Training

I have material and the knowledge to deliver the following topics, see below for more details. All these sessions can be customised to suit your needs, and priced accordingly.

  1. Introduction to FpML for non-technical people
  2. Clearing (large selection of modules)
  3. Introduction to an Interest Rate Swap, beginners upwards

Delivery formats

In each case I can deliver material using:

  • In person, in most cases the best method
  • Via a webinar to a group – harder to interact with each person but better for shorter sessions and cheaper to deliver
  • Via Skype, one to one

1. Introduction to FpML

FpML is increasingly the method of choice for moving OTC derivatives data between systems and organisations. This session will explain the foundations of XML leading to FpML, give you the chance to create your own mini-FpML segments, and walk you through a complete example of an Interest Rate Swap in FpML.
Duration: 1 to 3 hours, depending on size of audience and scope required

2. Introduction to an Interest Rate Swap

The most popular OTC derivative product, this session uses Panasonic as a user of an IRS to reduce it’s interest rate risk, and takes you through the context of why an IRS would be used. Additional material which can be added at your choice would include components of a rate swap such as stubs, compounding, variable notionals, early termination, zero coupon swaps.

Duration: 1 to 2 hours, plus time for any additional topics requested.

3. Clearing

I am pleased to offer a comprehensive course on central clearing, covering all the major topics surrounding the services in the market.

The material is designed to take someone who knows little about the OTC market through the products, processes and procedures of clearing, and assumes little previous knowledge. The sort of people who would benefit from this include:

  • Staff in sell or buy-side firms who need to be prepared for the mandated clearing due to Dodd Frank or EMIR
  • Technology staff who will have to carry out systems changes due to clearing
  • Trading or sales staff who need to know what’s happening in clearing
  • Likewise for Risk, Legal, Compliance, Regulation staff
  • Also recruiters, journalists and politicians – you all need to understand this too.

1. OTC foundations

  • An introduction to the structure, use and pricing of Interest Rate Swaps and Credit Default Swaps
  • An introduction to FpML
  • A guide to the OTC market infrastructure for trading, confirmation, compression and settlement Foundations
  • What is ISDA? The architecture of the ISDA documentation framework, including the ISDA Master Agreement, Credit Support Documentation, Definitions and Confirmations

2. History of clearing, and exchanges

  • Japan & rice trading
  • Chicago butter and egg board, now CME
  • Futures & exchanges – tight coupling of anonymous trading and clearing
  • CCP becomes the seller to the buyer
  • Margin calculations

3. Direct membership

  • Bilateral trade execution & market infrastructure, including trading, confirmation, send to clearing
  • Direct CCP membership workflow, submission, margin runs, accept / reject,
  • Margin calculations, Pricing & VM, IM, Default Fund,
  • Margin call and settlement cycles, end of day & intraday
  • Eligible collateral
  • Introduction to Filtered Historical Simulation & VaR, as used for IM at SwapClear
  • Systemic Risks of CCPs, layers of defence, settlement issues
  • Benefits to direct members

4. Indirect membership

  • US indirect membership workflow
  • EU indirect membership workflow
  • Segregation
  • Portability
  • Collateral transformation
  • Benefits to indirect members

5. Global CCP activity and services

  • Who are they, location, owners and plans
  • Which products do they clear now / future
  • What products are unlikely to clear
  • Who offers client clearing

6. Market impacts

  • Dodd Frank & EMIR, what they require you to do
  • Mandated clearing, exemptions
  • SEFs & OTFs, trading, RFQ vs CLOB
  • Client relationships
  • SEF aggregation

7. Follow on Check list

  • A session on recommended follow up steps for firms:
  • Registration under US law
  • Trading at SEFs and OTFs
  • Middle / Back Office operational changes
  • Selecting a CCP amongst the global and regional offerings
  • Selecting a Futures Commission Merchant (US FCM) or European Direct Clearing Organisation (DCO)
  • Trade reporting to Swaps Data Repositories / Trade Repositories
  • Integration LEIs, UPIs into your systems
  • Regulatory time line

8. Basic CCP legal documentation

  • CCP rules and regulations for direct members
  • CCP agreements for indirect members
  • ISDA Master Agreements and CSAs for clearing

9. Advanced OTC documentation relevant to CCPs

  • ISDA documentation framework, master agreement, credit support documentation, definitions, confirmations
  • US agency (FCM) model vs. European principal model and effect on documentation
  • ISDA CSA standardisation efforts
  • Default Management Agreement and process
  • Portability framework
  • Effect on close-out netting

10. Risk management for OTC products and CCPs

  • Run through of VaR for OTC products including Variance-Covariance, Historic Simulation and Monte Carlo
  • Introduction to CVA, and how CCPs impact it

11. Open session on market infrastructure changes

  • Informal survey on preparations for regulatory change
  • Sponsorship for change, drivers and programme coordination
  • Trade Reporting to platforms such as DTCC, ICE, REGIS, CME
  • SEF selection and integration include SEF aggregators
  • CCP selection, and the rise of regional / national CCPs
  • Selecting a clearing intermediary such as an FCM or Clearing Broker
  • Utilising outsourcing for market data & valuations, risk management & analysis, trading, trade compliance, and overall operations
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