Understanding Variation Margin Regulations and the 2016 ISDA Credit Support Annex For Variation Margin (VM)

(Security Interest - New York Law)

Thursday, February 1, 2018
New York

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Thursday, February 1, 2018

8:15 AM Registration and Continental Breakfast

9:00 AM Introduction and Welcoming Remarks Frederick O. Quenzer

Frederick O. Quenzer, Counsel, ISDA

9:15 AM Regulatory Variation Margin Requirements for Swaps and Security-Based Swaps Deborah North, Jeffrey L. Robins, Eleanor Webb

This session will explain the variation margin (VM) requirements in the US and other key jurisdictions implementing the international WGMR framework:

  • Which entities are subject to the requirements?
  • Which trades are subject to the requirements?
  • What are the VM requirements?
  • Cross-border implications and key similarities/differences with rules in other jurisdictions
  • Impact on CSA documentation
Deborah North, Partner, Allen & Overy LLP
Jeffrey L. Robins, Partner, Cadwalader, Wickersham & Taft LLP
Eleanor Webb, Executive Director, Morgan Stanley

10:45 AM Morning Break

11:00 AM Understanding the 2016 ISDA Credit Support Annex For Variation Margin (VM) (Security Interest – New York Law) Ian Cuillerier, Frances T. Han, Miki Navazio

The ISDA VM Credit Support Annex under New York law forms part of the Schedule of the ISDA Master Agreement. It is designed to document security arrangements involving the use of collateral to secure the risk either or both parties may have under the ISDA Master Agreement to which the ISDA VM Credit Support Annex relates, incompliance with applicable VM regulations. This session will examine critical provisions in the ISDA Credit Support Annex under New York law, including:

  • The Secured Party and the Pledgor – How can this party change over time?
  • Scope of Covered Transactions under CSA
  • Credit Support Obligations: The Delivery Amount and Return Amount
  • Adding an Independent Amount (IA) and using the Independent Amount provisions
  • Transfer Timing: When must a party deliver or return collateral?
  • The Valuation Agent and Dispute Resolution
  • Substitutions
  • Holding and use of Posted Collateral
  • Distributions and Interest Amounts
  • Events of Default
  • Rights and Remedies
  • Legally Ineligible Credit Support provisions
  • Credit Support Offsets
Ian Cuillerier, Partner, White & Case LLP
Frances T. Han, Senior Counsel, The Vanguard Group, Inc
Miki Navazio, Partner, Sidley Austin LLP

1:00 PM Luncheon

2:00 PM Negotiating Paragraph 13 to the 2016 ISDA Credit Support Annex For Variation Margin (VM) (Security Interest – New York Law) Sarah Ashkenazi, Ilene K. Froom, Tess Weil

This session will examine terms specified and added to Paragraph 13, including:

  • Eligible Collateral and Valuation Percentages
  • Covered Transactions
  • Independent Amount
  • Minimum Transfer Amounts
  • Ratings Ladders
  • Valuation Time and Valuation Date
  • Valuation Agent
  • Specified Conditions
  • Notification Time
  • Transfer Timing – What changes can market participants make?
  • Resolution Time
  • Value of Collateral
Sarah Ashkenazi, Director & Assistant General Counsel, Bank of America Merrill Lynch
Ilene K. Froom, Partner, Reed Smith LLP
Tess Weil, Partner, Purrington Moody Weil LLP

3:00 PM Afternoon Break

3:15 PM Negotiating Paragraph 13 to the 2016 ISDA Credit Support Annex For Variation Margin (VM) (Security Interest – New York Law) (continued)

  • Using Posted Collateral
  • Custodians
  • The Interest Rate and timing of Interest Payments
  • Interest Adjustment
  • Negative Interest
  • Distributions
  • Credit Support Offsets
  • Events of Default
  • Rights and Remedies
  • Terms for non-netting counterparties
  • Other provisions

4:00 PM Voluntary Segregation of Independent Amounts and the ISDA 2013 Account Control Agreement Sandra M. Rocks, Thomas Salatte

This session will examine the regulatory requirements under the Dodd-Frank Act, which gives OTC derivatives customers the right to require segregation of initial margin with a third-party custodian, as well as the reasons why a party may want to segregate Independent Amounts. (Note: this session will only address voluntary segregation of Independent Amounts, not requirements to segregate regulatory Initial Margin.)

  • Review of critical areas of the ISDA Credit Support Annex (CSA) under New York law that require amendments when Independent Amounts are segregated, as set forth in the Form of Amendment to the 1994 ISDA Credit Support Annex subject to New York Law published on December 6, 2011.
  • Review of the critical provisions and structure of the ISDA 2013 Account Control Agreement - a template tri-party account control agreement intended to facilitate market participant negotiation of contractual arrangements that provide for the segregation of Independent Amounts posted under an ISDA Master Agreement with a third-party custodian (including the Form Secured Party Notice of Exclusive Control and the Form of Pledgor Access Notice).
Sandra M. Rocks, Counsel, Cleary Gottlieb Steen & Hamilton LLP
Thomas Salatte, Managing Director, Nomura Securities

4:45 PM Conference Concludes

Register Now for Understanding Variation Margin Regulations and the 2016 ISDA Credit Support Annex For Variation Margin (VM)
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ISDA Conference Center, 10 East 53rd Street (entrance on 52nd and 53rd Street), 8th Floor, New York, NY 10022, Phone: +1 (212) 901-6000. Please find a map to the venue here.

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Frederick O. Quenzer

Counsel

ISDA

Deborah North

Partner

Allen & Overy LLP

Jeffrey L. Robins

Partner

Cadwalader, Wickersham & Taft LLP

Eleanor Webb

Executive Director

Morgan Stanley

Ian Cuillerier

Partner

White & Case LLP

Frances T. Han

Senior Counsel

The Vanguard Group, Inc

Miki Navazio

Partner

Sidley Austin LLP

Sarah Ashkenazi

Director & Assistant General Counsel

Bank of America Merrill Lynch

Ilene K. Froom

Partner

Reed Smith LLP

Tess Weil

Partner

Purrington Moody Weil LLP

Sandra M. Rocks

Counsel

Cleary Gottlieb Steen & Hamilton LLP

Thomas Salatte

Managing Director

Nomura Securities

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Intermediate

Some knowledge of derivatives documentation 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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