ISDA Conferences

International Swaps and Derivatives Association, Inc. (ISDA®)

Documenting and Confirming Exotic Flow Equity
Derivatives Conference

7.5 CLE Credit Hours Available (New York)
Nontransitional Credit Only

7.5 CPE Credit Hours Available

June 23, 2008
Global Financial Markets Conference Center
New York

PROGRAM AGENDA

8:00 AM	Registration and Continental Breakfast
8:50 AM	Introduction and Welcoming Remarks Rosario Chiarenza, Counsel, ISDA
9:00 AM	Volatility as an Asset Class • The economic basics, including who uses variance swaps and why • Details of hedging strategies for index and share variance swaps, including initial hedging and adjustments of hedges in the cash and listed markets • Discussion of complex variance products, including conditional variance, options on variance, dispersion and correlation swaps Philippe Combescot, Director, BNP Paribas Benjamin Graves, Vice President, J.P. Morgan Chase & Co.
10:30 AM	ISDA Variance Documentation • Details of 2007 Americas Master Variance Swap Confirmation Agreement, including treatment of Dividends, Disrupted Days and their impact, and Extraordinary Events • Comparison with previous versions and use of ISDA European Variance Protocol and bi-lateral implementation letters • Regional comparison US/Europe/Asia(ex-Japan)/Japan, including reasons for variations Ilene K. Froom, Executive Director and Assistant General Counsel, J.P. Morgan Chase & Co.
11:15 AM	Morning Break
11:30 AM	ISDA Variance Documentation (continued)
1:00 PM	Luncheon
2:00 PM	Master Confirmation Workshop for Variance Documentation This workshop will examine key provisions in documenting the following: • Options on variance/conditional variance • Dispersion • Correlation Luke Farber, Managing Director, BNP Paribas Nicholas N. Gao, Director, BNP Paribas
3:00 PM	Afternoon Break
3:15 PM	Master Confirmation Workshop for Variance Documentation (continued)
4:30 PM	Operational and Risk Management Issues in Exotic Flow Equity Derivatives Donald Krapp, Equity Risk Management, Citigroup
5:00 PM	Conference Concludes

Agenda is subject to change

Please click here for the Conference Registration Form.

CONFERENCE VENUE: Global Financial Markets Conference Center, 360 Madison Avenue (entrance on 45th Street), 17th Floor, New York, NY 10017 Phone: (212) 901-6000.

To obtain more information, please contact the ISDA conference department at +1 212-901-6000 or
e-mail CONFERENCES@ISDA.ORG