Derivatives & Hedge Accounting: US Dollar LIBOR Transition to SOFR

Tuesday, March 19, 2019
ISDA Conference Center
New York

In the United States, the Alternative Reference Rate Committee (ARRC) was convened by the Federal Reserve to identify a set of alternative benchmark interest rates more firmly based on transactions from a robust underlying market. The Secured Overnight Financing Rate (SOFR) was selected as the preferred alternative Risk-Free Rates (RFRs) interest rate for the United States.

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 may have important consequences for banks, corporates and end-users.

U.S. dollar LIBOR, like all interbank offered rates (IBORs) across the globe, plays a central role in financial markets, as U.S. LIBOR is the benchmark interest rate to hundreds of trillions of dollars in notional of derivatives and trillions of dollars in bonds, loans, securitizations and deposits.

This conference will give market participants a comprehensive understanding of the issues that will have an impact on their business due to the transition to RFRs and the accounting implications of replacing LIBOR.

Educational Credits

4 CPE Credit Hours Available (New York)
Transitional and Nontransitional

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Tuesday, March 19, 2019

Download Agenda Derivatives & Hedge Accounting: US Dollar LIBOR Transition to SOFR for

8:15 AM Registration and Continental Breakfast

8:45 AM Introduction and Welcoming Remarks Antonio Corbi

Antonio Corbi, Director, Risk and Capital, ISDA

9:00 AM Transition away from US Dollar LIBOR to SOFR Jon Tkach

  • Characteristics of SOFR: How is it calculated and how does it behave?
  • Market efforts around adoption and use of SOFR
  • Progress in developing frameworks for transition of LIBOR-based contracts to SOFR
  • Development of a term SOFR rate: mechanics and timing
Jon Tkach, Director, Risk Solutions Group, Barclays

9:45 AM Addressing the Major Accounting Concerns around Transitions Matthew Esposito

  • Legacy trades: do not let the event catch you up by surprise
  • Does the transition to the alternate RFR constitute a modification or extinguishment of the financial instrument?
  • Does the transition result in a new hedging instrument and discontinuation of current hedge relationships?
  • How should we assess the ‘probability of cash flows’ and impact on hedge accounting
  • How to manage de/re-designations
  • Reassessing and re-documenting existing hedge relationships
Matthew Esposito, Managing Director, Accounting Policy, Citigroup Inc.

10:30 AM Preparing for Potential Ineffectiveness and/or Hedge Accounting Failure Rob Anderson

  • Situations in which hedge relationships may need to be discontinued
  • How to calculate ineffectiveness for fair value hedges in the context of RFRs
  • Practical considerations for modelling risk-free rates for SOFR transactions
  • Illiquidity of risk-free rates and potential impacts on modelling – could hedge accounting failure result?
  • Potential impact on balance sheet and the P&L from ineffectiveness and hedge accounting failure
Rob Anderson, Director, Hedge Accounting, Chatham Financial

11:10 AM Coffee Break

11:30 AM Standard Setting Response and Post 2021 William Fellows

  • Understanding the broader impacts beyond hedge accounting
  • Assessing the impact of SOFR transition on other instruments or transactions
  • Wider impact of SOFR in accounting measurements
  • IASB activity in response to IBOR transitions
  • Last of Layer Method
William Fellows, Partner, Deloitte Advisory, Deloitte & Touche LLP

12:15 PM How to be Ahead of your Competitors Hee Lee

  • Multiple functions within a company are impacted by LIBOR transition
  • Establishing comprehensive organization-wide program management and governance is essential to ensure the transition is successfully executed
  • How to coordinate across different areas
  • Providing appropriate project oversight and governance
  • Liaising effectively with technical experts, regulators and other stakeholders
Hee Lee, Partner, Ernst & Young

1:00 PM Conference Concludes

Agenda is subject to change.

Register Now for Derivatives & Hedge Accounting: US Dollar LIBOR Transition to SOFR
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ISDA Conference Center, 10 East 53rd Street (entrance on 52nd and 53rd Street), 8th Floor, New York, NY 10022, Phone: +1 (212) 901-6000. Please find a map to the venue here.

ISDA has a special rate available at the Omni Berkshire Place21 East 52nd Street, New York, NY 10022, +1 212-753-5800, located on the same block as the ISDA Conference Center. For reservations online click here OR call the Reservation Center at +1 800-843-6664 and mention the International Swaps and Derivatives Association, Inc. (ISDA) special rate. ISDA’s special rate is based on availability at the time of booking.

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Rob Anderson

Director, Hedge Accounting

Chatham Financial

Antonio Corbi

Director, Risk and Capital

ISDA

Matthew Esposito

Managing Director, Accounting Policy

Citigroup Inc.

William Fellows

Partner, Deloitte Advisory

Deloitte & Touche LLP

Hee Lee

Partner

Ernst & Young

Jon Tkach

Director, Risk Solutions Group

Barclays

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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 $400 U.S.

Non-Member $500 U.S.

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Intermediate

Some knowledge of derivatives 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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conferences@isda.org | +1 212-901-6000