ISDA Accounting Meeting
Accounting and Reporting: Gear up for the End of LIBOR
Tuesday, November 3, 2020Hotel Riu Plaza EspañaMadrid
This event will give market participants in derivatives markets an update on the accounting issues that will have an impact on the market due to accounting and regulatory changes. Particular consideration will be given to hot topics such as the transition from LIBOR to risk-free rates, including the necessary operational changes and accounting implications.
It is clear that most companies (not just banks) will be affected by LIBOR transition. Interbank offered rates (IBORs) play a central role in financial markets and act as reference rates to hundreds of trillions of dollars in notional of derivatives and trillions of dollars in bonds, loans, securitizations and deposits.
The dependence on IBORs by all sectors of financial markets is changing, however. Driven by benchmark reform initiatives that have recommended reducing the reliance on IBORs, work has been undertaken, or is underway, in multiple jurisdictions to select alternative nearly risk-free rates (alternative RFRs) and to plan for a transition to those rates.
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.
This conference will give market participants a good overview of the accounting implications of replacing LIBOR and the consequent operational impact on their business.
2.5 CPE Credit Hours Available
8:30 AM Registration and Coffee
9:00 AM Introduction and Welcoming Remarks
9:05 AM Update on Transition to Risk Free Rates:
- Replacement of EONIA by ESTR
- Replacement of US LIBOR by SOFR
- Replacement of GBP Libor by SONIA
- Amendments to Euribor
- Comparison of volumes of RFR and IBOR derivatives
- Use of RFRs in cash products
- Development of RFR term rates
- Regulatory communication to accelerate transition
9:45 AM US GAAP Amendments and Guidance on Accounting Consequences
- SOFR Benchmark Rate Designation
- FASB’s amendments & Impact on financial instruments including modification
- FASB’s amendments & Impact on Hedge Accounting
- Feedback provided by ISDA to the FASB
10:15 AM Coffee Break
10:30 AM IFRS Amendments and Guidance on Accounting Consequences
- Phase 1 hedge accounting amendments
- Proposed phase 2 amendments and guidance on classification and measurement
- Proposed Phase 2 hedge accounting amendments and guidance and feedback provided by ISDA to the IASB
- The key remaining accounting issues related to IBOR reform
11:00 AM Implementation Issues on Reporting Related to IBOR Reform
- Challenges and approaches for valuation and measurement
- Challenges and approaches for hedge accounting
- Integrating hedge accounting into wider IBOR programs
- Systems and process issues
- Managing profit or loss volatility and spread risk
- Addressing disclosure requirements
11:45 AM Meeting Concludes
Agenda is subject to change.
Hotel Riu Plaza España, Calle Gran Vía, 84, 28013 Madrid, Spain, Tel: +34 919 19 33 93