Fundamentals of Derivatives

Thursday, April 25, 2019
London

Member $850 U.S.

Non-Member $975 U.S.

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Thursday, April 25, 2019

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8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks Ian Sloyan

Ian Sloyan, Director, Market Infrastructure and Technology, ISDA

9:00 AM Overview of Derivatives Products Ian Sloyan

  • Definition and explanation of derivatives
  • Common types of derivatives:
    • Interest rate derivatives
    • Credit derivatives
    • Commodities
    • Equities
    • FX
  • Major reasons for using derivatives
  • Examples of derivative users
  • OTC vs. exchange traded derivatives
  • Major venues for derivatives trading and clearing
  • Basic valuation of derivatives types
Ian Sloyan, Director, Market Infrastructure and Technology, ISDA

10:30 AM Morning Break

10:45 AM Interest Rate Derivatives Products Renée Atema, Ian Sloyan

  • Overview of interest rate derivatives
    • Major products
    • Notional outstanding vs. market value
    • Trading volumes
  • Interest rate swaps
    • Description
    • Terminology, convention and market quotes
    • Basic valuation
  • Interest rate caps, floors, swaptions and straddles
    • Description
    • Terminology and convention
    • How options work
    • Basic option strategies
    • Basic valuation
    • Settlement methods
Renée Atema, Senior Product Manager FX/Interest Rate Derivatives, ING Bank N.V.
Ian Sloyan, Director, Market Infrastructure and Technology, ISDA

12:30 PM Luncheon

1:30 PM Credit Derivatives Products Jonathan Martin

  • Overview of credit derivatives
    • Major products
    • Notional outstanding vs. market value
    • Trading volumes
  • Credit default swaps: single names and index CDS
  • Users of credit derivatives
  • Terminology, convention and market quotes
  • Valuation
  • CDS-bond basis
  • Credit events: single name and index CDS
  • Settlement methods and auctions
  • The ISDA Credit Derivatives Determination Committee
Jonathan Martin, Director, Market Infrastructure and Technology, ISDA

2:00 PM Equity Derivatives Products Michelangelo De Marzio

  • Overview of equity derivatives
    • Major products
    • Notional outstanding vs. market value
  • Users of equity derivatives
  • Equity swaps: single names and basket
  • Equity options: call & put options structures
  • Dividend swaps
  • Variance/Volatility swaps
  • Extraordinary events
  • Settlement methods
Michelangelo De Marzio, Assistant Director, Market Infrastructure and Technology, ISDA

2:30 PM FX Derivatives Products Renée Atema

  • Overview of FX derivatives
    • Major products
    • Notional outstanding vs. market value
  • Users of FX derivatives
  • FX swaps (deliverable and non-deliverable)
  • FX forwards (deliverable and non-deliverable)
  • Currency options (deliverable and non-deliverable)
  • Exotic FX products
  • Settlement methods
Renée Atema, Senior Product Manager FX/Interest Rate Derivatives, ING Bank N.V.

3:00 PM Afternoon Break

3:15 PM Central Clearing and Uncleared Margin Ulrich Karl

  • Risk View
    • What is counterparty risk in derivatives?
    • How can counterparty risk be mitigated?
    • Bilateral margin for uncleared derivatives
    • Key aspects of clearing
  • Legal View
    • Bilateral documentation
    • Segregation models in CCPs
    • Clearing documentation
Ulrich Karl, Head of Clearing Services, ISDA
Additional Speakers to be Announced.

4:15 PM Basics of Derivatives Documentation Annabel Akintomide

ISDA has published a range of documentation. This session will provide an overview of ISDA’s documentation architecture and legal opinions.

Annabel Akintomide, Counsel, ISDA

5:00 PM Conference Concludes

Agenda is subject to change.

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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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Annabel Akintomide

Counsel

ISDA

Renée Atema

Senior Product Manager FX/Interest Rate Derivatives

ING Bank N.V.

Michelangelo De Marzio

Assistant Director, Market Infrastructure and Technology

ISDA

Ulrich Karl

Head of Clearing Services

ISDA

Jonathan Martin

Director, Market Infrastructure and Technology

ISDA

Ian Sloyan

Director, Market Infrastructure and Technology

ISDA

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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 $850 U.S.

Non-Member $975 U.S.

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Introductory

Basic knowledge of derivatives is beneficial but not mandatory. Some knowledge of financial markets 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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