ISDA/SIFMA AMG Benchmark Strategies Forum 2020

Wednesday, February 26, 2020
London Marriott Hotel Grosvenor Square
London

Member US$375.00

Non-Member US$475.00

Register for ISDA/SIFMA AMG Benchmark Strategies Forum 2020
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Registration fee

  •  
  • Member
  • Non-Member
  • Early
  • US$375.00
  • US$475.00
  • Regular
  • US$475.00
  • US$575.00
Early Bird price until January 31st, 2020.

 

Founding Sponsor:

The ISDA Benchmark Strategies Forum 2020 will explore the issues market practitioners should consider as they adopt and trade alternative risk-free rates (RFRs). The conference will look at progress in building liquidity in RFRs, and consider how the transition from LIBOR and other IBORs is influencing trading and hedging strategies in the cleared and non-cleared derivatives markets. Delegates will also learn about the implications of new contractual fallbacks for derivatives, as well as pricing and valuation issues arising from benchmark transition.

 

Who Should Attend: Senior industry participants from the buy and sell-side involved in trading, structuring, risk, legal and compliance, as well as infrastructure providers, benchmark administrators and vendors.

 

*Subject to approval. Click here to see if you qualify.

 

Please contact Rob Saunders for more information:

RSaunders@isda.org  |  +44 (0)20 3808 9727

 

Educational Credits

5.5 CPD Credit Hours Available (England and Wales)

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

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Wednesday, February 26, 2020

Print Agenda ISDA/SIFMA AMG Benchmark Strategies Forum 2020 for

8:00 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks

9:00 AM Keynote Address

A senior regulator will provide an update on the progress of industry efforts to adopt RFRs in place of IBOR, along with outstanding issues.

9:20 AM Building Liquidity in RFRs

This session will examine the depth of liquidity in transactions linked to alternative RFRs, focusing on derivatives and futures markets. What needs to happen to foster more liquidity and trading activity across the curve?

9:50 AM Trading Alternative RFRs

Trading volumes in OTC and exchange-traded derivatives linked to alternative RFRs are growing. What issues must traders consider as they adopt and trade RFRs? What strategies and trends are emerging?

  • Overnight RFRs vs. IBORs
  • Managing basis risk
  • Trading derivatives vs. cash
  • Discounting implications
  • Constructing a curve
  • Swaption valuation and settlement

10:40 AM Networking Break

11:10 AM Managing Legacy Books

Derivatives account for roughly 80% of the estimated $370 trillion in outstanding notional referenced to IBORs. How are firms approaching the management and transition of legacy non-cleared derivatives portfolios?

  • Assessing and quantifying exposures
  • Discounting implications, valuation adjustment and compensation
  • Managing mismatches between derivatives and cash

11:55 AM Adapting to RFRs

This panel will look at how participants active in derivatives, bonds, loans and asset-backed securities are adapting to new RFRs and the impact on their respective markets.

12:35 PM Networking Lunch

1:45 PM Keynote Address

A senior policy-maker will outline next steps in the path to benchmark reform.

2:05 PM Implementing Fallbacks

With the imminent publication of new fallbacks for derivatives referenced to certain IBORs, a panel of senior market participants discuss implementation, and how the finalisation of fallback spread adjustments could spur trading activity in RFRs.

  • Overview of changes to ISDA Definitions and ISDA Protocol
  • Publication of spread adjustments and impact on trading
  • Making the necessary adjustments to systems and infrastructure
  • Comparing derivatives fallbacks to those for other financial instruments

2:55 PM The Path Forward for Cleared Derivatives

How are central counterparties approaching benchmark reform? What impact will this have on trading and hedging strategies and market liquidity?

  • PAI and discounting changes
  • Compensation mechanisms

3:40 PM Networking Break

4:00 PM Outstanding Challenges

The derivatives industry is making progress in its efforts to adopt alternative RFRs in place of the IBORs, but a number of challenges remain. This panel will discuss efforts to address those issues.

  • Accounting considerations
  • Implications of a lack of data for model calibration and approval
  • Client communication and reputational risk
  • Regulatory clarity on margin and clearing requirements
  • Derivatives vs. bonds vs. loans – differences in approach and pace of transition

4:45 PM The RFR Trading Checklist

This panel will summarise what buy and sell-side financial institutions and end users need to do in order to be ready to trade alternative RFRs and hedge their exposures.

5:15 PM Networking Reception

Agenda is subject to change.

Register Now for ISDA/SIFMA AMG Benchmark Strategies Forum 2020
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London Marriott Hotel Grosvenor Square, Grosvenor Square, London, W1K 6JP United Kingdom Phone: +44 20 7493 1232. Please find a map to the venue here.

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Complimentary buy-side registration: To qualify, the registrant must be an employee of a buy-side firm. Buy-side firms include asset managers, hedge funds, mutual funds, pension funds, insurance companies, energy/commodity firms and corporates. Institutions that have a proprietary trading arm but also provide services to other market participants do not qualify as buy-side even if they are the clients of service providers. All complimentary registrations are subject to ISDA approval.

 

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 prior to the event.

Member US$375.00

Non-Member US$475.00

Early Bird price until January 31st, 2020
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Follow us on Twitter @isdaconferences for the latest on upcoming events. For general questions, including exhibition/sponsorship opportunities, conference topics or location suggestions contact us: conferences@isda.org | +1 212-901-6000