Understanding the New IBOR Fallbacks

Friday, November 13 to Thursday, December 10, 2020
Online

Member US$375.00

Non-Member US$425.00

Register for Understanding the New IBOR Fallbacks

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.

 

This is a pre-recorded Virtual Conference

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Recording available until December 10, 2020

 

This is a recording of the Understanding the New IBOR Fallbacks Event which took place on November 9 & 10

  • Registrants will have access to the recording until 5.00 PM EST on December 10, 2020
  • After submitting your registration you will receive a confirmation email with a link to view the documents and recording

 


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

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Print Agenda Understanding the New IBOR Fallbacks for

Day 1: The IBOR Fallbacks Supplement and Protocol

9:00 AM Introduction and Welcoming Remarks Katherine Tew Darras

Katherine Tew Darras, General Counsel, ISDA

9:05 AM Fireside Chat Scott O’Malia, Tom Wipf, Nate Wuerffel

The fireside chat will cover the importance of fallbacks and the work of the Alternative Reference Rates Committee.

Moderator: Scott O’Malia, Chief Executive Officer, ISDA
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

9:35 AM Break

9:45 AM Introduction to the IBOR Fallbacks Supplement Rick Sandilands, Guillaume Helie, Kathleen O’Neill, Heather Pilley, Deepak Sitlani, Janet Wood

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

Moderator: Rick Sandilands, Senior Counsel, Europe, ISDA
Guillaume Helie, Vice President, Goldman Sachs
Kathleen O’Neill, Associate General Counsel, New York Life Insurance Company
Heather Pilley, Acting Manager Benchmarks Policy, Financial Conduct Authority
Deepak Sitlani, Partner, Linklaters LLP
Janet Wood, Managing Director and Associate General Counsel, Bank of America

10:35 AM Break

10:45 AM Introduction to the IBOR Fallbacks Protocol Phoebe Coutts, Andy Jackson, Sherry Kurisinkal, Tamsin Rolls, Deepak Sitlani

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

Moderator: Phoebe Coutts, Benchmark Reform, Senior Lawyer (Secondment), ISDA
Andy Jackson, Executive Director and Senior Counsel, Goldman Sachs Asset Management
Sherry Kurisinkal, Director, Regulatory & Compliance, IHS Markit
Tamsin Rolls, Executive Director and Assistant General Counsel, J.P. Morgan
Deepak Sitlani, Partner, Linklaters LLP

11:30 AM Break

11:40 AM Publication of Fallback Rates Jonathan Martin, Harry Lipman, George Oomman, Jonathan Seymour

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

Moderator: Jonathan Martin, Director, Market Infrastructure and Technology, ISDA
Harry Lipman, Global Derivatives Product Manager, Bloomberg L.P.
George Oomman, Product Manager, Bloomberg Index Services Limited (BISL), Bloomberg L.P.
Jonathan Seymour, Data Strategy, Bloomberg L.P.

12:20 PM End of Day 1

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

9:00 AM Introduction and Welcoming Remarks Katherine Tew Darras

Katherine Tew Darras, General Counsel, ISDA

9:05 AM Fallbacks for Cleared Transactions Rick Sandilands, Lee Bartholomew, Steven J. Dayon, CFA, Philip Whitehurst

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

Moderator: Rick Sandilands, Senior Counsel, Europe, ISDA
Lee Bartholomew, Head of Derivatives Product R&D Fixed Income, Eurex
Steven J. Dayon, CFA, Executive Director, OTC Products, CME Group
Philip Whitehurst, Head of Service Development, Rates, LCH

9:50 AM Break

10:00 AM Bilateral Templates for Fallbacks Phoebe Coutts, Ilene K. Froom, David Hayes, Hannah Patterson, Deepak Sitlani

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

Moderator: Phoebe Coutts, Benchmark Reform, Senior Lawyer (Secondment), ISDA
Ilene K. Froom, Partner, Reed Smith LLP
David Hayes, Director, EMEA Markets Legal, Citigroup
Hannah Patterson, Managing Practice Development Lawyer, Derivatives and Structured Products, Linklaters LLP
Deepak Sitlani, Partner, Linklaters LLP

10:45 AM Break

10:55 AM Fallbacks for Non-linear and RFR Based Products Jonathan Martin, Suzanna Brunton, Ronan Farrell, Guillaume Helie, Sam Phillips

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

Moderator: Jonathan Martin, Director, Market Infrastructure and Technology, ISDA
Suzanna Brunton, Managing Associate, Linklaters LLP
Ronan Farrell, Investment Management Specialist - RFR Programme, Fidelity International
Guillaume Helie, Vice President, Goldman Sachs
Sam Phillips, Head of XVA and Central Funding Desk, Europe & Americas and AME, Standard Chartered

11:45 AM What Next After Fallbacks? Phoebe Coutts

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

Phoebe Coutts, Benchmark Reform, Senior Lawyer (Secondment), ISDA

12:00 PM Conference Concludes


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