ISDA/SIFMA AMG Benchmark Strategies Forum 2020

Wednesday, February 12, 2020
Convene
New York

Member US$475.00

Non-Member US$575.00

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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

 

Print Agenda ISDA/SIFMA AMG Benchmark Strategies Forum 2020 for

8:00 AM Registration and Breakfast

8:45 AM Opening Remarks Scott O’Malia

Scott O’Malia, Chief Executive Officer, ISDA

9:00 AM Keynote Address Rostin Behnam

Rostin Behnam, Commissioner, U.S. Commodity Futures Trading Commission (CFTC)

9:20 AM Building Liquidity in RFRs Subadra Rajappa

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?

Subadra Rajappa, Managing Director, Head of US Rates Strategy, Société Générale

9:50 AM Trading Alternative RFRs Jack Hattem, Richard Chambers, Chris McAlister, Thomas Pluta, Ammar Safwat Ahmed

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

Moderator: Jack Hattem, ISDA Board Member, Managing Director, Global Fixed Income, BlackRock
Richard Chambers, Global Head of Short Macro Trading, Goldman Sachs
Chris McAlister, Managing Director, Global Head of Derivatives Trading, Prudential
Thomas Pluta, Global Head of Linear Rates Trading, Co-Head of NA Rates Trading, J.P.Morgan
Ammar Safwat Ahmed, Trader - USD Interest Rate Swaps, Citi

10:40 AM Networking Break

11:10 AM Managing Legacy Books Steven Kennedy, Joe Demetrick, Guillaume Helie, Vikash Rughani, James Wallin

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

Moderator: Steven Kennedy, Global Head of Public Policy, ISDA
Joe Demetrick, Managing Director, Public Fixed Income - Derivatives, MetLife Investment Management
Guillaume Helie, Vice President, Goldman Sachs
Vikash Rughani, Business Manager, triReduce, CME TriOptima
James Wallin, Senior Vice President, Fixed Income, AllianceBernstein

11:55 AM Adapting to RFRs Christopher B. Killian, Wells Engledow, Gary Horbacz, CFA, Alexis Pederson, Philip Scott

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.

Moderator: Christopher B. Killian, Managing Director, Securitization and Corporate Credit, SIFMA
Wells Engledow, Vice President & Deputy General Counsel, Fannie Mae
Gary Horbacz, CFA, Principal, Fixed Income Structured Product Team, PGIM
Alexis Pederson, Senior Company Counsel, Wells Fargo & Company
Philip Scott, Chief Capital Markets Officer, Federal Home Loan Bank of New York

12:35 PM Networking Lunch

1:45 PM Keynote Address Edwin Schooling Latter

Edwin Schooling Latter, Director, Markets and Wholesale Policy, Financial Conduct Authority

2:05 PM Implementing Fallbacks Ann M. Battle, Sunil Cutinho, Maria Douvas, Umesh Gajria, Emilio Jiménez, Kathleen O’Neill

With the imminent publication of new fallbacks for derivatives referenced to certain IBORs, a panel of senior market participants discuss implementation, and how the finalization 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

Moderator: Ann M. Battle, Assistant General Counsel, Head of Benchmark Reform, ISDA
Sunil Cutinho, President, Clearing & Post-Trade Services, CME Group
Maria Douvas, Managing Director, Morgan Stanley
Umesh Gajria, Global Head of Index-Linked Products, Bloomberg LP
Emilio Jiménez, Managing Director and Associate General Counsel, J.P. Morgan
Kathleen O’Neill, Associate General Counsel, New York Life Insurance Company

2:55 PM Path Forward for Cleared Derivatives Jason Silverstein, Karl Abdelnour, John Lanius, Agha Mirza, Baskar Ramachandran, Sonali Theisen

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
  • Trading in the RFRs
  • Fallbacks

Moderator: Jason Silverstein, Managing Director, Asset Management Group & Associate General Counsel, SIFMA AMG
Karl Abdelnour, Head USD Short Macro & Money Market Derivatives Trading, Citigroup
John Lanius, Portfolio Manager for Taxable Money Markets, The Vanguard Group, Inc.
Agha Mirza, Managing Director, Global Head of Interest Rate Products, CME Group
Baskar Ramachandran, Americas Head of In Business Risk, LCH
Sonali Theisen, Head of Fixed Income Market Structure and E-trading, Bank of America

3:40 PM Networking Break

4:00 PM Outstanding Challenges Mark Gheerbrant, Priya Bindra, Diana Iercosan, Hee Lee, Jessica Pufahl

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

Moderator: Mark Gheerbrant, Global Head of Risk and Capital, ISDA
Priya Bindra, Executive Director, Morgan Stanley and ARRC Regulatory Issues Working Group Co-Chair
Diana Iercosan, Principal Economist, Federal Reserve Board
Hee Lee, Partner, Ernst & Young
Jessica Pufahl, Partner, Financial Markets, PricewaterhouseCoopers LLP

4:45 PM 2020: The Time is Now Scott O’Malia, Harri Vikstedt, Tom Wipf, Nate Wuerffel

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

Moderator: Scott O’Malia, Chief Executive Officer, ISDA
Harri Vikstedt, Senior Director, Financial Markets Department, Bank of Canada
Tom Wipf, ISDA Board Member, Vice Chairman of Institutional Securities, Morgan Stanley & Chair, Alternative Reference Rates Committee
Nate Wuerffel, Head of Domestic Markets, Markets Group, Federal Reserve Bank of New York

5:25 PM Closing Remarks Tim Cameron

Tim Cameron, Managing Director & Head of Asset Management Group, SIFMA

5:30 PM Networking Reception

Agenda is subject to change.


Venue Location:

Convene, 117 W 46th Street, New York, NY 10036, Phone: +1 (888) 730-7307. 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 +1 888-843-6664 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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