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ICMA Workshop: Repo and securities lending under the GMRA and GMSLA
 
Date and Venue

Date: 28 - 30 June 2017

Time - Day 1: 08.45-17.30
Time - Day 2:
08.45-17.30
Time - Day 3:
08.45-16.30

Venue:
International Capital Market Association (ICMA) Limited
23 College Hill
London
EC4R 2RP

Event Overview

This workshop was organised by the International Capital Market Association (ICMA) and the International Securities Lending Association (ISLA). It analysed how repo and securities lending transactions operate within the framework provided by the Global Master Repurchase Agreement (GMRA) and the Global Master Securities Lending Agreement (GMSLA), and highlighted the issues that need to be addressed by users. These two separate but increasingly overlapping master agreements are the essential underpinnings of the cross-border repo and securities lending markets.

In order to provide a clear practical context to documentation and underlying issues, the workshop started with a rigorous introduction to the fundamental legal and operational characteristics of repo and securities lending instruments, transactional uses and markets. The main body of the workshop was a detailed review and comparison of both legal agreements (including the new GMRA 2011) and how they structure risk and operational management. The workshop also examined the role of and special issues posed by key market infrastructures such as electronic trading venues, triparty collateral management and central clearing through CCPs, as well as the impact of accounting and tax treatments, and new regulation.

The workshop used the GMRA and GMSLA as a framework to provide a structured approach to understanding instruments, usage and markets. No legal expertise is required. The workshop can therefore be useful, not just for legal and documentation staff, but also for front office, risk management, operational, compliance, audit and regulatory personnel.

The workshop was introduced and co-ordinated by Richard Comotto, who is the author of ICMA’s European repo survey, its Guide to Best Practice in the European Repo Market and its Repo FAQs. Other speakers are legal and documentation professionals, and operational specialists, from ICMA, ISLA, Apollo Legal, Ashurst LLP, Citigroup, LCH Limited, Deloitte and Euroclear.

Workshops are limited to 22 delegates.

Delegate Comments:
  • “Fast paced. Lots of detail in the mechanics and economics of repo were covered.”
  • “Speakers had very detailed and precise knowledge.”

Delegate Fees

ICMA & ISLA Members: £1200 + VAT
Non-members: £3500 + VAT

For security reasons, delegates who have not registered in advance will not be admitted to this workshop.  Delegates will be required to provide photo identification on arrival, to ensure entry.



Day One

08:45    Registration

09:00    Repo: introduction
Richard Comotto, ICMA Centre at Reading University
•    Name, basic mechanics, terminology
•    Core uses of repo: funding long positions; covering short positions
•    Legal and economic characteristics of repo (and accounting consequences)
•    Risks in repo: credit, liquidity, legal & operational

10:30    Break

10:45    Repo: structures and market segments
Richard Comotto, ICMA Centre at Reading University
•    Repurchase agreements v sell/buy-backs
•    Main types of repurchase agreement
o    fixed-rate
o    floating-rate
o    open
o    forward
•    GC and specials market segments

12:30    Lunch


13:00    Repo: risk management
Richard Comotto, ICMA Centre at Reading University
•    Valuation
•    Initial margin & haircut
•    Margin maintenance (variation margining)
•    Default procedures

14:30    Break

14:45    Repo: risk management (continued)
Richard Comotto, ICMA Centre at Reading University

16:30    Repo: operational management
Richard Comotto, ICMA Centre at Reading University
•    Permission for substitution
•    Custody (delivery, HIC, tri-party)
•    Fails, mini close-out, mini close-out versus buy-in rules

17:00        The repo market in Europe: what the ICMA repo survey tells us.
Richard Comotto, ICMA Centre at Reading University

17.30    Networking drinks reception

18.00    Close of day 1    




Day Two

08:45    Arrival coffee

09:00        Securities lending & borrowing: introduction
Richard Comotto, ICMA Centre at Reading University
•    Basic mechanics
•    Legal structure
•    Economic operation
•    Core uses of securities lending and borrowing
•    Fees
•    Collateral
•    Securities lending versus repo

10:30    Break

10:45        Securities lending & borrowing: market segments
Richard Comotto, ICMA Centre at Reading University
•    End-users (beneficial owners, hedge funds and proprietary traders)
•    Intermediaries (ICSDs, custodians, fund managers, third-party agents, principal lenders, direct lenders, prime brokers)

11:20        Securities lending & borrowing: risk management
Richard Comotto, ICMA Centre at Reading University
•    Risks in securities lending
•    Risk management
•    Counterparty selection
•    Borrower indemnification
•    Collateral selection
•    Initial margin
•    Margin maintenance (variation margining)
•    Cash collateral reinvestment
•    Default procedures

12:00        Securities lending & borrowing: operational management
Richard Comotto, ICMA Centre at Reading University
•    Compensatory payments
•    Corporate actions
•    Voting rights
•    Substitution
•    Delivery
•    Fails
•    Delegation of collateral management

12:45    Lunch

13:15        The securities lending market
Mark Hutchings, ISLA
•    The role of ISLA
•    Overview of securities lending activity
•    Some legal and regulatory developments in securities lending

14:15    Break

14:30        Legal and documentation issues in repo and securities lending
Chris Georgiou, Apollo Legal & Jonathan Haines, Ashurst LLP

•    Documentation architecture of GMRA & GMSLA
•    Introduction to legal and documentation issues
•    Title transfer
•    SFTR
•    Close-out netting
•    Practical issues arising out of closeouts
•    Valuations in margining and determination of Default Market Value
•    Use of security structures
•    Recharacterisation risk
•    Restructuring/voting rights
•    Illegality/disruption events

16:30        GMRA 2011
Lisa Cleary, ICMA
•    What’s new in the GMRA 2011
•    Legal opinions

17:30        Close of day 2

 



Day Three

08:45    Arrival coffee

09:00         Accounting for repo
•    General approaches under IFRS and US GAAP
•    Application of recognition/recognition rules
•    Measurement of gains/losses: trading book v banking book, GC v specials, securities lending
•    Does it matter if collateral is HFT, AFS & HTM?
•    Trading date or settlement date accounting
•    Sample accounts
•    Accounting for synthetics
•    Netting rules    

10:10    Break

10:20        Securities financing transactions tax issues
Martin Walker, Deloitte LLP
•    Key tax issues and risks
•    How tax is reflected in documentation
•    Practical issues and recent developments    

11:35        Triparty repo and securities lending
Nguyen Xuan Son, Euroclear SA/NV
•    Risk mitigation through triparty repo
•    Functional aspect of triparty repo
•    Legal aspect of triparty
•    Triparty Securities Lending
•    The triparty landscape

12:50    Lunch

13:15        CCP for repo
LCH Limited
•    The role of CCP in the repo market
•    The structure and operation of CCP
•    Regulatory mandates
•    Legal relationship with users


14:15        GMRA & GMSLA documentary issues
Reiko Masada, Citigroup Global Markets Limited
•    Documentary issues
•    Role of negotiation
•    Case study
•    Mini close-out

15:45        Regulatory Overview
Richard Comotto, ICMA Centre at Reading University

16:45        Close of day 3

Close of course

Please note that ICMA reserves the right to make changes to this agenda





Registration & Delegate Fees

ICMA & ISLA Members: £1,200 + VAT
Non-members: £3,500 + VAT

This course is open to all ICMA & ISLA members and interested financial market participants; however, registration in advance is essential. Delegate fees are payable, in advance of the course start date, by invoice or credit card (Visa, MasterCard). To register, please click here.