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Presented by: James Schwartz Of Counsel, Morrison & Foerster Julian E. Hammar Of Counsel, Morrison & Foerster Tuesday, March 31, 2015

GARP Webcast

Derivatives Regulatory Update: Have Regulators Reduced Risk to the U.S. Financial System

Michael A. Piracci Director, PCB Compliance, BARCLAYS Jason Silverstein Executive Director and Associate General Counsel, CME Group

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Michael A. Piracci is a Director of Compliance for Agency and Derivative Services at Barclays Capital Inc. Prior to joining Barclays he was Of Counsel at the law firm of Morgan, Lewis and Bockius. He previously worked in the Office of the General Counsel and the Compliance Department at NFA and was an attorney-advisor at the CFTC.

Michael A. Piracci, Director, PCB Compliance, BARCLAYS

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Jason S. Silverstein serves as Executive Director & Associate General Counsel of CME Group. He is responsible for providing advice to CME’s clearinghouse and OTC IRS, CDS and FX product offerings. He played a central role in developing CME’s solutions for the clearing of IRS and CDS and is primarily responsible for CME’s clearing rules. Prior to joining CME Group in 2010, Silverstein served as in-house counsel at JPMorgan Chase and at Bear Stearns where he focused on derivative products. He began his career as an Associate in Clifford Chance US LLP’s financial products group. Silverstein holds a J.D. from Fordham University and a B.A. from Rutgers University. He is admitted to the bar in the state of New York and New Jersey.

Jason Silverstein, Executive Director and Associate General Counsel, CME Group

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Julian Hammar is Of Counsel in the Washington, D.C. office of Morrison & Foerster LLP. He focuses his practice on futures, derivatives and commodities, energy regulatory, corporate and securities matters. Mr. Hammar is a leading expert on the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act). Prior to joining Morrison & Foerster LLP, Mr. Hammar served as special counsel at an Am Law 50 firm and as the assistant general counsel at the Commodity Futures Trading Commission (CFTC), Office of the General Counsel. His most recent work at the CFTC included drafting regulations to further define key terms including “swap,” “security-based swap” and “security-based swap agreement,” under the Dodd-Frank Act. In addition, he assisted with drafting other Dodd-Frank Act regulations, including the entity definitions (rules to further define such terms as “swap dealer,” “major swap participant” and “eligible contract participant”), commodity options and the Volcker Rule. He was also a member of the CFTC’s legislative drafting team that drafted the derivatives title of the Obama Administration’s legislative proposal for derivatives regulation that eventually was enacted into law as Title VII of the Dodd-Frank Act.

Julian E. Hammar, Of Counsel, Morrison & Foerster

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James Schwartz has a wealth of experience in the derivatives markets, both in the post-Dodd-Frank world of complex regulation and in the pre-Dodd-Frank world of complex and structured transactions. He has a cutting edge understanding of the ongoing regulation of derivatives brought about by Title VII of Dodd-Frank, and works extensively with dealers and end-users to achieve regulatory compliance. He is also expert in documenting bespoke derivatives, including those occurring in the context of broader structured transactions. He has expertise with the ISDA Master Agreement and has worked extensively with trading agreements of other types as well. He also advises on structured products. Before joining Morrison & Foerster, Mr. Schwartz spent more than eight years as in-house counsel at a major derivatives dealer. Mr. Schwartz received his J.D. from the University of Chicago and his B.A., magna cum laude, from Harvard College

James Schwartz, Of Counsel, Morrison & Foerster

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Peter Went, GARP Michael Piracci, Barclays Jason Silverstein, CME Group

CCP and FCM Role in Reducing Systemic Risk

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Agenda

1 CCP Risk Management

2 Default Management

3 Financial Safeguards

4 Skin in the Game

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Role of the FCM in Risk Management

• Clearing member of the DCO. - Backstop if a market participant for which it carries cleared swaps fails to meet its margin

requirements or otherwise defaults on a swap. - Must meet capital, risk management and operational standards set by the CFTC and DCO - Contribute to “guaranty fund” and is subject to additional assessments in the event of default.

• Acts as agent for market participants entering into cleared swaps. • Monitoring of customer and proprietary risk throughout the trading day

- Exposures - Profit/Loss (mark-to-market) - Margin maintained and intra-day margin calls

• Risk Management Program - Review of customer financial health, current and historical exposure and margin requirements and

use - Back testing and Stress testing at the individual and aggregate level - Quarterly risk exposure reports provided to senior management, Board of Directors, CFTC and

DSRO. - Annual review and testing by internal or third-party auditors independent of the FCM business.

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Risk Management Philosophy

Risk Management Risk Management Functions

• Risk monitoring 24 hours a day and 6 days a week • Daily mark-to-market • Monitor Clearing Member and customer exposures

and profit (loss) • Real-time market observations • Portfolio margining • Performance Bond review & maintenance • Clearing Member trend analysis and monitoring • Stress testing and backtesting • Financial Safeguards • Default management drills • Clearing Member risk reviews • Acceptable collateral administration • Risk policy analysis • Credit risk management

Actively Manage Crisis

Situations

Build on Experience to Improve Risk Management

Process

Provide Industry

Leadership

System of Prudent

Protections and

Resources

Maximize Early

Detection

CME Risk Management

CME Clearing uses a proactive risk management approach

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Initial Margin and Variation Margin

• What is Initial Margin (Performance Bond)? - Performance Bonds, also known as initial margins, are deposits held at CME

Clearing to ensure that clearing members can meet their settlement obligations to CME Clearing.

- Performance bond requirements vary by product and market volatility. • What is Variation Margin (Settlement Variation)?

- Mark-to-market payments calculated for market moves between settlement cycles - Settlement Cycles are conducted at least once daily (twice for F&O products)

• What is the difference between maintenance margin and initial margin? - Initial margin is the margin that market participants must pay when they initiate their

position with their clearing firm - Maintenance margin is the minimum level of margin which market participants must

keep in their account, or "maintain" in their account over time - FCMs may require higher margin level than is required by the DCO.

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Acceptable Collateral Policy

Risk Management • CME limits the acceptability of collateral to highly liquid assets

- For collateral that does not have a natural same day settlement time horizon, arrangements must be in place to facilitate access to USD cash on a same day basis

• Credit Risk team evaluates each collateral type prior to its confirmation by the clearinghouse

• Haircuts are applied at levels determined by CME Clearing to reflect the potential decline in liquidity and value of collateral over time

Monitoring Acceptable Collateral • The relevant markets to each collateral type are monitored on a daily basis • CME Clearing regularly monitors the correlations between a counterparty’s

creditworthiness and its posted collateral and cleared products • Monitors credit and market risks associated with cross-border collateral that

could impact the collateral’s eligibility for acceptance

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Customer Protections

• The Commodity Exchange Act, CFTC Regulations, and CME Clearing Rules impose customer segregation requirements on FCMs and DCOs

• All funds and collateral received from a customer trading on U.S. futures markets must be held in an account titled “customer segregated”

• The purpose of customer segregation is to protect customer funds if the Clearing Member suffers significant losses or goes bankrupt

• There are two primary forms of customer protection in the US:

Customer Gross Margining LSOC

• Required for futures and options margin collateral

• Segregates customers from the FCM

• CGM minimum performance bond is the sum of requirements for each individual customer account

• Required for cleared swaps

• Customers are segregated from the FCM, as well as other customer

• FCM must report customer positions at least once daily

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Legally Segregated, Operationally Commingled

LSOC provides customer protection for cleared swaps LSOC = Legally Segregated, Operationally Commingled • A DCO may not use the collateral of one customer to pay for an obligation of another customer • FCM Defaults under LSOC • CME’s goals during an FCM default are:

- Protect the interests of non-defaulting cleared swaps customers doing business with the defaulted FCM - Minimize impacts of the default amongst non-defaulted clearing firms - Quickly transfer the positions of non-defaulting cleared swaps customers to one or more transferee FCMs with as

much collateral as possible LSOC with Excess • Flexibility to hold excess collateral at CME Clearing, with protection of the client’s full collateral value as

reported by Clearing Member firms • Client’s FCM must submit a daily Collateral Value Report (“CVR”) to specify the collateral value of each

individual account in order to offer LSOC with Excess LSOC Without Netting of Variation Margin • In an FCM default, CME Clearing will discontinue netting variation gains and losses within the defaulted

FCM’s cleared swaps customer account with CME Clearing on a post-default basis • By discontinuing Variation Margin netting, CME will better protect non-defaulting customers by helping

them keep their positions intact while porting them to another FCM with as much collateral as possible

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Portfolio Margining IRS and CME Group Futures

Margin Efficiencies

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• 10 Clearing Members are now live with IRS Portfolio Margining, and over 39 firms are benefitting from the solution

• Total Risk Reductions now account for over $5 billion in initial margin savings

• Achieve capital savings across a diverse portfolio of: - 18 cleared OTC IRS currencies - CBOT Treasury Futures, now including the Ultra Bond - CME Eurodollar Futures - USD Deliverable Swap Futures

• CME Group has administered a range of cross-margining programs for more than 20 years

• IRS Portfolio Margining for Clearing Members was launched in May 2012, and the solution became available to customers in November 2012

Background

Broad Adoption from Market Participants

Scope of Solution

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Default Management Policies and Procedures

CME employs default management policies and procedures specific to each major asset class • Futures and Options Default Management

- CME conducts auction with buy-side and sell-side participants bidding on a defaulted portfolio - As quickly as practicable, CME will port all customer positions to non-defaulting Clearing

Members • IRS and CDS Default Management Committees

- The IRS Default Management Committee and CDS Default Management Committee have the discretion to hedge and/or liquidate in order to facilitate an orderly auction of a defaulted portfolio for IRS and CDS, respectively

- All IRS and CDS Clearing Members are required to have representation on the Default Management Committee associated with their membership

• Default Drills - Through default drills, CME is able to work on the operational flows of taking a portfolio and being

able to bid in a short timeframe - Drills are conducted at least two times per year

• Rulebook - Rules pertaining to Clearing Member defaults are contained in the CME Rulebook, Chapters

8/8G/8H, Rule 802: Protection of Clearing House

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CME Financial Safeguards Structure

Assessment Powers 3rd and 4th largest CM shortfalls

Assessment Powers 275% of Member GF Contributions1

Assessment Powers 3rd and 4th largest CM shortfalls

Non-Defaulting Clearing Members IRS Guaranty Fund Contributions

Non-Defaulting Clearing Members Base Guaranty Fund Contributions

Non-Defaulting Clearing Members CDS Guaranty Fund Contributions

$150M CME Designated Working Capital

for IRS Guaranty Fund

$100M CME Designated Working Capital

for Base Guaranty Fund

$50M

CME Designated Working Capital for CDS Guaranty Fund2

Defaulted Clearing Member IRS Guaranty Fund (GF)

Contribution

Defaulting Clearing Member Base Guaranty Fund (GF) Contribution

Defaulting Clearing Member CDS Guaranty Fund (GF) Contribution

Defaulted Clearing Member IRS Fund Performance Bonds

Defaulting Clearing Member Base Fund Performance Bonds

Defaulting Clearing Member CDS Fund Performance Bonds

IRS Financial Safeguards Product Coverage

• Interest Rate Swaps • Cross-margined interest rate

futures

Base Financial Safeguards Product Coverage

• Futures and options • OTC FX • Other non-IRS and non-CDS OTC

products

CDS Financial Safeguards Product Coverage

• Credit Default Swaps

IRS Financial Safeguards Base Financial Safeguards CDS Financial Safeguards GF – $2.371 Billion GF – $3.488 Billion GF – $750 Million

1CME Rulebook Chapter 8, Rule 802.G, Up to 550% for multiple defaults 2Equal to the greater of $50 million and (y) 5% of the CDS Guaranty Fund, maximum of $100 million

*All Financial Safeguards numbers are as of 12/31/2014 and do not include Assessment Powers

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CCP Skin in the Game

Skin in the Game • Incentivize proper CCP risk management that minimizes

the likelihood the mutualized portion of the risk waterfall will be utilized

• Should be significant, risk based and junior to the mutualized default fund - CME Inc. has contributed $300 million to its waterfalls

across products • CME requires that Clearing Members support the risk of

their portfolios cleared through risk based initial margin, variation margin, and default fund contributions

• Clearing Members should be incentivized to manage the risk they create in an appropriately conservative manner

• If clearing members believe that their CCP’s waterfall contribution is large enough to absorb all losses in a default scenario, they will be less motivated to create balanced risk portfolios

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Peter Went, GARP Julian E. Hammar, James Schwartz, Morrison & Foerster

Cleared and Uncleared Margin Rules

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Overview

• Line between cleared and uncleared swaps • Historical model for margin for uncleared swaps • Proposed uncleared swaps margin rules

- Initial Margin - Variation Margin - Phase-in Schedule - EMNAs

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Cleared and Uncleared Swaps

• Rationale for pushing swaps toward a cleared environment by means of the Dodd-Frank Act:

- Many swaps were not collateralized prior to Dodd-Frank.

- To the extent they were, valuations and exchanges of collateral might occur on a monthly, quarterly or annual basis.

• Central goal of Dodd-Frank was to subject most swaps to central clearing to mitigate systemic risk.

• Clearing mitigates systemic risk through:

- Credit risk reduction: requiring initial and variation margin and guarantee of performance by clearinghouse in case of default

- Operational Discipline: daily mark-to-market margin transfer

- Margin efficiency: multilateral netting

• Critics contend that mandatory clearing concentrates risk at clearinghouses, the failure of which would have catastrophic results.

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Cleared and Uncleared Swaps

• Bank regulators’ supplemental leverage ratio may make cleared swaps more expensive by treating margin (even though legally segregated) as a bank asset that cannot be counted against the derivative exposure.

• CFTC Chairman Tim Massad states that the treatment of margin in supplemental leverage ratio will have a “significant negative effect on clearing.”

• Basel Committee on Banking Supervision’s leverage ratio working group reportedly is working on a new FAQ document to address the ratio’s treatment of margin.

• CME reportedly considering a rule change in consultation with the CFTC that would allow customers to have accounts directly at the clearinghouse (so they would not count toward a bank intermediary’s leverage ratio).

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Swaps Subject to Mandatory Clearing

• Dodd-Frank subjects swaps to mandatory clearing that the Commodity Futures Trading Commission (CFTC) determines must be cleared.

• Swaps subject to mandatory clearing:

- 4 types of interest rate swaps (fixed-for-floating swaps, basis swaps, forward rate agreements and overnight index swaps)

- 2 types of index credit default swaps (North American untranched CDS indices and European untranched CDS indices)

• There have been no new mandatory clearing determinations since the initial set, which were made in December 2012.

• According to ISDA estimates, approximately 16% of outstanding swaps were cleared by U.S. CCPs at the end of 2007.

• By 2014, 74% were cleared based on CFTC data.

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Swaps Subject to Mandatory Clearing

• Next mandatory clearing determination: NDFs?

• Considered at CFTC’s Global Markets Advisory Committee (GMAC) meeting last October.

• GMAC subcommittee made recommendation that NDF clearing be coordinated with EU regulators with a clear timeline for implementation.

• In February 2015, EU deferred action on requiring NDF clearing for now in order to consider comments raised during the consultation process.

• Unclear whether CFTC will follow GMAC subcommittee recommendation.

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Historical Model – Uncleared Swaps

• Uncleared swaps have long been transacted subject to ISDA Master Agreements, which provide for common legal terms for multiple transactions and close-out netting upon a default

- Different versions of ISDA agreements (1987, 1992, 2002)

• In the early days of the ISDA Master Agreement, parties would draft their own security agreements

- Wide variety, little standardization

• Then, in 1994, ISDA published the ISDA Credit Support Annex, which still functions as a standard document in the marketplace

• The ISDA Credit Support Annex forms part of the ISDA Master Agreement itself (technically part of the Schedule to the Agreement)

• It is a privately negotiated document

• Historically, very few if any regulatory requirements

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Historical Model – Uncleared Swaps

• Prior to the financial crisis, it was typical for creditworthy parties to an ISDA Master Agreement to accept a certain amount of uncollateralized exposure to each other in the form of a “Threshold”

- The Threshold in many cases would vary according to the parties’ credit ratings

- Typically, the higher the credit rating, the higher the Threshold of uncollateralized exposure

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Historical Model – Uncleared Swaps

• A large majority of ISDA Credit Support Annexes provided for collateral (in many cases subject to a Threshold) only for mark-to-market exposure – no collateral in addition to that

• When collateral in addition to that required to account for mark-to-market exposure was required, it was typically expressed as an “Independent Amount”

• Under the CSA there is (unless otherwise agreed) only one calculation of the amount of collateral that is required.

- The Independent Amount is part of this calculation.

- There is no separate calculation for the Independent Amount – it is part of the overall calculation of required collateral.

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Historical Model – Uncleared Swaps

• The default rule under the ISDA CSA is that the secured party has the right to rehypothecate or otherwise use collateral posted to it

• This is a significant economic benefit for dealers, who can use collateral posted to them to cover their obligations to post collateral under related hedges

• Lack of the rehypothecation right would affect dealers’ pricing

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Post-Crisis Changes

• Ever greater use of collateral to correspond to mark-to-market values (Thresholds of zero)

• More negotiation over rehypothecation right

• When regulators’ proposed margin rules become final, existing documentation will likely need to be amended to reflect regulatory requirements

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Proposed Margin Rules for Uncleared Swaps

• The Prudential Regulators (Federal Reserve Board, OCC, FDIC, FCA and FHFA) and CFTC re-proposed margin rules for uncleared swaps last Fall (originally proposed in 2011) in order to take into account the framework published by the Basel Committee on Banking Supervision and IOSCO on September 2013.

• Proposals divide swap market participants into 4 categories:

• Swap entities (e.g., swap dealers and major swap participants)

• “Financial end-users” with “material swaps exposure”

• Financial end-users without material swaps exposure

• Other counterparties (e.g., commercial end users)

• Margin requirements vary depending on status.

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Proposed Rules – Initial Margin

• Initial margin is intended to secure potential future exposure, that is, adverse changes in value that may arise during the period of time when a swap or group of swaps is being closed out

• Initial margin is in addition to the variation margin that corresponds to changes in mark-to-market value

• Under the proposed rules, where initial margin is required, it would be provided by each party to the other party - No netting

- Computed separately from variation margin

• Figures to increase costs significantly and thus to change materially the economics of the swap market

• Initial margin must: - be segregated,

- held at an agreed upon third party custodian not affiliated with the swap entity or counterparty, and

- not be re-hypothecated or re-pledged

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Proposed Rules – Initial Margin

• Initial Margin required for trades between swap entities and either:

• other swap entities, or

• financial end users with material swaps exposure.

• No specific requirement for trades with “other counterparties,” but Prudential Regulators would require swap entities to collect margin from any counterparties at such times and amounts (if any) that appropriately address credit risk.

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Definition of “Financial End User”

• Definition of “financial end user” based on an list of enumerated financial market status types under various U.S. statutes and regulations

• Examples: - banks - broker-dealers - investment companies - insurance companies - commodity pools - ERISA plans

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Definition of “Material Swaps Exposure”

• “Material swaps exposure” defined as $3 billion average daily aggregate notional amount of uncleared swaps, security-based swaps, FX swaps, and FX forwards, with all counterparties for June, July, and August of the previous calendar year for financial end users.

• Calculation is made on a consolidated basis and includes:

• Swaps between a financial end user and its affiliates; and

• Swaps between these affiliates and third parties.

• Difficulty of aggregating across all “affiliates”

• BCBS/IOSCO Framework does not require initial margin to be posted/collected by entities with swaps exposure below €8 billion (approx. $9 billion).

• Significant discrepancy between $3 billion (U.S. regulators) and international framework ($9 billion) , which could cause issues for U.S. counterparties

• CFTC Chairman Massad has stated that the U.S. $3 billion threshold should be harmonized even if it means increasing the U.S. definition of material swaps exposure

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Treatment of FX Swaps and Forwards

• Foreign Exchange Swaps and Forwards not subject to margin requirements because they were exempted by the Treasury Secretary (with a few exceptions not including margin) from the CEA.

- However, Swap Entities regulated by a Prudential Regulator may be required to pay and collect variation margin for these instruments under Prudential Regulator Supervisory Guidance.

- FX Swaps and Forwards are included in the material swaps exposure calculation.

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Initial Margin Threshold Amount

• There is an “initial margin threshold amount” of $65 million, below which initial margin need not be collected.

- Defined to reflect the initial margin calculation for swaps between the parties and their affiliates

- Accordingly, like the definition of “material swaps exposure,” the definition of “initial margin threshold” would require aggregation across “affiliates”

• Initial margin threshold amount has been justified, in part, by concerns over liquidity in instruments constituting permitted initial margin

• Concerns over the enormous amount of collateral that would otherwise be used in swaps market (and segregated there)

• In addition, there is a $650,000 minimum transfer amount across initial and variation margin

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Eligible Collateral for Initial Margin

• Eligible Collateral: Initial margin may be the following (with schedule of applicable haircuts for non-cash collateral)--

- Cash;

- U.S. government securities; Government Sponsored Enterprise securities; securities issued by BIS, ECB, IMF and MDBs; and certain liquid/low-risk foreign government securities;

- Publicly-traded debt (other than asset-backed securities);

- Publicly traded equities listed in certain major indices; and

- Gold:

- but not: securities issued by (i) the pledgor or an affiliate of the pledgor; or (ii) banks, savings and loans and similar entities

• How margin rules will work in a cross-border context is not clear

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Calculation of Initial Margin

• The required amount of initial margin is to be calculated daily, on the basis of either a risk-based model or a table-based method

• Risk-based model would

- be subject to stringent regulatory requirements;

- calculate initial margin based on an assumed close-out period of 10 business days; and

- only permit offsets for swaps falling within the same category

• The table-based method would provide for initial margin requirements ranging from 1 percent to 15 percent of notional amount, depending on the type of swap

• Both the risk-based model and the table-based method permit offsetting exposures to be reflected only for swaps that are subject to the same “qualifying master netting agreement”

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Variation Margin Requirements

• Variation margin required for trades between Swap Entities and:

- Other Swap Entities and

- All financial end users.

• Must be paid and collected daily.

• May be less disruptive to market than initial margin because already in widespread use.

• Differences with initial margin:

- No threshold for variation margin.

- Segregation is not required for variation margin and re-hypothecation of variation margin is permitted.

- Eligible collateral: cash only, as opposed to initial margin for which a broader list of collateral types permitted.

- Cash must be US dollars (not major currencies) or currency in which payment obligations are required to be settled.

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Variation Margin Requirements

• U.S. regulators’ approach differs from BCBS/IOSCO Policy Framework, which does not distinguish between eligible collateral for initial and variation margin.

• More restrictive U.S. requirement may push market liquidity away from the U.S. and into other markets, as market participants likely would be required to liquidate assets (and incur transaction costs) to generate cash to meet the requirement.

• In the case of investment managers whose returns are based on staying fully invested in securities, the need to liquidate securities may cause tracking errors, and in certain cases, could introduce currency basis risk.

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Proposed Phase-in Schedule

• Original Proposal:

• Compliance deadline of December 1, 2015 for variation margin.

• A phased compliance schedule for initial margin, extending from December 1, 2015 to December 1, 2019, depending upon the uncleared swaps exposure (includes FX swaps and forwards) of both the swap entity combined with its affiliates and the counterparty combined with its affiliates over the measuring period of June through August of the current year.

• On March 18, 2015, BCBS/IOSCO announced a delay in the implementation of initial margin and variation margin requirements by nine months starting September 1, 2016.

• Delayed-implementation schedule with regard to variation margin for swap entities belonging to a group whose aggregate month-end average notional amount of non-centrally cleared derivatives is less that €3 trillion, until March 1, 2017.

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