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Initial Margin and Funding

Optimise balance sheet use, risk management and modelling for initial margin

27-28 June 2016
Marriot West India Quay, London, United Kingdom

Conference Workshop

OTC Margining and the True Cost of Clearing

This workshop will enable participants to learn about margining and CCP processes: Giving participants a comprehensive insight into CCP and margin methodologies and evaluating the future of margin calculation

Workshop Moderator: Gary Wong, Partner

Company: Global Valuation Ltd

Why You Should Attend

Initial Margin and Funding

With uncleared trades becoming subject to new rules on initial margin and cleared trades being increasingly driven through CCPs, this conference will address initial margin modelling, looking at both banks and CCPs respectively. This will include evaluating multicurve discounting and curve generation for both cleared and bilateral trades. Alongside this, disputes between counterparties will be assessed, with practical examples of dispute resolution methodologies being offered by leading industry practioners. The cost of funding and the differentiation between different clearing houses is also a matter of growing importance following a larger basis spread being employed than was previously thought. This event will examine margin costs across different CCPs, whilst looking at how to mitigate costs and effectively hedge your position in line with your collateral optimisation strategy. This conference will also offer a comprehensive review of the various regulations that are impacting margin; such as the bilateral margin requirements coming into force in September 2016 and the LCR/NSFR regulations. Finally, this event will offer an insight into MVA, and the future of derivative pricing and FVA.

Key Topics

  • Discover the latest margin models being used by banks and CCPs and how these will work in practice, including in situations when there are disputes
  • Gain practical examples of how to optimise margin usage based on behavior across different products and different CCPs
  • Hear the latest regulatory changes surrounding margin, including September’s new requirements for bilateral margining
  • Understand how developments around MVA are impacting margin management
  • Previous Attendees Include

    • BNP Paribas
    • BNY Mellon
    • Commerzbank AG
    • Credit Suisse
    • D2 Legal Technology LLP
    • Danske Bank
    • DEKA Bank
    • DZ Bank
    • Eu Commission
    • Euroclear Bank
    • Goldman Sachs
    • HSBC
    • Lloyds Banking Group
    • Mitsubishi UFJ Securities International
    • Nomura
    • Nordea
    • Raiffeisen
    • Santander Global Banking & Markets
    • SEB
    • Societe Generale
    • UBS AG
    • and many more...

    Why Choose marcus evans?

    marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.

    Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.

    Practical Insights From

    Chris Kenyon
    Director of Quant Research
    Lloyds Banking Group

    Faisal Yousaf
    Global Head of Quantitative Risk and Valuation Group
    HSBC Investment Bank

    Fabrizio Anfuso
    Head of Collateral Exposure modelling
    Credit Suisse

    Moises Gerstein
    Director CVA and FVA Trading Desk

    Moez Mrad
    Head of Credit and XVA Quantitative Research
    Credit Agricole

    Bilgehan Aydin
    Head of Collateral Solutions

    Arthur Rabatin
    Head of Counterparty Credit and Funding Risk
    Deutsche Bank

    Stewart Quinn
    Executive Director bilateral Margin Reform

    Click Here For Full Agenda

    Voice of Our Customers
    • “Very interesting discussions and presentations. The big turnout from different industry players us definitely an asset as it allows you to benchmark yourself with your peers.” KBC
    • “I find Marcus Evans conferences to be the most useful I have attended so it was well worth the effort” Santander
    • “Always good events with very interesting speakers, also a very good networking opportunity” Bank of Ireland
    • “Ability to source very good speakers, lots of credibility, good structure of the program, good mix of lecture style and Interactive sessions and case studies” HSBC
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Constandinos Vinall

    marcus evans (Europe) Ltd
    PO Box 24797
    1304 Nicosia, Cyprus

    +357 22849 380
    Fax: +357 22849 394