Understanding Variation Margin Regulations and the 2016 ISDA Variation Margin Credit Support Documents

Thursday, September 26, 2019
London

Member US$850.00

Non-Member US$975.00

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Educational Credits

5.25 CPD Credit Hours Available (England and Wales)

6.5 CLE Credit Hours Available (New York)
Transitional and Nontransitional

Print Agenda Understanding Variation Margin Regulations and the 2016 ISDA Variation Margin Credit Support Documents for

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks Graham Bryant

Graham Bryant, Counsel, ISDA

9:00 AM Regulatory Variation Margin requirements for non-cleared derivatives Hannah Patterson, Tamsin Rolls

This session will explain the Variation Margin (VM) requirements in the EU and other key jurisdictions implementing the international WGMR framework. The session will look at:

  • Which entities are subject to the requirements?
  • Which trades are subject to the requirements?
  • What are the VM Regulations?
  • Cross-Border implications and key similarities/differences with rules in other jurisdictions
  • Impact on CSA documentation
Hannah Patterson, Managing Associate, Linklaters LLP
Tamsin Rolls, Executive Director and Assistant General Counsel, JP Morgan

10:40 AM Morning Break

11:00 AM Understanding the ISDA English Law Variation Margin CSA Richard Blackburn, Emma Dwyer

This session will discuss the 2016 Credit Support Annex for Variation Margin. The two new forms published in 2016 allow parties to establish Variation Margin and Initial Margin arrangements that meet the requirements of new regulations on margin for uncleared swaps. This session will look at:

  • 1995 CSA
  • The Transferor & Transferee. How can this party change over time?
  • Scope of Covered Transactions under CSA
  • Credit Support Obligations: the Delivery Amount and Return Amount
  • Eligible Collateral and Valuation Percentages
  • Minimum Transfer Amounts
  • Value of Collateral
  • Adding an Independent Amount, using the Independent Amount (IA) Provisions
  • Transfer Timing: when must a party deliver or return collateral – what changes can they make?
  • Valuation Time and Valuation Date
  • Valuation Agent
  • Notification Time
  • Dispute Resolution
Richard Blackburn, Counsel, Norton Rose Fulbright LLP
Emma Dwyer, Partner, Allen & Overy LLP

12:15 PM Luncheon

1:15 PM Understanding the ISDA English Law Variation Margin CSA (Continued) Emma Patient, Doug Shaw

  • Exchanges
  • Distributions and Interest Amounts
  • Enforcement following Event of Default
  • Credit Support Offsets
  • Legally ineligible Credit Support Provision
  • Ratings Ladders
  • Valuation Agent
  • Terms for non-netting counterparties
  • Other Provisions
Emma Patient, Senior Legal Counsel, HSBC Bank plc
Doug Shaw, Counsel, Linklaters LLP

2:15 PM Collateral Arrangements under New York Law in comparison to English Law Arrangements Chris Arnold

This session will discuss the 2016 Credit Support Annex for Variation Margin governed by New York Law.

Chris Arnold, Partner, Mayer Brown International LLP

3:00 PM Afternoon Break

3:15 PM Update on Developments in International Law regarding Collateral and Derivatives and ISDA Collateral Opinions Annabel Akintomide, Victoria Wells

This session will provide an overview of:

  • ISDA’s Collateral Opinions; and
  • Tools available to assist with collateral reviews.
Annabel Akintomide, Counsel, ISDA
Victoria Wells, Head of Derivatives Products, aosphere LLP

4:00 PM Conference Concludes

Agenda is subject to change.


Venue Location:

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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