Thu, Jan 30, 2020Event Details for ISDA Annual Legal Forum Register Now for ISDA Annual Legal Forum
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
5.5 CPD Credit Hours Available (England and Wales)
6.5 CLE Credit Hours Available (New York) Transitional and Non-Transitional
Tags: Benchmark Fallbacks, Benchmarks, IBOR, LIBOR, Risk-free Rates, SOFR
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Wednesday, February 26, 2020Print 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.
VenueBack to Top
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.
PricingBack to Top
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 email@example.com prior to the event.
Non-Member US$475.00Early Bird price until January 31st, 2020