6th–7

th October 2016

London, UK

CCP Clearing, Risk Management, Recovery and Resolution (EU)

Your Expert Trainers Jon Gregory, Senior Advisor, Solum Financial Derivatives Advisory Matthew Glass, Vice President EMEA Regulatory Submissions, JP Morgan Asset Management Sol Steinberg, Founder, OTC Partners New York Bipin Patel, Consultant, Quantworks Limited Rodrigo Zepeda, Co-Founder, Storm-7 Consulting LTD The Conference Programme

This new and unique two day conference will provide delegates with a comprehensive understanding of central counterparty (CCP) clearing models and operational frameworks in the European Union (EU). Delegates will receive in depth instruction on the EU CCP regulatory framework governed by the European Securities and Markets Authority (ESMA) and the European Market Infrastructure Regulation (EMIR). Delegates will be able to practically compare a range of key issues affecting CCP offerings in the EU. The course will also provide deep coverage of margining practices, clearing models and agreements, operational risks, and risk management frameworks affecting CCPs. Finally, delegates will be guided through the intricacies of effective CCP Recovery and Resolution Plans, and CCP Default Management, Recovery and Continuity Frameworks.

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The rise in the CCP clearing model in the EU has precipitated an urgent need for market participants to comprehensively understand the complexities of CCP regulatoryand risk frameworks, margining practices, clearing agreements, and recovery and resolution plans.

The Conference Programme

Day 1: Sessions Day 2: Workshops

SESSION 1: The Central Counterparty (CCP) Clearing Model

• An Overview of the CCP Clearing Model (Functional Definition; CCP Ownership; CCP Advantages and Disadvantages; Novation; Cleared Products; Margining; Multilateral Netting; Risk and Default; Loss Mutualisation; Auctions; Portability). • CCP Regulation v. 'Too Big To Fail'. • Case Study: LCH.ClearnetSwapclear .

SESSION 2: The EU CCP Regulatory Framework

• ESMA and CCP authorisation, recognition and supervision in the EU. • CCP operating, clearing and reporting obligations under the EMIR framework. • CCP Cleared Products, Reporting, Interoperability, Third Country CCPs. • Basel III capital treatment/risk weightings for Qualifying and Non-Qualifying CCPs.

SESSION 3: CCP Clearing Models and Agreements (Direct and Indirect)

• CCP and Client Clearing Documentation and common negotiated provisions (Margin, Termination Events, Pre-Default Porting). • Customer clearing under modified Master Agreements. • An Overview of ISDA® Clearing Agreements and Addendums (EU ISDA/FIA Cleared Derivatives Execution Agreement + Addendum).

SESSION 4: Designing Effective CCP Default Management, Recovery and Continuity Frameworks

• The 2012 CPMI-IOSCO Principles for Financial Market Infrastructure. • The ISDA® Principles for CCP Recovery and CCP Default Management, Recovery and Continuity. • Developing new Total Loss Absorbing Capacity (TLAC) or bail-

inable debt standards for CCPs. • Developing Standardised Regulatory Stress Testing and Disclosure.

WORKSHOP 1: CCP Operational Risks

• Default risks (CCP Member default, Distress, or Resignations; Failed Auctions, Reputational). • Non-default loss events (Fraud, Operational risk, Investment Risk, Legal risk, Model risk, Liquidity risk).

WORKSHOP 2: CCP Risk Management Frameworks

• Membership Requirements, Transparency, Margin Methodology, Stress Testing, Risk Policy Issues, MiFID II Open Access. • Mutualised Default Funds, Default Waterfall, Default Fund Margin, Skin in the Game, and Rights of Assessment. • Recovery Tools (Default and Non-Default Losses).

WORKSHOP 3: CCP Margining Practices

• CCP Margining Risks, Initial and Variation Margin, Interest Rates, Haircuts and Cross-Margining. • CCP Margin Methodologies. • Margin Segregation (omnibus, individual, legal segregation with operational commingling (LSOC)) and

Re-hypothecation. • EU two-day net margin v. U.S. one-day gross margin.

WORKSHOP 4: CCP Recovery and Resolutions Plans

• Resilience Incentives, Initial and Variation Margin Haircuts. • CCP Points of Non-Viability, Emergency Liquidity Arrangements, Auction Participation, Continuity of Service. • CCP Resolution Powers, Loss Allocation Arrangements, and CCP Default Management Process. • Cross-Border Cooperation and Coordination with Regulatory Authorities.

Conference Expert Trainer Biographies

Jon Gregory is an independent expert in the area of counterparty credit risk and xVA related projects.

He has worked on many aspects of credit risk in his career, being previously with Barclays Capital, BNP Paribas and Citigroup. Jon is the author of several books and articles, including "Basket Default Swaps, CDOs and Factor Copulas", 2005 Journal of Risk, Vol. 7, No. 4, pp. 103-122 (with J-P Laurent), “Closing out DVA”, 2013, Risk, January, pp. 74-78, “Central Counterparties: Mandatory Central Clearing and Bilateral Margin Requirements for OTC Derivatives” (2014, Wiley), “Counterparty Credit Risk, the new challenge for global financial markets” (2009, Wiley) which is now in its third edition, and “Credit Derivatives: The Definitive Guide” (2003, Risk). Jon is Senior Advisor at Solum Financial Derivatives Advisory, and is a faculty member at London Financial Studies and also for the Certificate of Quantitative Finance (CQF).He holds a BSc from the University of Bristol and a PhD from Cambridge University.

Matthew Glass has over 30 years of professional expertise acquired across the financial services

industry. He is a Fellow (FCSI) of the Chartered Institute for Securities and Investments (CISI) and is a committee member (ex-Chairman) of the CISI Operations Forum. Previous roles include Corporate Actions Clerk at Sheppards & Chase (1983-1985) and at Schaverien & Co. Stockbrokers (1985-1987). He was Senior Manager Corporate Actions (1987-1992), Regional Head of Corporate Actions (1992-1995), and Head of Operations (1995-2010) at Kleinwort Benson Private Bank. In his role of Head of Operations, Technology and Client Service at CME Group, CME Clearing Europe (2010-2015), he led the operational build out of a start up European Derivatives Clearing House under European regulation, and recruited a new team to operate BAU derivatives clearing. Matthew headed the Clearing House transaction reporting solution, was Lead Onboarder for Clearing Member and client onboarding, led regulatory projects for operational aspects (EMIR re-authorisation, MiFID, etc.), and was Operational Liaison with the Chief Operations Officer for the national regulator, the Bank of England.

Sol Steinberg is an expert consultant specializing in OTC derivatives markets, including practices

relating to regulation, risk management, market structure, collateral, valuation, and financial technology systems. Sol is the founding partner of his firm 'OTC Partners', which is a boutique value add firm based in New York that specialises in research, content, and business development. OTC Partners has developed a number of leading research reports covering global capital markets, has advised central banks on market dynamics in Singapore, Chile, Peru, Mexico, and Colombia , as well as helping to spearhead the evolution of Chinese OTC derivatives markets in Beijing, Jinan, Quango, and Shenzhen. Sol's extensive professional experience encompasses a senior executive position at LCH.Clearnet and nearly a decade of OTC derivatives product development, risk management, and valuation for Citi. Sol has successfully commercialised data and analytics tools (e.g. SMART tool, Risk Explorer, Global Market Risk, CCP2) and has gained a number of prestigious globally recognised industry awards in the process.

Bipin Patel is an expert consultant at Quantworks Limited, which provides advisory services in the

areas of central clearing, quantitative risk, optimisation of margin, collateral, and capital, as well as the management, governance and regulation of risk within the investment banking and hedge fund sectors. Bipin has amassed over 26 years of professional experience in the financial sector, and aims to assist firms to assess and exploit opportunities in the areas of risk quantification, management, and analytics, by helping firms deal with new financial infrastructure, regulatory, and capital requirements. At LCH.Clearnet (2012-2015) he was the Head of Business Risk, SwapClear – Listed Rates, Head of Business Risk, Exchanges, and Senior Manager, Member Capital Analytics and Quantitative Risk ForexClear. At Barclays (2011-2012) he was Vice President, Global Markets – Prime Services Risk. At Rule Financial (2009-2011), he was Principal Consultant – Derivatives and Risk Analytics, Principal Consultant, and Risk Analyst. He has an M.Sc. in Theoretical Physics from the University of Pennsylvania, and is CQF and CFA (Level II) qualified.

Rodrigo Zepeda is an expert consultant who specialises in derivatives and financial services law,

regulation, and compliance. He holds a LLM Masters degree in International and Comparative Business Law, has been an Associate of the Chartered Institute for Securities & Investment since 2004, and has passed the New York Bar Examination. He is a Reviewer for the Journal of Financial Regulation and Compliance and has also published widely in leading industry journals such as the Capco Institute's Journal of Financial Transformation, the Journal of International Banking Law and Regulation, as well as e-books on derivatives law. Noted publications include "Optimizing Risk Allocation for CCPs under the European Market Infrastructure Regulation"; "The ISDA Master Agreement 2012: A Missed Opportunity"; "The ISDA Master Agreement: The Derivatives Risk Management Tool of the 21st Century?"; and "To EU, or not to EU: that is the AIFMD question".

Course Suitable for

Analysts

Central Bank Personnel

Collateral Management Function

Compliance Officers and Managers

Credit and Legal Professionals

Dealers

Fund Managers

Heads of Compliance

Heads of Operations

Heads of Risk

In-House Legal Counsel

ISDA Negotiators

OTC Derivatives Documentation Managers

OTC Derivatives End-Users

Risk Officers and Managers

Treasury Function

Key Benefits

Advanced knowledge and understanding of key CCP operational areas (EU regulatory framework, clearing models, agreements, margining practices, operational risks, recovery and resolution plans)

Extensive Pre-Conference Questionnaire to identify delegate's key course objectives

Lenovo 8" Yoga Tablet pre-loaded with Conference presentations and documentation to take-away

Comprehensive Conference documentation

Post-Conference Expert Trainer follow-up to guarantee all key course objectives have been met

© Copyright 2016, Storm-7 Consulting Limited

Disclaimer

ISDA® is a registered trademark of the International Swaps and Derivatives Association, Inc., and Storm-7 Consulting Limited is neither sponsored by nor affiliated with the International Swaps and Derivatives Association, Inc. (ISDA), and the public is hereby informed that Storm-7 Consulting Limited holds no commercial, private, or other relationship with ISDA.

Conference Venue

Mondrian London at Sea Containers

20 Upper Ground, London, SE1 9PD Agua Bathhouse and Spa

Conference Special Offers "Stay 3 Pay 2"

To Register

Contact: Storm-7 Sales Team

Telephone: UK +44(0)20 7846 0076

Email: sales@storm-7.com

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