Committees: Collateral Management Working Group
September 23, 2008
Event on Collateral Management Issues for the Buy Side
Alogorithmics, OpHedge and Deloitte ’ Touche are hosting an event for asset managers on October 7, in New York City, to discuss collateral management issues for the buy side. Registration for this event is complimentary. Please see the invitation for registration information.
August 25, 2008
The AMF Collateral Management Working Group has drafted guidelines relating to collateral activities, which are put forth in the Collateral Management White Paper. The White Paper focuses on buyside and custodian issues related to collateral management and puts forward recommendations related to recordkeeping, processing collateral and other issues. Any comments and/or questions regarding the collateral management initiative or the white paper should be directed to Elisa Nuottajarvi of the AMF staff at enuottajarvi@sifma.org.
May 23, 2007Asset managers and hedge funds are using OTC derivatives to manage portfolio risk causing a surge in CDS transaction volumes and a concurrent increase in collateral pledges for variance margin.
At the AMF’s May 2007 workshop, asset managers and dealers agreed there was a need to develop and implement collateral management procedures to track collateral pledged and released between market participants. Also, regulators are focusing on collateral issues including adequacy, pricing and concentration issues to protect the viability of participants in a credit event.
As a result of the workshop, the AMF formed a Collateral Management Working Group composed of asset managers, dealers, prime brokers and custodians. The working group discusses the pain points experienced by market participants in the life cycle of collateral processing including pledging, releasing, segregating, valuing and reconciling positions. The Working Group will study the problems in the collateral management operational workflow in order to focus on developing guidelines to improve the industry’s overall collateral process.
The suggested issues are:
1. requirements for 1940 Act funds (and ERISA accounts)
2. segregating versus co-mingling collateral
3. cash as collateral
4. timely release of collateral after the quarterly resets and novations,
5. preserving the counterparty's security interest
6. timely and complete reporting
7. valuation and concentration of collateral
8. periodic reconciliation by asset managers, custodians and dealers
9. Collateral requirements for institutional clients
10. Legal documentation workflow
11. Dealing with multiple legal entities of the same firm
The Working Group is chaired by Ken LeGall of Goldman Sachs Asset Management and Neil Burke of Morgan Stanley.
If you would like to sign up to participate in this working group, please contact Elisa Nuottajarvi of the AMF staff at 646.637.9266.