1. 2016 Webinar Programme The margining of uncleared Swaps is coming Wednesday 9 March 2016 Webinar Programme

2. Moderator Dominic Hobson is founder of COOConnect. He was also one of the founders of Global Custodian magazine, a publication covering the securities industry, and for many years its editor in chief. Dominic is a published author, with three books - The Pride of Lucifer, Saturn’s Children and The National Wealth – to his name. He was also amanuensis to Nigel Lawson, former Chancellor of the Exchequer, in the preparation of his memoirs. Dominic was born in Southern Rhodesia in 1958, and educated there and at Magdalene College, Cambridge. He spent four years in investment banking before electing to work for himself. The margining of uncleared Swaps is coming Wednesday 9 March 2016 Webinar Programme Moris Danon is a product manager for the ProtoColl Collateral Management System at Omgeo. As a member of the Professional Services team, Moris’s primary responsibilities include pre-sales presentations, and analysis, prioritization and documentation of business requirements. Moris came to Omgeo in 2013 from Murex, where he managed customer relationships, pre-sales, implementation projects and support teams for cross-asset class, front to back office clients. Moris has 30 years of experience in the financial services industry at top tier financial institutions and software vendors. He is a Chartered Financial Analyst and has an MBA degree from the University of Rochester.

3. The margining of uncleared Swaps is coming Wednesday 9 March 2016 Webinar Programme Jaki Walsh is managing director, Derivati Consulting, a specialist consulting firm offering cross asset class expertise in the derivatives market. With over 15 years of global experience in derivatives and project management across investment banking, asset management and central clearing, she has the unique benefit of having sell-side, buy-side and service provider experience in the Derivatives market. Prior to founding Derivati Consulting, Jaki was head of EMEA OTC Product at CME Group where she worked closely with buy and sell-side clients to support the successful launch of dealer-to-customer OTC clearing services. Jaki also held various roles at F&C Investments including group derivatives operational officer where she was responsible for the firms' group derivatives operational oversight, control and development and acted as the prime derivatives representative between both external and internal derivatives stakeholders including legal, compliance, derivatives counterparts, clears and outsourced vendors. Allan Yipp specialises in prime brokerage, derivatives, derivatives regulation and structured products. He advises asset managers (both hedge and institutional) on all aspects of their trading relationships with market counterparties, including prime brokerage, derivatives and other trading agreements. Allan also provides specialist advice to clients in relation to derivatives regulation in Europe (EMIR). In addition, he advises investment banks and other corporate and financial institutions on a full range of derivative products in over the counter, securities and fund wrappers, focusing particularly on tailored derivative transactions, such as corporate equity derivatives, structured repos and structured credit derivatives. He has extensive in house experience, having spent over seven years of his career as senior in house legal counsel at two leading US investment banks.

4. The margining of uncleared Swaps is coming Wednesday 9 March 2016 Webinar Programme Nick Steele is a Managing Director and Head of the Collateral Optimisation Unit at Barclays. Based in London, he is responsible for ensuring the efficient use of the firm's collateral across Barclays including OTC derivatives, Initial Margin and Intraday liquidity. Steele joined Barclays in 2010 from Deutsche Bank where he worked in the Credit Products Group in Global Financing and Foreign Exchange, responsible for optimising the counterparty risk across the business. Prior to this, he worked at Barclays Capital from 1998 to 2010 in the Prime Services division with responsibility for hedge fund margining and risking platforms (GNA). He holds a BA from Oxford University in Mathematics and Philosophy. Alastair Thomas is Head of Rates and Treasury Management the ECM Asset Management team at Wells Capital Management. Alastair has spent more than 26 years in finance and portfolio management, and joined WellsCap from ECM, where he has been since 2002. He is responsible for all active and passive interest rate and foreign exchange management and the treasury function for all of ECM's portfolios. Alastair is also a member of ECM's Investment Strategy Committee. Previously he held additional responsibilities as a portfolio manager trading various credit sectors. Prior to joining ECM, Alastair was at Dresdner where he was a director responsible for sterling interest rate derivatives, gilts, and AAA bond trading. Prior to that, he traded various interest rate derivatives, asset swaps and total return swaps at Merrill Lynch for over seven years. Alastair started his career in 1989 at Price Waterhouse. Alastair is a chartered accountant and holds a master's degree in engineering sciences from Oxford University.

11. European and US uncleared margin requirements differences 9 March 2016 Moris Danon, DTCC, Omgeo ProtoColl Product Manager 11

12. Material Swap Exposure Calculation Material Swap Exposure (MSE): Europe Month-end average notional amount for March, April, May. Including all the non-centrally cleared OTC derivative contracts of the group. US Daily average notional for March, April, May. Count the notional of a non-cleared swap between the entity and an affiliate only one time. 12

13. Variation Margin Products and Minimum Transfer Amounts VM products: Europe Physically-settled FX forwards, FX swaps and currency swaps margined. US Physically-settled FX forwards, FX swaps and principal exchanges of currency swaps exempt from margining. Minimum Transfer Amount (MTA): Europe Total EUR 500,000 for IM and VM, but can be applied separately. Operationally more standard, but will result in payments if IM or VM exceed their individual MTA levels, even if total is under 500,000. US USD 500,000 applied to the aggregate of IM and VM combined. 13

14. Initial Margin and Variation Margin Delivery Timelines Initial Margin delivery timeline: Europe IM to calculate and collect within 1 business day of certain events and at least every 10 business days. US T+1 Variation Margin delivery timeline: Europe Deliverable within 3 business days. US T+1 14

15. Eligible Collateral for VM VM eligible collateral: Europe All the product types eligible for IM (cash, treasuries, corporates, equity, gold…). US For a covered swap entity’s (CSE) swaps with another swap entity, only cash collateral for variation margin (cash in USD, settlement ccy, or major currencies). For swap transactions between a CSE and financial end user, assets that are eligible for IM also eligible for VM. 15

16. Concentration Limits Concentration Limits: Europe Concentration limits on sovereign bonds (applies only to trades between systemically important counterparties), non-sovereign bonds and securities issued by credit institutions. Concentration limits for classes of debt securities issued by the financial sector. In addition, ESA specified percentage concentration limits applied to a combination of asset types & sub-types. US US Regulators have not specified concentration limits. 16

17. IM Segregation and Inter-Affiliate Margining IM segregation: Europe Must be segregated from collateral receiver’s proprietary assets. US Segregated at 3 rd party custodian. Inter-affiliate margining: Europe No margining for trades amongst affiliates. US Prudential Regulators: when a CSE transacts with another CSE that is an affiliate, collect and post IM. A CSE not required to post IM to an affiliate that is not a CSE. CFTC: CSEs to collect IM from non-US affiliates that are financial end users and are not subject to comparable IM collection requirements. 17

18. Haircut Tables Haircut Tables: Europe In addition to BCBS/IOSCO product & maturity based haircuts, specifies ratings in haircut tables. US Does not specify ratings in haircut tables. 18

19. 19 Submit your questions to the panel Use the webinar functionality