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ICMA Workshop: Professional Repo and Collateral Management
 
Date and Venue

Date:
1-2 June 2017
Time: 09.00-17.00

Venue:
5BG Building
5 Broadgate
London
EC2M 2QS


Event Overview

The ICMA European Repo and Collateral Council presented its 2017 Professional Repo and Collateral Management Course in London on 1-2 June 2017. This industry-run course caters to the needs of professional repo market participants and is provided at subsidised rates to ICMA members, underlining the association's commitment to education and the development of this financing product.

This annual event has established itself as the repo industry’s principal educational forum. Although designed for new repo market practitioners, the breadth and depth of the course attracts a wide range of delegates, including legal, compliance, accounting and operations staff, analysts, staff from market infrastructures, rating agencies, regulators, central bankers and others.

The course is built around a core of regular topics, supplemented by presentations on developments in market conditions, infrastructure and regulation, which are delivered by experienced practitioners and major service-providers. It starts with a thorough introduction to the repo instrument and market, which looks at the essential mechanics of the instrument, and its legal and economic foundations. The main types and variants of repo are also reviewed. Other core topics include the methodology of the risk and operational management of repo, with specific reference to the provisions of the Global Master Repurchase Agreement (GMRA) and the new Guide to Best Practice, as well as accounting and taxation treatment. The roles of key infrastructures such as CCP and tri-party agents are also examined and there is an overview of the pivotal role of repo in the markets for cash securities and derivatives.

Core topics included:
  • a thorough introduction to the repo instrument and market, looking at the legal construction, economic logic and operational mechanics of the instrument
  • the alternative forms of repo (repurchase transaction and sell/buy-back), synthetic substitutes and variants such as open, floating-rate, forward, evergreen and extendible repos
  • comparison with securities lending
  • how repo is priced
  • a review of the pivotal role of repo in the markets for cash securities and derivatives, both transactionally and analytically
  • the methodology of the risk and operational management of repo, with specific reference to the provisions of the Global Master Repurchase Agreement (GMRA) and the new Guide to Best Practice
  • the roles of key infrastructures such as CCPs and tri-party agents
Topical issues to be covered included: the implications of T2S; updates on the impact of regulatory changes such as the Leverage Ratio, LCR, NSFR, CSDR, SFTR and MiFID/MiFIR; peer-to-peer trading; client clearing; the activity of the buyside.

To view the presentations from this workshop, please click on the links below:-

ICMA Workshop: Professional Repo and Collateral Management - Day 1
ICMA Workshop: Professional Repo and Collateral Management - Day 2

If you have any queries regarding this event, please contact Gemma Fisher.

This event was hosted by UBS.

Delegate Fees

ICMA Member: £350 + 20% VAT
Non Member: £650 + 20% VAT



Thursday, 1 June 2017

08.30 Registration  
09.00 
Welcome to delegates from ICMA and ERCC
Godfried De Vidts, Chairman of ICMA’s ERCC Committee

09.10
Welcome to delegates from UBS
Gareth Allen, Global Head of Asset Sourcing and Optimization – Group ALM, UBS

09.20
The repo instrument: legal, economic and operational character
Richard Comotto, ICMA Centre at Reading University

10.30
Coffee break

10.50
Types of repo: repurchase transactions v sell/buy-backs; floating-rate, open, evergreen, forward, term & synthetic repo; GC v specials; repo v securities lending
Richard Comotto, ICMA Centre at Reading University

13.00
Lunch

14.00
The links between repos, bonds & derivatives
 Khagendra X Gupta, Executive Director, European Rates Derivatives Strategy, J.P. Morgan

14.45
Pricing repo
Michael Manna, Managing Director, Head of Fixed Income Financing Trading, EMEA, Barclays Capital

15.30
Coffee break

15.45
The life cycle of a triparty repo trade
Richard Glen, Senior Vice-President, Global Funding & Financing (GFF) Sales, Deutsche Boerse Group

16.20
An overview of the repo market: 15 years of the ICMA survey
Richard Comotto, ICMA Centre at Reading University

17.00
Drinks Reception

18.00
Close




Friday, 2 June 2017


08.30
Tea & Coffee
 
09.00
Valuing collateral in an event of default
o    Issues to consider pre-default – lessons learned
o    Market data reliability in distressed markets
o    Choice of valuation methodology
o    Relevant GMRA clauses related to Default Market Value
o    Common issues of dispute between parties in close-outs

Bruno Campana, Managing Director, Economic & Financial Consulting, FTI Consulting
Christopher Halas, Senior Director, Economic & Financial Consulting, FTI Consulting


10.00
Coffee break

10.15
Leverage Ratio and repo
Oliver Deutscher, Head of Money Market, Repo and Collateral Trading Vice President/ Treasury, DZ BANK AG

10.45
LCR, NSFR and repo
Gareth Allen, Global Head of Asset Sourcing and Optimization – Group ALM, UBS

11.30
SFTR, MiFID, CSDR
Andy Hill, Senior Director, Market Practice and Regulatory Policy, ICMA
Alexander Westphal, Director, Market Practice and Regulatory Policy, ICMA

12.00
Lunch

12.45
CCPs: what they can and cannot do
Nigel Bradley, Deputy Head of Product Development for RepoClear, EquityClear and Collateral, LCH

13.05
Client-clearing: the LCH sponsorship model
Nigel Bradley, Deputy Head of Product Development for RepoClear, EquityClear and Collateral, LCH

13.30
Client Clearing: To clear or not to clear – the challenges of funding and financing for the buy-side
o    Capital & Capacity: Why the sell-side is forced to manage financing differently now?
o    Funding & Financing: What are the benefits of centrally cleared repos? What are the differences to non-CCP cleared repos? How can the buy-side access the interbank repo market? What are the limitations?

Frank Odendall, Senior Vice President, Deutsche Börse - Group Global Funding & Financing (GFF) Sales

14.00
Alternatives to CCPs in emerging markets
Philip Buyskes, Frontclear

14.20
T2S and what it means for repo
Nicholas Hamilton, Executive Director, JP Morgan

15.00
Coffee

15.15
Peer-to-peer trading in repo
Stephen Malekian, Head of Business Development – US, Elixium

15.45
Why and how the buyside use repo
Mick Chadwick, Head of Securities Finance, Aviva Investors
Emma Cooper, Director, EMEA Head of Repo, BlackRock
Paul Van de Moosdijk, PGGM

16.45
Conclusion
Richard Comotto, ICMA Centre at Reading University

17.00
Event Close




Please note this agenda is subject to change

Keynote: The revised ICMA Primary Market Handbook

David Hopkins, Managing Director, Head of DCM Legal, RBS