Collateral Management Masterclass

  • Date TBA
  • Level: Basic
  • 14 CPE Credits
  • Group-Live
  • Prerequisite: none
  • $2,495.00 US
  • Group discounts available


Michael J. Barrett    Read bio

cOURSE objectives

This Master Class provides a real-world and up-to-date deep dive into global regulatory reforms and their impacts on current and future collateral supply & demand, liquidity, leverage and risk – from Basel III to the pending margin rules and requirements for un-cleared swaps, and critical changes impacting securities finance activities.  The course is designed for margin and collateral management professionals, product managers, risk managers and those overseeing audit and compliance functions for collateral management. 

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



1. The Collateral Evolution
     --Collateral and Risk
     --Unsecured and Secured Credit Exposure
     --Market Risk
     --Operational Risk
     --Credit Risk
     --Liquidity Risk
     --Collateral and Mortgages – Defining the Risk and the Collateral
     --2008 and the End of Unsecured Exposure

2. Collateral Uses
     --Structural Uses of Collateral
     --Clearing and Settlement
     --Government Banking and Statutory Deposits
     --Clearing Funds
     --Central Banks
     --Market Infrastructure
     --Regulatory Capital and Liquidity – Basel III
     --Structured Products – e.g., CDOs
     --Trading and Liquidity Uses of Collateral
     --Securities Lending and Borrowing
     --Equity Finance
     --Exchange Traded Derivatives
     --OTC Derivatives
     --Collateral Re-Use and Rehypothecation and Liquidity

3.  Global Regulatory Financial Reforms and Collateral
     --Dodd Frank and EMIR
     --Shadow Banking
     --U.S. Tri-Party Repo Reform
     --U.S. Money Market Reform Initiatives
     --Basel III and the Liquidity Coverage Ratio
     --The Proliferation of Central Counterparties (CCPs)
     --The Shift in Collateral Away From Trading Uses to Structural Uses
     --Macroeconomic Concerns and Collateral – The Euro Sovereign Debt Enigma
     --What is Prime Collateral?
     --Global Regulatory Reforms, Macroeconomic Conditions and the Impact on Collateral Supply and Demand

4.  Collateral and Managing Counterparty Credit Exposure and Firm Liquidity
     --Credit Value Adjustment (CVA)
     --Default Value Adjustment (DVA)
     --Funding Value Adjustment (FVA
     --CVA, DVA and FVA Interrelationships and Collateral Implications
     --Expected Exposure
     --Expected Positive Exposure
     --Potential Future Exposure
     --Expected Mark-to-Market
     --Netting and Exposure
     --Collateral Margining and Remargining – Initial and Variation Margin
     --Collateral Volatility
     --Correlation of Collateral and Exposure

5.   Organization of the Collateral Management Function
     --Buy Side:  Investment Managers/Hedge Funds
     --Sell Side:  Broker/Dealers and Prime Services
     --Custody and Agent Banks
     --Roles and Relationships:  Front, Middle and Back Office
     --Collateral Management Processes
     --Central Counterparties/Clearinghouses

6.  Collateral Documentation and Agreements
     --ISDA/CSA, GMRA, GSLA, etc.
     --Managing Documentation and Agreements
     --Agreements Form the Rules for Collateral Management – How, Where and Why
     --What to Negotiate in Collateral Terms
     --Increasing Importance of Standardization
     --Cross-Product and Cross-Affiliate Collateral Agreements
     --Documentation and Agreements as Collateral Management Reference Data
     --Relationship of Agreements to Collateral Inventory Management
     --Overview of the Margin Call Process – Documentation Requirements

7.  CCP and Clearinghouse Margin Models
     --Differences in Initial Margin Models – Examples Between CCPs
     --Impacts of the Margin Models on Portfolios and Cost of Trade
     --Relationship between CCP Margin Models and Collateral Documentation and Agreements
     --Implications on Collateral Management of Intra-day Margin Calls from CCPs
     --Unilateral Ability to Change Collateral Eligibility Rules
     --CCP Haircuts

8.  Review and Summary of Day 1

1. The Margin Call Process
     --Margin Call Frequency
     --Initial Margin
     --Variation Margin
     --Minimum Transfer Amounts
     --MtM and Valuations
     --Collateral Re-Use and Rehypothecation
     --Collateral Settlement and Reconciliation
     --Coupons and Interest
     --Disputes and Dispute Resolution
     --CCP Margin Call Validation

2.  Simulated Margin Call Exercises – Everyone Participates

3.  Intra-Day Margin Calls and Expected Increase in Volume of Margin Calls
     --Implications and Ramifications for Collateral Management
     --Planning and Implementing the Changes Necessary
     --Is Outsourcing An Option?

4.   Collateral Inventory Management
     --Managing the Supply Chain In Real Time
     --Enterprise Inventory Management
     --Inventory Aggregation
     --Capturing Collateral Costs and Allocating Collateral Costs to Products and Businesses
     --Inventory Check-List:  Do I Have Everything In the Inventory Pool?  How to Ensure “Yes”
     --Managing the Inventory Across Multiple Counterparties, Settlement Systems, Clearinghouses and Exchanges:  People, Process and Technology
     --Ensuring Enterprise Liquidity and Funding Capacity
     --Grid-Based Inventory Management
     --How to Make Optimum Use of the Collateral Supply Chain

5.  Collateral Optimization
     --The Definition of Collateral Optimization – From Basic to Advanced Algorithmic
     --Moving From Grid-Based Management to Model-Driven Optimization
     --The Importance of Predictive Analytics to Optimization
     --The Interdependencies of Agreement Management & Margin Models to Collateral Inventory
        Management and Optimization – Benefits of Bringing the Data Together
     --Optimizing the Operational Rules and Margin Models of CCPs and Clearinghouses
     --Using Collateral Optimization to Ensure Liquidity and Funding Capacity

6. Collateral Transformation
     --Correlation to Optimization – What is Collateral Transformation?
     --Collateral Trading and the Regulatory View of Collateral Transformation
     --Manufacturing Liquidity – How Is It Done?
     --Ensuring Supply When It Is Critically Needed – What Happened At MF Global

7.  Bringing It All Together – Case Studies on Implementing an Enterprise Target Model for Collateral Management

8.  Trends and Issues In Global Collateral Management

9.  Review and Summary of Day 1 and Day 2


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

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