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Bilateral Margin Requirements and ISDA SIMM – The Impact of Mandatory Margining and Central Clearing – New York
April 30 - May 1
Current regulation requires that OTC derivative markets implement bilateral margin rules. These rules are being phased-in with the aim of reducing systemic risk and promoting central clearing. This, along with related implications, is creating significant changes in the nature of collateralization both in terms of variation margin and initial margin – with the latter, in particular, being very complex to model in terms of costs and risk mitigation benefit.
In this course we will explore in detail the mechanics of bilateral margin rules for OTC derivatives and assess future scenarios along with their opportunities and risks. The program also covers initial margin methodologies – especially the ISDA Standard Initial Margin Model (SIMM) – and the links to central clearing. Aspects such as segregation and required CSA changes, and the growing use of MVA (Margin Value Adjustment) are also explored.
The program is suitable for both banks and end-users of OTC derivatives.
Participants will be able to take away all worked examples, as well as additional exercises and models implemented using Excel functions and macros. They will also receive a copy of Dr Jon Gregory's book "Central Counterparties: Mandatory Clearing and Bilateral Margin Requirements for OTC Derivatives", published by Wiley Finance.