ICMA Workshop: Professional repo and collateral management
 
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Date and Venue


Date: 11-12 September 2019
Time - Day 1: 08:30-18.00
Time - Day 2: 08.30-16:30
Venue:
Deutsche Boerse



Workshop Overview


The ICMA European Repo and Collateral Council presented its 2019 Professional repo and collateral management workshop in Germany on 11-12 September 2019. 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 establishes 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 workshop 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 include:
  • 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
  • the impact on repo of regulations
Topical issues which are covered include: 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.

Agenda Day 1

     
08:30
 
Start of registration, Tea & Coffee
09:00

  Welcome to delegates from host
Frank Gast, Managing Director, Eurex Repo GmbH
09:15

  The repo instrument: legal, economic and operational character
Richard Comotto, ICMA Centre
10:10



  Types of repo: repurchase transactions v buy/sell-backs; floating-rate, open, evergreen, forward, term & synthetic repo; GC v specials; repo v securities lending
Richard Comotto, ICMA Centre
10:30   Coffee Break
10:50

  Types of repo (continued)
Richard Comotto, ICMA Centre
11:50

  Use of repos with bonds & derivatives
Fabian Litsch and Lars Schult, Deka Bank
12:40   Lunch
13:40

  Trading credit repo
Sarabdeep Singh Lotay, Bank of America Merrill Lynch
14:40

  Trading forward repo
Ludovic Quidal, UBS
15:20   Coffee Break
15:40

  The structure of the European repo market and trends: a view from the European repo survey
Richard Comotto, ICMA Centre
16:20
 
  Repo market infrastructure
Richard Comotto, ICMA Centre
17:00
  Course finish, networking reception
18:00   End of Networking Reception

Day 2

     
08:30
  Registration, Tea & Coffee
09:00

  Margin (initial margin/haircut, variation margin)
Richard Comotto, ICMA Centre
09:40


  CCP: margining & default management
Kevin Rettberg, Bond / Repo Trader - Default Management, CCP Risk Management, Eurex Clearing AG
10:30   Coffee Break
10:50
  Who uses tri-party repo and why? A bank user's view.
Benjamin te Kaat, Director, Head of Sales DACH, BNY Mellon Markets
11:30

  Who uses tri-party repo and why? A bank user's view.
Roman Zeiss, Deutsche Borse
12:10

  Basel capital & liquidity calculations for repo: RWA, LR, LCR & NSFR
Richard Comotto, ICMA Centre
12:50   Lunch
13:50

  The transition to €STR: the time is now!
Pascal Nicoloso, Principal Market Operations Expert, European Central Bank
14:25

  CSDR Mandatory Buy-ins
Andy Hill, ICMA Centre
15:00
  Coffee Break
15:20
 
  SFTR
Richard Comotto, ICMA Centre
16:30   Course finish