ISDA Conferences

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

Documenting and Confirming Exotic Flow Equity Derivatives Conference

6.5 CPD credit hours available (England & Wales)

7.5 CLE Credit Hours available (New York)
Transitional and Non-Transitional

October 15, 2008
London

PROGRAM AGENDA

8:00 AM	Registration and Morning Coffee
8:45 AM	Introduction and Welcoming Remarks
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 Steve Nawrocki, Equity Derivatives Trader, BNP Paribas
10:00 AM	ISDA Variance Documentation • Details of 2007 European Variance Swap Master 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 Shamir Malviya, Merrill Lynch & Co., Inc. David Vincent, Associate, Allen & Overy LLP
11:00 AM	Morning Break
11:15 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 Caroline Shackleford, Legal Counsel, Equities Legal, EMEA, Bank of America Other speaker to be announced
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 Speaker to be announced
5:00 PM	Conference Concludes

Agenda is subject to change

ISDA has been approved by the Solicitors Regulation Authority of England and Wales as an authorised provider of Continuing Professional Development.

Please click here for the Conference Registration Form.

CONFERENCE VENUE: Allen & Overy, One Bishops Square, London, E1 6AD. Phone: +44 20 3088 3550.

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