Understanding the New IBOR Fallbacks (APAC)

Tuesday, November 17, 2020
Online

Member US$225.00

Non-Member US$275.00

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Early Bird price until October 30th, 2020.

On October 23, ISDA has launched 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 also published 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.

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

 

This is an ISDA Virtual Conference:

  • Event will be live on November 17, 2020 from 8:45 AM – 12:35 PM HKT/SGT  |  Timezone Converter
  • Miss part of the event or aren’t able to watch live? The recording will be available to registrants until December 17, 2020

 

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Tuesday, November 17, 2020

Print Agenda Understanding the New IBOR Fallbacks (APAC) for

8:45 AM Introduction and Welcoming Remarks

8:50 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
  • SOR and THBFIX
  • Effective Date

9:35 AM Break

9:45 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

10:30 AM Break

10:35 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

10:55 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.

11:25 AM Break

11:30 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 implement fallbacks for legacy derivatives trades.

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

12:00 PM 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

12:30 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.

12:35 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$225.00

Non-Member US$275.00

Early Bird price until October 30th, 2020
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