Understanding the New IBOR Fallbacks

Monday, November 9 to Tuesday, November 10, 2020
Online

Member US$375.00

Non-Member US$425.00

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  • Member
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  • Early
  • US$275.00
  • US$325.00
  • Regular
  • US$375.00
  • US$425.00

On October 23, ISDA published a supplement to the 2006 ISDA Definitions that will introduce new, robust fallbacks for derivatives linked to LIBOR and other key interbank offered rates (IBORs). The changes will apply to all new cleared and non-cleared derivatives that reference the 2006 Definitions from the effective date of January 25, 2021. ISDA will also publish a protocol that will enable market participants to choose to incorporate the revisions into their legacy non-cleared derivatives trades with counterparties that also opt to adhere to the protocol.

Over 2 half days this virtual event will explore the key elements of the supplement and protocol, making this event a must-attend for firms with LIBOR or other IBOR derivatives exposures.

Registration for this event will close 2 hours before the live broadcast on Day 1

 

This is a 2 Day ISDA Virtual Conference:

  • Event will be live on November 9, 2020 from 9:00 AM – 12:05 PM  and November 10, 2020 from 9:00 AM – 12:10 PM EST  Timezone Converter
  • Miss part of the event or aren’t able to watch live? The recording will be available to registrants until December 10, 2020

 


The ISDA Benchmarks Hub is your resource for all information surrounding benchmark reform.
The page is updated on a regular basis as relevant information becomes available globally and serves as the central repository for information from ISDA relating to financial benchmark reform and the transition from LIBOR. If you have any questions or would like additional information in relation to these matters, please email:
benchmarkreform@isda.org

ISDA Create InfoHub

This page contains all relevant information relating to ISDA Create, including demos, fact sheets, webinars, product presentations and access to the ISDA Create platform. Click here for more details.

 

Educational Credits

Day 1

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

3 CPE Credit Hours Available

2.5 CPD Credit Hours Available (England and Wales)

 

Day 2

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

3 CPE Credit Hours Available

2.5 CPD Credit Hours Available (England and Wales)

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Monday, November 9, 2020

Print Agenda Understanding the New IBOR Fallbacks for

Day 1: The IBOR Fallbacks Supplement and Protocol

9:00 AM Introduction

9:05 AM Fireside Chat

A senior regulator will give a perspective on the importance of the new fallbacks.

9:25 AM Break

9:35 AM Introduction to the IBOR Fallbacks Supplement

This session will explore the ins-and-outs of ISDA's IBOR Fallbacks Supplement, focusing on the critical elements firms need to know.

  • Explanation of the fallback rates
  • When and how to observe fallback rates
  • Triggers
  • Discounted rates maturities (DRM) provisions
  • Effective Date

10:20 AM Break

10:30 AM Introduction to the IBOR Fallbacks Protocol

Firms need to adhere to the IBOR Fallbacks Protocol in order to incorporate the new fallbacks into legacy trades on a multilateral basis with other adhering parties. How can firms adhere and when? What does the protocol cover and when do the changes come into effect?

  • Coverage of ISDA and non-ISDA documents
  • Effective date and adherence period
  • Agency adherence

11:15 AM Break

11:25 AM Publication of Fallback Rates

This panel will describe how firms can find the fallback rates and how the fallback calculation methodology works.

  • How to access fallback rates
  • Explanation of indicative rates
  • Publication timing
  • The Bloomberg rule book

12:05 PM End of Day 1

Day 2: Implementing Fallbacks for Cleared and Non-vanilla Trades

9:00 AM Introduction

9:05 AM Guest Speaker

A senior regulator will provide a perspective on supervisory expectations relating to fallbacks.

9:25 AM Break

9:35 AM Fallbacks for Cleared Transactions

How will the fallbacks apply to new and legacy cleared derivatives? This session will feature explanations from the major central counterparties.

10:15 AM Break

10:25 AM Bilateral Templates for Fallbacks

What alternatives do firms have if they don't adhere to the ISDA Fallbacks Protocol? This panel will describe how firms can use bilateral templates to (i) implement fallbacks for legacy derivative transactions and (ii) amend the terms of the protocol.

  • Bilateral alternative to the IBOR Fallbacks Protocol
  • Supplemental bilateral language
  • Using ISDA Create

11:05 AM Break

11:15 AM Fallbacks for Non-linear and RFR Based Products

What issues should firms consider when implementing fallbacks for non-vanilla derivatives products? This session will explore the issues and options.

  • Overview of swaptions, caps, floors, in-arrears swaps and range accruals
  • What to consider if agreeing to bespoke fallbacks
  • Cross-currency swaps
  • Fallbacks in overnight rate options

12:00 PM What Next After Fallbacks?

Following the launch of the IBOR Fallbacks Supplement and Protocol, this session will look at the industry agenda for 2021 and beyond.

12:10 PM Conference Concludes

Agenda is subject to change.

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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

Member US$375.00

Non-Member US$425.00

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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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