Amy Caruso, Head of Collateral Initiatives, ISDA 

• The function(s) of collateral
• What types of financial instruments use collateral and why?
• The difference between “margin” and “collateral”
• Understanding the usage of “exposure” instead of “balance due” on master trading agreements margin calculations
• Why we need collateral even with trading limits
• How are documents negotiated and who are the parties involved?
• Different types of collateralized products and contracts
• Explore how collateral management works with other areas within your organization
• Posting or receiving collateral on different contract types

Amy Caruso, Head of Collateral Initiatives, ISDA 

• What is a Margin call?
• What does mark-to-market, notional and tenor/maturity mean for trades and what is the impact of each of these on the daily margin call?
• “In the Money” and “Out of the Money” and calculating exposure and VM
• VM, IM, and IA – the differences and the intersections of each
• Frequency of margin calculations and collateral being posted and/or received
• What is a Credit Support Annex and how many kinds are there? Part 1
• Choice of law
• When can rehypothecation be used and can it not be used?

Amy Caruso, Head of Collateral Initiatives, ISDA
Sonal Pattnayak, Associate General Counsel, Asia Pacific, ISDA

• Valuation Agent and Date
• Regimes
• Base Currency and Termination Currency
• Eligible Collateral
• Delivery Amount and Return Amount
• Threshold
• Minimum Transfer Amount (MTA)
• Rounding
• Notification and Resolution Times
• Local Business Day
• Transfer Timing
• Notices
• Disputes/Differences
• Portfolio Reconciliation (“Port Rec”) and Resolution Time
• Condition Precedent: Defaults, Termination Events and Additional Termination Events; Fish or Cut Bait Clause
• Fails, defaults, and cure periods

Amy Caruso, Head of Collateral Initiatives, ISDA 
Sonal Pattnayak, Associate General Counsel, Asia Pacific, ISDA 

• Overview and associated risks of Cash, Equities and Fixed Income
• Ratings
• Haircuts, notional/face value, price, maturity, and haircut algebra
• Standardization of terms and eligible collateral under Uncleared Margin Requirements (UMR)
• Substitutions
• Interest and Negative Interest
• Proceeds, coupons, and corporate actions
• Liquidity and Optimization
• Eligible collateral considerations: documentation, automation and data standards

Amy Caruso, Head of Collateral Initiatives, ISDA
Purtini Joshi, Head of Business Development, Collateral Management, APAC, State Street

Amy Caruso, Head of Collateral Initiatives, ISDA 

• Average Aggregate Notional Amount (“AANA”) and being “in scope” for UMR regulation
• How does FX risk come into play with collateral? How does an FX haircut mitigate that?
• "Wrong-Way” risk: how to make sure you are not increasing counterparty risk
• European Market Infrastructure Regulation (“EMIR”) vs. Dodd-Frank Act (“DFA”): Differing regimes have different rules and operational practices
• What happens when regulations fight? “Strictest of” process
• How many kinds of Credit Support Annexes are there? Part 2
  1. "Legacy" 1994/1995 CSA/CSD (and BSA)
  2. VM CSA/CSD: 2016- Phase 1, 2017 “VM Big Bang” regulatory compliant Exposure CSAs
  3. IM CSA/CSD/CTA: 2016-forwards; IM phase-in based on AANA and regime deadlines; custodians required
  4. Umbrella documents for asset managers
• IM Monitoring

Amy Caruso, Head of Collateral Initiatives, ISDA
Kriti Tandon, Vice President, Goldman Sachs

• IM CSA/CSD and IM CTA + Security Agreement: Designed to govern IM and the custodians used by each party​
• IM Thresholds: 50mm uniform Threshold per entity/corporate group, based on original master agreement pairings​
• IM Eligible Collateral Schedule​
• ISDA SIMM, and when GRID is used​
• Independent Amount vs. Initial Margin​
• IA and IM:  Distinct, Allocated vs. Greater Of and managing VM and IM CSA​
• Custodial Agents: Account control agreement, security agreement, KYC requirements​
• Triparty vs. third party collateral posting​
• What happens when you are not using the same custodians?​
• Operational efficiency across CSAs and monitoring​
• How can automation and Straight Through Processing (“STP”) help with daily tasks?​
• Reviewing and upgrading review your legacy systems for regulatory compliance, efficiency, data, risk

Amy Caruso, Head of Collateral Initiatives, ISDA 
Do Tom, Vice President, Goldman Sachs 

• Onboarding new and amending existing contracts
• Margin Calculations

1. 1. Legacy CSA exposure calculation
   2. VM CSA Exposure margin calculation
   3. IM CSA SIMM Calculation for post and collection
   4. IA/IM review for Greater Of/Allocated
   5. IM Monitoring for clients who chose BCBS/IOSCO relief

• Collateral Posting for Legacy, VM/IA, IM/IA, bilaterally or to custodians/segregated accounts

1. 1. Delivery Amount in or out
   2. Return Amount in or out
   3. Substituting collateral: maturing items, optimization, amendments to schedules

• Data inputs/outputs

Amy Caruso, Head of Collateral Initiatives, ISDA 

• Problem management
• Chasing fails for deliveries or returns
• Dispute resolution and investigation (trades, securities valuation, or contract data conflicts)
• Portfolio reconciliation (“Port Rec”)
• Operational controls (Was the cash sent? Were the securities received? Are there any unexplained mark-to-market jumps?)
• Systems controls (feeds for trades, pricing, ratings, margin calls)
• Eligibility controls for posted collateral
• Risk reporting and alerts
• Regulatory reporting
• Defaults and Notice of Exclusive Control: Alerting internal teams and custodians, or providing information to teams and regulators
• Qualified Financial Stay rules and impact on Close-Out and Setoff

Amy Caruso, Head of Collateral Initiatives, ISDA 

Amy Caruso, Head of Collateral Initiatives, ISDA