Fundamentals of Derivatives

Tuesday, September 24, 2019
London

Member $850 U.S.

Non-Member $975 U.S.

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Educational Credits

6.5 CPD Credit Hours Available (England and Wales)

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

Print Agenda Fundamentals of Derivatives for

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 Michelle Hurd, 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
Michelle Hurd, Assistant Director, Market Infrastructure & Technology, ISDA
Ian Sloyan, Director, Market Infrastructure and Technology, ISDA

12:00 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
  • Settlement methods
  • ISDA Equity Derivatives Definitions
Michelangelo de Marzio, Assistant Director, Market Infrastructure and Technology, ISDA

12:45 PM Luncheon

1:45 PM Credit Derivatives Products Paul Allan, 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
Paul Allan, Senior Associate, Allen & Overy LLP
Jonathan Martin, Director, Market Infrastructure and Technology, ISDA

2:45 PM Afternoon Break

3:00 PM Central Clearing and Uncleared Margin Sebastien Renard, Sarah Willis

  • 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
Sebastien Renard, Executive Director, Bank Resource Management , Morgan Stanley
Sarah Willis, Managing Associate, Linklaters LLP

4:00 PM Basics of Derivatives Documentation Annabel Akintomide

  • Derivatives Documentation Architecture
  • ISDA Master Agreements, including the Schedule and CSA
  • ISDA Definitions books
  • ISDA Protocols
Annabel Akintomide, Counsel, ISDA

5:00 PM Conference Concludes

Agenda is subject to change.


Venue Location:

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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