Global Master Agreements for Repo and Securities Lending Workshop Zurich, September 2012
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1 Global Master Agreements for Repo and Securities Lending Workshop Zurich, September 2012 Agenda Day One 09:00 Registration 09:30 Repo: operational and basic legal characteristics Basic operational structure and definition The core uses of repo: funding long positions; covering short positions Market and documentary terminology Legal and economic characteristics of repo (and accounting consequences) Operational and legal risks in repo Credit risk in repo Liquidity risk in repo Break 11:30 Repo: structures and market segments Distinguishing repurchase agreements and buy/sell-backs Main types of repurchase agreement o fixed-rate o floating-rate o open o forward-start o synthetic GC and specials market segments Specials and securities lending 13:00 Lunch
2 13:45 Repo: risk management Valuation and revaluation o collateral valuation and exposure calculation methods o collateral valuation price sources o rates of interest, exchange rates Initial margin/haircut Margin maintenance under GMRA 2000 o margining o margin thresholds or minimum transfer amounts o re-pricing and adjustment alternatives to margining Default procedures under GMRA 2000 and GMSLA 2010 o calculation of Default Market Value, timings, other costs, set-off o price sources in default calculations o suspended securities 15:00 Break 15:15 Repo: risk management (continued) 16:00 Repo: operational management Rights of substitution Custody (delivery, HIC, tri-party) Fails, mini close-out, mini close-out versus buy-in rules Networking drinks reception You are invited to join us for drinks and the opportunity to talk to the other delegates Close of day 1
3 Day Two 09:15 Arrival coffee 09:30 Securities lending & borrowing: operational and basic legal characteristics Basic transaction structures, calculations and definition Terminology The core uses of securities lending and borrowing Legal and economic characteristics of securities lending Lender s right of recall, borrower s right of return Fees Cash collateral management Securities lending versus repo 10:30 Securities lending& borrowing: market segments End-users (beneficial owners, hedge funds and proprietary traders) Intermediaries (ICSDs, custodians, fund managers, third-party agents, principal lenders, direct lenders, prime brokers) 10:45 Break 11:00 Securities lending & borrowing: risk management Loaned securities delivery requirements Collateral valuation methods and price sources for valuation Collateral adjustment procedures and delivery netting Collateral delivery requirements and equivalence Collateral schedule Margin Indemnification by agent lenders 12:15 Securities lending & borrowing: operational management Custody and settlement (bilateral and triparty arrangements) Rates on and payment of loaned securities and cash collateral Corporate actions Voting rights Substitution of collateral Fails 13:00 Lunch 13:30 Legal and documentation issues in repo and securities lending Christopher Georgiou and Jonathan Haines, Ashurst LLP Document architecture of GMRA and GMSLA Introduction to legal and documentation issues 15:00 Break
4 15:15 Legal and documentation issues in repo and securities lending Christopher Georgiou and Jonathan Haines, Ashurst LLP Recharacterisation risk Close-out netting Structured repos Margin and collateral Treatment of coupons and dividends Restructuring of collateral Agency transactions Exercise of discretion Close of day 2
5 Day Three 09:15 Arrival coffee Triparty repo and securities lending Cédric Gillerot, Euroclear SA/NV 11:00 Break 11:15 Tax issues Martin Walker, Deloitte LLP 12:45 Lunch 13:30 GMSLA documentary issues and case studies Reiko Masada, Citigroup Global Markets Limited Documentary issues Role of negotiation Case study Mini close-out 15:15 Break 15:30 The securities lending market Kevin McNulty, ISLA Legal and regulatory developments in securities lending Overview of securities lending activity 16:00 GMRA 2011: changes from GMRA 2000 Lisa Cleary, ICMA Close of course Please note that ICMA reserves the right to make changes to this agenda
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