2nd Edition Benchmark Rates Reform in the Derivatives Market 2019 | Marcus Evans | 13 November 2019 | London Marriott Hotel Canary Wharf, 22 Hertsmere Rd, Canary Wharf, London E14 4ED, United Kingdom

Address how global efforts to reform the benchmark rate and end Libor will impact derivatives valuations and legacy trades

Why You Should Attend
2nd Edition Benchmark Rates Reform in the Derivatives Market
The countdown has begun – In the increasingly near future banks will need to switch to a new benchmark to price billions of Euros of fixed income derivatives. As the current IBOR rates used throughout the world are now considered inadequate, the pricing paradigm faces enormous disruption. With EONIA and LIBOR facing extinction or substantial reform, the industry is collectively determined to move towards a new, more robust type of benchmark reflective of real trades. Yet we still lack the clarity needed on the specifics of the transition and the new rates. What can be said is there is a lot to play for—the challenges extend from the details of the replacement rates to problems of legacy trades, the underlying hedge relationships to the need to establish a curve.

Key Topics
• Explore how the derivatives market is preparing the move to a risk free rate through swaps trading
• Discover how the end of Libor will impact derivatives legacy trades particularly in relation to valuations and hedged relationships
• Address how IBOR transition will give rise to valuations and modeling challenges for swaps and interest rates derivative trades
• Hedge exposures under RFRs despite lacking data and with consideration to the impact on capital and liquidity
• Look into how the reform of the benchmark rate in other markets such as Japan and South Africa are set to affect swaps

2019 Speakers

Tilman Lueder
Head of Securities Market, European Commission

Tom Prickett
Managing Director, Co-Head EMEA, JP Morgan

Alan Farrell
Executive Director, Corporate Treasury - Libor Transition, Goldman Sachs

Bernard Delcour
Head of Rates Trading Europe, ING

Matthew Prockter
Director for Product Control Valuations, Barclays

Eske Traberg Smidt
Head Global Rates Trading, Danske Bank

Frances Hinden
Vice President, Treasury Operations, Shell International Ltd

Diana Ribeiro
Deputy Head of Rates and Credit, Lloyds Banking Group

2019 Sponsors

• Mazars
• CME Group

EVENT PARTNERS:

• Fintech Finance
• Alhuda
• True Banking
• Financial IT
• Private Banking