Collateral Management for Auditors

  • Level: Introductory
  • 7 CPE Credits
  • Group-Live
  • US$995.00
  • Group discounts available


Michael J. Barrett    Read bio

cOURSE objectives

This course is designed to equip audit and compliance professionals with the knowledge and understanding of margin and collateral management functions, including counterparty management, to assess the risks embedded in the data management and operational processes comprising margin and collateral management.  We will perform exercises in identifying Key Risk Indicators across the various functions, and the steps employed by various firms in managing the risks. 

  • Hours:  9:00 am-5:00 pm (registration/breakfast starts at 8:30 am)
  • Advance preparation: none


1.       The Evolution of Collateral Management and the Role of the Auditor

-          Collateral and Risk
-          Unsecured and Secured Credit Exposure
-          Market Risk
-          Operational Risk
-          Credit Risk
-          Liquidity Risk
-          Value-At-Risk
-          Collateral and Risk Mitigation

2.       Collateral Uses

-          Structural Uses of Collateral in the Securities Markets
-          Clearing and Settlement
-          Government Banking and Statutory Deposits for Insurance
-          Clearing Funds and Mutualization of Risk
-          Margin for Central Counterparty Clearing
-          Structured Products
-          Agency MBS and TBAs
-          The new Liquidity Coverage Ratio and Net Stable Funding Ratio
-          Trading and Liquidity Uses of Collateral
-          Securities Lending and Borrowing
-          Bi-lateral and Tri-party repos
-          Exchange Traded Derivatives
-          OTC Derivatives
-          FX
-          Collateral Re-Use and Re-hypothecation and Liquidity

3.       Financial Regulatory Reforms and Collateral Management

-          Dodd Frank and EMIR
-          Basel III and the U.S. Liquidity Coverage Ratio
-          Tri-Party Repo Reform and Money Market Fund Regulations and Guidance Memos

4.       Collateral Agreements and Documentation from the Auditor's Perspective

-          ISDA/CSAs, MRAs/GMRAs, GMSLAs/ISLAs, MFTSAs, etc.
-          Managing the Agreements and Documentation
-          Margin/Collateral Rules and the Agreements
-          Reconciling to the Margin and Collateral Rules
-          Cross-Product Netting

5.       CCP and Clearinghouse Margin Models and Collateral Eligibility Rules

-          Differences in Margin Models and Impacts on Portfolios and Cost of Trade
-          Collateral Eligibility Rules – Haircuts and Concentration Limits
-          Relationship Between CCP Rules and Collateral Agreements and Documentation
-          Segregation Models
-          Margin and Collateral Portability
-          Understanding Cross-Margining
-          Proving CCP Margin Calls

6.       Collateral and Managing Counterparty Credit Exposure and Enterprise Liquidity

-          Credit Value Adjustment (CVA)
-          Default Value Adjustment (DVA)
-          Funding Value Adjustment (FVA)
-          Expected Exposure
-          Expected Positive Exposure
-          Mark-to-Market and Expected Mark-to-Market
-          Potential Future Exposure
-          Netting and Exposure
-          Independent Amounts (Initial Margin) and Variation Margin
-          Portfolio Compression and Impacts on Collateral
-          Correlation Risk – Collateral and Exposure Management

7.       Organization of the Collateral Management Function

-          Buy side:  Investment Managers, Hedge Funds and Insurance
-          Sell side:  Banks/Dealers, and the Prime Brokerage Model
-          Bank Treasury and Funding; Managing the Supply Chain for High Quality Liquid Assets
-          Intermediaries:  Custody and Agent Banks, Fund Administrators, and Market Infrastructure
-          Roles and Responsibilities:  Front, Middle and Back Office
-          IT and Operational Work Flows for Enterprise-wide Collateral Management, Front-to-Back
-          In-depth Review of the Margin Call Process and Best Practices
-          Identifying Key Risk Indicators (KRIs) Across the Functions

8.       Role of Audit, Compliance and Risk in Gaining Best Value for Use of Collateral Assets

-          Optimizing Collateral Assets – From Basic to Advanced
-          Risk Factors in Collateral Optimization
-          Critical Role of Collateral Agreements and Documentation to Optimizing Collateral Assets
-          Margin and Collateral Management Key Performance Indicators and the Relationship to Key Risk Indicators
-          Value-At-Risk, and the Risks of VAR models

9.       Case Studies in Best Practices and Operational Risk Management for Collateral Management


In-house instruction is available.  Contact us to inquire.

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