Initial Margin
of Non-Cleared Derivatives

Pricing, risk management, operational and regulatory Implications

The world of OTC derivatives is going to change dramatically after the introduction of mandatory Initial Margining for non-cleared derivatives in September 2016. Collateral management is going to become increasingly important and the cost of trading is going to increase dramatically. In this course Ignacio introduces the new upcoming regulations and reviews its implications from a pricing, risk management, operational and regulatory perspectives. Those attending the course will be able to see the different options that institutions have with the implications, opportunities and challenges each bring along. This will include Initial Margin calculations, both Scheduled and Model based, impact in collateral optimisation, operational changes, dynamic simulations of SIMM, MVA vs. CVA, DVA, FVA and KVA, key challenges for model regulatory approval and the demands this new world will bring to systems and data.

Duration: One day (9.00am to 5.00pm)
Location: The Tower Hotel – London E1, UK
Trainer: Ignacio Ruiz
Course fee: £895 + VAT – Register online

Course Outline

The new margining rules

+ Overview of the new margining rules: the 8 principles
+ Variation and Initial margin rules
+ The scheduled vs. the Model-based method
+ Deadlines and other important facts

Operational Implications

+ Optimising collateral management
+ Changes needed for optimal margining
+ Dispute management
+ Do and don'ts

The New Economics of Trading

+ The added cost of trading: MVA
+ Comparing old vs. new economics of trading: MVA vs. CVA, DVA, FVA and KVA
+ Quantitative examples: MVA of swaps and options
+ Bilateral vs. CCP trading in the new regulation
+ New trading incentives, new opportunities

Initial Margin Modelling

+ Details of the Scheduled Initial Margin
+ Details of the Model-based Quantitative Initial Margin
+ The Standard Initial Margin Model (SIMM)
+ Regulatory model approval

SIMM simulation

+ SIMM calibration
+ Dynamic SIMM simulation: MVA of SIMM
+ Methods and technology challenges

Systems and Data

+ Impact in systems and data
+ The need for prompt calculations
+ The Technology challenge