatives Risk Emma Jones

  • Risk Factors
  • Risk Sensitivities
  • Modelling Risk in Derivative Contracts
Emma Jones, Director, Quantitative Analytics, UBS

10:30 AM Coffee Break

10:45 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

11:45 AM Reconciling Initial Margin Differences Harish Modhvadia

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues
Harish Modhvadia, Director, Financial Resources Management, Barclays Bank Plc

12:15 PM Workshop Concludes

Agenda is subject to change.

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Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here. You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.

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Martin Baxter

Consultant

ISDA

Eduardo Epperlein

Managing Director, Global Head of Risk Methodology

Nomura

Emma Jones

Director, Quantitative Analytics

UBS

Tara Kruse

Global Head of Infrastructure, Data and Non-Cleared Margin

ISDA

@isdaconferences

Harish Modhvadia

Director, Financial Resources Management

Barclays Bank Plc

Nnamdi Okaeme

Director, Risk and Capital

ISDA

@isdaconferences

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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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