Page 12 - MONECO Financial Training Catalogue
P. 12

        DATES: October 12 – 13, 2020 • PRICES: € 1,295 In-class, € 648 Online • LOCATION: Prague, NH Hotel Prague and Online

        Objective is for participants to gain an appreciation and understanding of the following topics:
        •   CCP margin frameworks                 An overview of the evolution of OTC Central Clearing, regulatory initiatives, and
        •   The default management process        the implications for the risk landscape
        •   The loss allocation waterfall         This course is intended to provide an appreciation of central counterparty clearing
        •   Key issues including: direct clearing,   particularly in relation to the clearing of OTC derivatives. Particular focus will be given to
                                                  regulatory initiatives to develop the use of CCPs for OTC derivatives clearing following
         indirect client clearing, portability,   the fi nancial crisis of 2007/8, the risk mitigation mechanisms developed by CCPs in
         segregation                              response to the regulatory challenge, in particular: the margin requirements; auction
        •   Other related counterparty risk mitigation   processes; loss allocation methods and of course capital requirements.
         tools and their limitations              The course will also look at the evolution of central clearing and the impact on risk that
        •   Systemic risk and extreme tail risk   CCPs may have in future crises, both positive and negative, particularly in relation to
                                                  counterparty credit risk, XVAs and systemic risk.
        •   Can a CCP fail? Some historical examples  The course is intended particularly for risk managers, traders, regulators and anyone
        •   Stress Testing a CCP and a recovery and   involved with clearing systems.
         resolution plan
        •   The risk transformations CCPs generate   Key Benefi ts Include:
                                                  • Strictly limited numbers on a fi rst come, fi rst accepted basis
         and implications for XVA                 • Practical exercises to support the sessions
        •   Capital requirements for exposures to CCPs  • Receive an electronic copy of the trainer’s presentation prior to the course
        •   The background and evolution of central   Quote:
         counterparty (CCP) clearing              How to manage exposure to CCPs is amongst the biggest unknowns in today’s fi nancial
        MONDAY, OCTOBER 12                 Loss Allocation                        –  Trade Compression
        09 – 09 10                         •  The CCP waterfall and the “defaulter      –  Margining/default Funds
         Welcome                            pays principle”                       –  Standards for clearing members
        09 –12 30                          •  Loss allocation methods             –  Legal certainty
         Introduction                        –  Powers of Assessment              –  Default Management Procedure
         •  What is Central Clearing         –  Default Fund tranches
         •  How does a CCP Work?             –  Variation Margin Gains Haircutting   xVA
         •  Direct clearing, client clearing and      –  Trade tear-up          •  CVA: Credit Valuation Adjustments
          indirect clearing                  –  Forced Allocation               •  DVA: Debit Valuation Adjustments
         •  Margining                        –  IM haircutting, novation to other CCPs,    •  BCVA: Bilateral CVA
         •  Default management process       reversion to bilateral trades,     •  FVA: Funding Valuation Adjustments
         •  Loss mutualisation               CCP wind-up                        •  MVA: Margin Valuation Adjustments
         •  Regulatory response to the 2008                                     •  KVA: Capital Valuation Adjustments
          Financial Crisis                 Client Clearing                      •  ColVA
                                           •  The client clearing models – clearer or
         A closer look at Margining         client?                            12 –13 30
         •  Variation Margin               •  Portability                       Lunch
           –  Obtaining prices for OTC products   •  Segregation of collateral – Omnibus or   13 –17 00
         •  Initial Margin                  ISA accounts – LSOC and EMIR         Capital Requirements for exposures
           –  SPAN                                                             to a CCP
           –  VaR and Expected Shortfall  TUESDAY, OCTOBER 13                   •  Earlier regulatory proposals
           –  Stressed Loss Add-Ons       09 –12 30                             •  BCBS 282
           –  SIMM                         Can a CCP fail?                        –  Trade exposures
         •  LCH, CME and EUREX             •  Some historical examples – including      –  Default fund contribution capital
         •  CDS clearing at ICE             Nasdaq’s Nordic power market          requirements
         •  Segregation of collateral      •  Extreme tail risk and systemic risk   •  CCP Basis Risk
                                           •  Stress Testing a CCP              •  Calculating EAD for regulatory capital
        12 –13 30                          •  Recovery and Resolution of a CCP     –  CEM
         Lunch                             •  Risk Transformation, the effects a CCP      –  Standardised Approach for
        13 –17 00                           has on the risk landscape             Counterparty Credit Risk (SA-CCR)
          A closer look at The Default     •  Findings from CPMI/FSB/IOSCO/BCBS/     –  IMM
         Management Process                 ESMA/ISDA
         •  Declaring a default                                                 CCP Basis Risk
         •  Macro Hedging                  LCH
         •  The Auction Process            •  Evolution                         Evolution of Clearing
         •  Client Portability             •  Conundrums                        •  Early trading and clearing platforms
                                           •  SwapAgent                         •  Complete and incomplete clearing
         A closer look at Default Funds                                         •  The ETD and OTC derivative markets
         •  Sizing the default fund        Overview of Counterparty Risk        •  The 2008 crisis
         •  Allocating the default fund to clearing    •  The nature of Counterparty risk   •  Political and regulatory responses,
          members                          •  Mitigation methods                IOSCO and the G20Clearing Mandate,
         •  Default Fund versus margining   •  How does a CCP help?             Dodd Frank, EMIR, OTC regulation,
                                             –  Netting                         Basel III, IFRS13

               12                          Now also available as an online seminar
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