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Global Financial Markets Intelligence

Global Financial Markets Intelligence

Benchmark Rates Reform: Valuations, Discounting and Forward Risk

Prepare for the impact of the shift from Libor and Eonia on derivatives valuations and legacy inventory

13-15 Mar 2019
London, United Kingdom


Why You Should Attend

Benchmark Rates Reform: Valuations, Discounting and Forward Risk

This marcus evans conference will serve as a platform to prepare banks for the impact of the shift from Libor and Eonia on derivatives and swaps valuations and legacy inventory. The countdown has begun–in less than two years, Europeans banks will need to switch to a new benchmark to price billions of euros of fixed income derivatives. In the wake of the alleged rigging scandals over Libor, and EMMI’s admission in February that the Eonia rate may not meet compliance checks under the benchmark regulation for 2020, the pricing paradigm faces enormous disruption. With Eonia and Libor facing extinction, the industry is collectively determined to move towards a new, more robust type of benchmark reflective of real trades. Yet many crucial issues are still opaque, with authorities are still pondering which risk-free rate to choose for the official fixing. What can be said is there is a lot to play for—the challenges extend from the details of the replacement rates, to the repapering of legacy contracts, construction of new curves and management of risk exposure.


Key Topics

  • Learn the crucial information necessary to prepare your firm for the shift away from Libor and Eonia
  • Understand the implications of benchmark rates reform for legacy contracts, liquidity, fallback provisions, and repapering
  • Prepare for approaching valuations, modelling and pricing challenges in forward looking curve construction
  • Discover the work that banks must do to rehedge and manage exposures in the context of data historical data shortages and regulatory demands
  • Previous Attendees Include

    ABSA Capital
    Banca IMI
    Banco Sabadell
    Bank of England
    Barclays Capital
    BBVA
    BNP Paribas Ltd
    CIBC
    Citi
    CompatibL
    Daiwa Capital Markets
    Deutsche Bank
    DNB
    Eurobank
    Federal Reserve Bank of New York
    Global Valuation Limited
    ICA
    JP Morgan
    Jyske Bank
    Lloyds Banking Group
    National Australia Bank
    Natixis
    Nomura International PLC
    Nordea
    Royal Bank Of Canada
    Scotiabank
    SFIL
    Swedbank
    UBS
    UniCredit
    VTB Capital PLC


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    Practical Insights From

    Matteo Regesta
    Director
    Citigroup

    Stephane Cuny
    Global Head of Benchmarks Supervision
    Societe Generale

    Yingbo Bai
    Global Head of Valuations Methodologies
    UBS

    Huib Verbeek
    Global Head of Relative Value Trading
    Rabobank

    Harald Endres
    Senior Director
    Bayern LB

    Chris McHugh
    Lecturer
    London Institute of Banking and Finance

    Jeremy Vice
    Managing Director, Head of CVA Trading
    UniCredit

    Tilman Luder
    Head of Securities Market
    European Commission

    Click Here For Full Agenda

    Voice of Our Customers
    • “Good conference on a different/developing/evolving topic. Please continue to organise this event annually” Quantitative Analytic Manager, Wells Fargo
    • It was well-organised and professionally delivered” Quantitative analyst, Mizuho
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    Event Contact

    For all enquiries regarding speaking, sponsoring and attending this conference contact:

    Melini Hadjitheori


    PO Box 24797
    CY-1304 Nicosia


    Telephone:
    +357 22 849 308
    Fax: +357 22 849 394
    Email: MeliniH@marcusevanscy.com