ISDA SIMM™ Workshop

ISDA SIMMに関するワークショップ

Tuesday, July 24, 2018
Fukuracia Marunouchi OAZO | フクラシア丸の内オアゾ
Tokyo

Member $250 U.S.

Non-Member $300 U.S.

Register for ISDA SIMM™ Workshop

Note: This workshop will be conducted in Japanese. | こちらのワークショップは日本語にて行われます。

 

Over the next couple of years, an increasing number of firms will phase into regulatory initial margin (IM) requirements based on the framework established in Margin Requirements for Non-Cleared Derivatives (BCBS 317), requiring them to select and implement a model to calculate IM.  Due to the inherent benefits of adopting an industry-standard model, ISDA developed the ISDA Standard Initial Margin Model (SIMM), which is in use globally for the calculation of regulatory IM.  This course is designed to provide a basic understanding of SIMM, the regulatory requirements for calculating IM, and the practicalities of implementing and using SIMM.

 

2020年に向けて、多くの市場参加者が『中央清算されないデリバティブ取引に係る証拠金規制』、いわゆるマージン規制における当初証拠金(IM)規制の対象となることが予想され、対象者はIMの計算モデルを検討する必要があります。相互に授受が必要なIMの所要額の計算を行うための業界共通のモデル策定のニーズに応じるため、ISDAではISDA Standard Initial Margin Model (SIMM)を開発し、現在IMの計算モデルとしてグローバルで利用されております。本ワークショップでは、SIMMを基本的にご理解いただくためのセッションの他、IMの規制要件、また、SIMM導入に向けた実務的観点からの検討事項等について説明を行います。

 

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Tuesday, July 24, 2018

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12:30 PM Registration and Welcome Coffee | 受付

1:15 PM Introduction and Opening Remarks | 開会の挨拶 Tomoko Morita

Tomoko Morita, Senior Director and Head of Tokyo Office, ISDA

1:20 PM Initial Margin Requirements for Non-cleared Derivatives | 非清算集中取引の当初証拠金(IM)規制 Keita Nishio

  • BCBS 317 – Objectives of Initial Margin Requirements
  • Requirements of Initial Margin (with specific focus on JFSA Rules)

 

  • BCBS 317- IM規制の趣旨
  • IMに関する規制要件
Keita Nishio, Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau, Financial Services Agency (FSA), Japan

1:45 PM SIMM Principles, Methodology and Resources | ISDA SIMMの原則、メソドロジーとリソース Shunsuke Kashiwabara

  • SIMM Principles
  • Brief description of the SIMM Methodology
  • SIMM Resources to support implementation
  • How SIMM meets these Requirements

 

  • SIMMの原則
  • SIMMのメソドロジー(概要)
  • SIMMの導入を援助するためのリソース
  • ISDA SIMMと規制上の要件との関係
Shunsuke Kashiwabara, Executive Director, Group Risk Management Department, Nomura Holdings, Inc.

2:30 PM ISDA SIMM Implementation – Things to Consider | ISDA SIMMの導入に向けた検討事項 Hideyuki Kudo

  • Data Preparation:
    • Trade Scope
    • Trade Sensitivities – Risk Engine and Feeds
    • Onboarding to the Crowdsourcing Utility
    • Legal Data – CSA input
  • Building SIMM:
    • Development, testing and governance
    • Vendor solutions
    • SIMM License Agreement
  • Operational Flows: from calculation to settlement

 

  • データの準備
    • 取引の範囲
    • 取引の感応度-リスク・エンジンとフィード
    • クラウド・ソーシング・ユーティリティの利用プロセス
    • 契約データ-CSAデータの入力
  • SIMMの生成
    • 構築、テスト、ガバナンス
    • ベンダーを利用したソリューション
    • SIMMのライセンス契約
  • オペレーションの流れ:計算から決済まで
Hideyuki Kudo, Director, Markets & Products Business Administration Dept., Mizuho Securities Co., Ltd.

3:15 PM Afternoon Break | 休憩

3:30 PM Reconciling Initial Margin Differences | IM所要額のリコンサイル(照合) Shinichiro Itozaki

  • Agreeing IM method in Collateral Agreements
  • Sources of IM differences
  • Approach to reconciling IM differences
  • Reporting Reconciliation Issues

 

  • 担保契約書におけるIM計算方法に関する合意
  • IM所要額の差異の原因
  • IM所要額の差異の解消方法
  • 照合に関する問題の報告
Shinichiro Itozaki, Senior Manager, Quants Research & Advanced Solutions Development Dept., Financial Engineering Div., Global Markets Business Unit, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

3:50 PM ISDA SIMM Annual Cycle / Regulatory Preparation and Engagement | ISDA SIMM の年周期 / 規制対応のための準備と取組み Shinichiro Itozaki, Tomo Kodama

  • SIMM Monitoring:
    • Evidenced-based approach to SIMM Change Review
    • Quarterly Monitoring
  • SIMM Calibration
  • SIMM Backtesting and Benchmarking
  • ISDA/Industry Level Engagement
  • Firm Level Engagement:
    • Requirement for Internal Governance and Monitoring processes
    • Bilateral testing and Reconciliation

 

  • SIMMモニタリング
    • 実データに基づく(evidenced-based)SIMM変更のレビュー
    • 四半期毎のモニタリング
  • SIMMのキャリブレーション
  • SIMMのバックテスティングと評価
  • ISDA/業界レベルでの取組み
  • 個社レベルでの取組み
    • 内部ガバナンスとモニタリングに関する要件
    • 当事者間でのテストとリコンサイル
Shinichiro Itozaki, Senior Manager, Quants Research & Advanced Solutions Development Dept., Financial Engineering Div., Global Markets Business Unit, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.
Tomo Kodama, Managing Director, Counterparty Portfolio Management, Bank of America Merrill Lynch

4:30 PM Panel Discussion and Q&A | パネルディスカッションと質疑応答 Moderator: Tomoko Morita, Shinichiro Itozaki, Shunsuke Kashiwabara, Tomo Kodama, Hideyuki Kudo, Keita Nishio

Moderator: Tomoko Morita, Senior Director and Head of Tokyo Office, ISDA
Shinichiro Itozaki, Senior Manager, Quants Research & Advanced Solutions Development Dept., Financial Engineering Div., Global Markets Business Unit, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.
Shunsuke Kashiwabara, Executive Director, Group Risk Management Department, Nomura Holdings, Inc.
Tomo Kodama, Managing Director, Counterparty Portfolio Management, Bank of America Merrill Lynch
Hideyuki Kudo, Director, Markets & Products Business Administration Dept., Mizuho Securities Co., Ltd.
Keita Nishio, Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau, Financial Services Agency (FSA), Japan

5:10 PM Workshop Concludes | 閉会

Register Now for ISDA SIMM™ Workshop
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Fukuracia Marunouchi OAZO, Marunouchi Kitaguchi Bldg. (OAZO), 16th Floor, 1-6-5, Marunouchi, Chiyoda-ku, Tokyo

フクラシア丸の内オアゾ、東京都千代田区丸の内1-6-5、丸の内北口ビル16階

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Shinichiro Itozaki

Senior Manager, Quants Research & Advanced Solutions Development Dept., Financial Engineering Div., Global Markets Business Unit

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Shunsuke Kashiwabara

Executive Director, Group Risk Management Department

Nomura Holdings, Inc.

Tomo Kodama

Managing Director, Counterparty Portfolio Management

Bank of America Merrill Lynch

Hideyuki Kudo

Director, Markets & Products Business Administration Dept.

Mizuho Securities Co., Ltd.

Tomoko Morita

Senior Director and Head of Tokyo Office

ISDA

Keita Nishio

Chief Analyst, Prudential Standards Office, General Coordination Division, Supervisory Bureau

Financial Services Agency (FSA), Japan

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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 prior to the event.

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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