Derivatives Accounting: New Challenges

LIBOR Transition and New Models to Manage Risks

Thursday, June 28, 2018
London

Member $400 U.S.

Non-Member $500 U.S.

Register for Derivatives Accounting: New Challenges

Derivatives are evolving and new accounting requirements to manage risks have been developed to better reflect safe hedging strategies. This conference will give derivative market participants a comprehensive understanding of the issues that will have an impact on the business due to the most recent accounting and regulatory changes. Particular consideration will be given to the transition to Risk-Free Rates (RFRs) and the accounting implications of replacing LIBOR with new benchmarks in Europe. Participants will also receive an update on IFRS 9 hedge accounting and the issues surrounding its implementation, including an update on macro-hedging. In addition, this conference will look at the recently approved Settle to Market Model (STM), Cleared Derivatives Model and its impact on regulatory capital and the efforts to include derivatives under this model.

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Thursday, June 28, 2018

8:15 AM Registration and Continental Breakfast

9:00 AM Introduction and Welcoming Remarks Antonio Corbi

Antonio Corbi, Director, Risk and Capital, ISDA

9:05 AM Implementing IFRS 9 Hedge Accounting Guidance Moderator: Antonio Corbi, Tony Clifford, Kern Roberts

  • Overview of hedge accounting under IFRS 9 guidance
    • What has changed for corporates
    • Implementation problems and benefits
  • New hedging strategies discussion:
    • Cost of hedging approach
    • Non-Financial exposures
    • Experiences so far
  • Presentation in the financial statements
Moderator: Antonio Corbi, Director, Risk and Capital, ISDA
Tony Clifford, Partner, Ernst & Young LLP
Kern Roberts, Director - European Hedge Accounting Advisory, Chatham Financial

9:55 AM Dynamic Risk Management Project – an update Jane Hurworth

Jane Hurworth, Executive Director, Ernst & Young LLP

10:15 AM ISDA Facilitator of the Settle to Market Model (STM) for Cleared Derivatives Moderator: Antonio Corbi, Marc Lohmann, Nathan Ondyak, Fiona Thomson

  • Background: Balance Sheet Offsetting and Clearing
  • ISDA’s Involvement with the Big 4, LCH and CME
  • VM as Settlement rather than Collateral: House Accounts and Client Clearing
  • ISDA Led Industry Effort to Resolve STM Accounting Issues
    • STM: Impact on Hedge Accounting
    • STM: Impact on Capital and Leverage Ratio
Moderator: Antonio Corbi, Director, Risk and Capital, ISDA
Marc Lohmann, Director, Accounting Policy and Advisory Group (APAG), Deutsche Bank AG, London Branch
Nathan Ondyak, Global Head of SwapAgent, LCH
Fiona Thomson, Managing Director, Accounting Policy, Goldman Sachs International

10:45 AM STM for Non-Cleared Derivatives in SwapAgent Moderator: Antonio Corbi, Sumien Coetzer, Nathan Ondyak, Fiona Thomson

  • Background and Drivers
  • Legal construct and opinions
  • Comparison to cleared STM
  • FAQs
Moderator: Antonio Corbi, Director, Risk and Capital, ISDA
Sumien Coetzer, Senior Director, Barclays
Nathan Ondyak, Global Head of SwapAgent, LCH
Fiona Thomson, Managing Director, Accounting Policy, Goldman Sachs International

11:15 AM Coffee Break

11:30 AM Transition to Risk-Free Rates (RFRs) Moderator: Antonio Corbi, Imane Bakkar, Francois Jourdain

  • Background, Financial Stability Board recommendations and approach
  • Wide support for the SONIA as RFR and GBP
  • Alternative Rates and expectations for the transition
  • Term structure and other transition considerations
Moderator: Antonio Corbi, Director, Risk and Capital, ISDA
Imane Bakkar, Senior Manager, Risk Free Rates Transition, Bank of England
Francois Jourdain, Managing Director, Barclays

12:00 PM Transition to Risk-Free Rates (RFRs): Accounting Impact Moderator: Antonio Corbi, David Bisnath, Amirah Bowes, Tony Clifford, Fiona Thomson

  • Documentation
  • Requirements for discontinuation and de and re-designation
  • Probability of cash flows and valuation
  • Assessment of hedge effectiveness
  • Changes in hedging strategies
Moderator: Antonio Corbi, Director, Risk and Capital, ISDA
David Bisnath, Director, Accounting Policy and Advisory Group (APAG), Deutsche Bank AG, London Branch
Amirah Bowes, Technical Specialist, Prudential Policy Directorate, Bank of England
Tony Clifford, Partner, Ernst & Young LLP
Fiona Thomson, Managing Director, Accounting Policy, Goldman Sachs International

12:30 PM Update on Standard Setting Andrew Spooner

  • ISDA project on distinguishing liabilities from equity
  • Amendments to IAS 1
  • Post implementation review IRRS 13
Andrew Spooner, Global IFRS Lead Financial Instruments, Deloitte

1:00 PM Conference Concludes

Register Now for Derivatives Accounting: New Challenges
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Allen & Overy LLP, One Bishops Square, London, E1 6AD. Phone +44 (0) 203 808 9700. A map to the venue can be found here. You will be required to provide photo identification in order to enter the venue. Please ensure you present this at the ground floor reception or you may be refused entry.

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Marc Lohmann

Director, Accounting Policy and Advisory Group (APAG)

Deutsche Bank AG, London Branch

Imane Bakkar

Senior Manager, Risk Free Rates Transition

Bank of England

David Bisnath

Director, Accounting Policy and Advisory Group (APAG)

Deutsche Bank AG, London Branch

Amirah Bowes

Technical Specialist, Prudential Policy Directorate

Bank of England

Tony Clifford

Partner

Ernst & Young LLP

Sumien Coetzer

Senior Director

Barclays

Antonio Corbi

Director, Risk and Capital

ISDA

Jane Hurworth

Executive Director

Ernst & Young LLP

Francois Jourdain

Managing Director

Barclays

Nathan Ondyak

Global Head of SwapAgent

LCH

Kern Roberts

Director - European Hedge Accounting Advisory

Chatham Financial

Andrew Spooner

Global IFRS Lead Financial Instruments

Deloitte

Fiona Thomson

Managing Director, Accounting Policy

Goldman Sachs International

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Intermediate

Some knowledge of derivatives is assumed. No advance preparation is required.

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ISDA is an accredited provider of continuing education credits by the following organizations:

  • CLE

    ISDA has been certified by the New York State Continuing Legal Education Board as an Accredited Provider of continuing legal education in the state of New York.

  • CPE Sponsory

    ISDA is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be addressed to the National Registry of CPE Sponsors: 150 Fourth Avenue North, Suite 700, Nashville, TN 37219-2417. www.nasba.org

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