Derivatives & Hedge Accounting: LIBOR, EURIBOR and EONIA

Tuesday, March 5, 2019
London

It is clear that most companies (not just banks) will be affected by LIBOR, EURIBOR and EONIA transition. Hedge accounting is a vital risk management tool connecting cash and derivatives markets and the lack of understanding of the transition to risk-free-rates (“RFR”) may have important consequences for banks, corporates and end-users.

The European Regulation on benchmarks’ deadline is 1/01/2021 and therefore there is very little time to prepare. Market exposure is considerable and will affect a broad range of product types across multiple market segments.

This conference will give market participants a comprehensive understanding of the issues that will have an impact on their business due to the transition to RFRs and the accounting implications of replacing LIBOR, EURIBOR and EONIA with new benchmarks in Europe.

Educational Credits

3.5 CPD Credit Hours Available (England and Wales)
Transitional and Nontransitional

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Tuesday, March 5, 2019

Download Agenda Derivatives & Hedge Accounting: LIBOR, EURIBOR and EONIA for

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 Transition away from GBP LIBOR to SONIA the RFR for the GBP Will Parry

  • Background: Financial Stability Board recommendations
  • An introduction to SONIA
  • Wide support for the SONIA as RFR for GBP
  • The expectations for the transition away from LIBOR
  • Term structure and other transition considerations
Will Parry, Senior Manager, Sterling Markets Division, Bank of England

9:40 AM Transition away from EONIA to ESTER the RFR for the Euro Carlos Molinas

  • Background, European Benchmarks Regulation
  • Benchmark rate definition approach & methodology to calculate the spread
  • Wide support for the ESTER as RFR for Euro
  • The new rate and the expectations for the transition away from Euribor
  • Term structure and other transition considerations
Carlos Molinas, Global Head of Business Compliance, Crédit Agricole CIB

10:15 AM Addressing the major accounting concerns around transitions Robbert Labuschagne, Fiona Thomson

  • Legacy trades: do not let the event catch you up by surprise
  • Does the transition to the alternate RFR constitute a modification or extinguishment of the financial instrument?
  • Does the transition result in a new hedging instrument and discontinuation of current hedge relationships?
  • How should we assess the ‘probability of cash flows’ and impact on hedge accounting
  • How to manage de/re-designations
  • Reassessing and re-documenting existing hedge relationships
Robbert Labuschagne, Head of Accounting Policy, EMEA, Barclays
Fiona Thomson, Managing Director, International Head of Accounting Policy, Goldman Sachs International

10:50 AM Preparing for potential ineffectiveness and/or hedge accounting failure Kern Roberts

  • Situations in which hedge relationships may need to be discontinued
  • How to calculate ineffectiveness for cash flow and fair value hedges in the context of RFRs
  • Practical considerations for modelling risk free rates for GBP and EUR transactions
  • Illiquidity of risk free rates and potential impacts on modelling – could hedge accounting failure result?
  • Potential impact on balance sheet and the P&L from ineffectiveness and hedge accounting failure?
Kern Roberts, Director - Hedge Accounting, Chatham Financial

11:25 AM Coffee Break

11:45 AM Standard setting response and post 2021 Andrew Spooner

  • Understanding the broader impacts beyond hedge accounting
  • The SPPI criterion and classification and the compounding IR calculations
  • Assessing derecognition for renegotiation of cash instruments
  • If no derecognition, what is the measurement impact?
  • Impact on business model assessment and SPPI
  • Wider use of risk free rates in accounting measurement
  • Areas standard setters may focus on
Andrew Spooner, Partner, Deloitte

12:20 PM How to be ahead of your competitors Yolaine Kermarrec

  • Multiple functions within a company are impacted by LIBOR transition
  • Establishing comprehensive organization-wide program management and governance is essential to ensure the transition is successfully executed
  • How to coordinate across different areas
  • Providing appropriate project oversight and governance
  • Liaising effectively with technical experts, regulators and other stakeholders
Yolaine Kermarrec, Partner, CFO Advisory Services – Capital Markets, Ernst & Young LLP

1:10 PM Conference Concludes

Register Now for Derivatives & Hedge Accounting: LIBOR, EURIBOR and EONIA
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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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Antonio Corbi

Director, Risk and Capital

ISDA

Yolaine Kermarrec

Partner, CFO Advisory Services – Capital Markets

Ernst & Young LLP

Robbert Labuschagne

Head of Accounting Policy, EMEA

Barclays

Carlos Molinas

Global Head of Business Compliance

Crédit Agricole CIB

Will Parry

Senior Manager, Sterling Markets Division

Bank of England

Kern Roberts

Director - Hedge Accounting

Chatham Financial

Andrew Spooner

Partner

Deloitte

Fiona Thomson

Managing Director, International Head of Accounting Policy

Goldman Sachs International

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Registration fee is for one person to attend the entire event. Pass may not be split between multiple attendees.
Groups of three or more attendees from the same firm can receive a 20% discount on event registrations. To register your group, please email conferences@isda.org

Government Agencies and Financial Hardship Policy

Member $400 U.S.

Non-Member $500 U.S.

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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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