Derivatives Products Overview

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Program Agenda


Program Recorded on June 26, 2019


A. Welcoming Remarks and Credit Derivatives Products – 1 Hour, 40 Minutes

  • Credit default swaps: single-name and index
  • Reference Obligation and Standard Reference Obligation
  • CDS on sovereign debt
  • Credit events and regional variations
  • The ISDA Credit Derivatives Determinations Committee
  • Settlement methods and auctions
  • Credit Derivatives Physical Settlement Matrix

Olga Roman, CFA, Director of Research, ISDA
Fabien Carruzzo, Partner, Kramer Levin Naftalis & Frankel LLP
David G. Lucking, Partner, Allen & Overy LLP


B. Equity Derivatives Products – 1 Hour, 30 Minutes

  • Underlying assets: single share, single index, basket of shares, basket of indices
  • Options, caps, floors and collars
  • Pre-paid variable forwards
  • Total return swaps
  • FX provisions in equity derivatives trades
  • Volatility and variance swaps
  • Knock-out and knock-in events
  • Documentation

Rafal A Nowak, Managing Director and Senior Counsel, Deputy Head of Global Markets Americas Legal Group, Société Générale
Andrea O’Toole, Managing Counsel, Wells Fargo
Robert Stewart, Vice President and Assistant General Counsel, Bank of America Merrill Lynch


C. Foreign Exchange Products – 56 Minutes

  • The 1998 FX and Currency Option Cross Currency Swaps Definitions and Annex A thereto
  • Cross Currency Swaps
  • Non-deliverable and deliverable forwards
  • Non-deliverable and deliverable options
  • Cross Rates and the Non-Deliverable Cross Currency FX Transactions Supplement
  • Unscheduled Holidays, Disruption Events and Disruption Fallbacks
  • Master Confirmation Agreements

Ilene K Froom, Partner, Reed Smith LLP
Olivia Wang, Executive Director, Legal Department, Fixed Income Division, Morgan Stanley


D. Interest Rate Products – 1 Hour, 14 Minutes

  • Floating Rate Options
  • Interest rate swaps
  • Caps, floors and collars
  • Compounding in swaps
  • Swaptions and straddles
  • Optional and mandatory exercise rights
  • Options: Automatic exercise, exercise styles and settlement methods
  • Negative interest amounts
  • ISDA Matrices and ISDA Supplements

Ilene K Froom, Partner, Reed Smith LLP
Olga Roman, CFA, Director of Research, ISDA


E. Commodity Derivatives Products – 58 Minutes

  • Examples of transaction underlyers: Agriculture, Base and Precious Metals, Coal, Crude Oil,
    Emissions, Gas, Power
  • Forwards and options
  • Settlement conventions unique to underlying commodity and region
    (e.g., financial commodities, power, physical commodities)
  • Option exercise
  • Market Disruption Events and consequences

Fabien Carruzzo, Partner, Kramer Levin Naftalis & Frankel LLP
Kevin Lee, Associate, Tiegland-Hunt LLP



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