Day 1 Program November 9th 2016

08:00 Registration and breakfast

08:50 Welcome address: Duncan Wood, Editor-in-Chief, RISK MAGAZINE

9:00 Keynote address: Farewell to Libor?

  • Will we stop using libor?
  • How do you migrate this big market away from libor especially when the contracts had been already signed and terms agreed?
  • What should the new benchmark be?
  • What will this new change mean for swaps users?
  • What have the banks, clearers and dealers recently concluded?

9:40 Panel discussion: Changing face of liquidity providers - how is the market transforming and where is it heading?

  • Who offers liquidity in today's market structure and how is it provided?
  • How are new entrants disrupting fixed income markets to break the norm and offer differentiation to the buy side?
  • How and how much can dealers save in broker fees and transaction costs?
  • What is the ideal fixed income market structure that can promote progression across the full trading spectrum?
  • What can the newcomers and traditional players learn from each other?
  • How will traditional players evolve with the electronic market structure?

10:20 Interview with a bank CRO: How are banks reinventing their business models to better meet your needs in light of Dodd Frank and Basel III increasing capital demands?

  • Do you have an appropriate framework to tackle changes in your business?
  • How should your business handle new products and services and processes
  • Economic growth and business recovery restructures and framework

11:00 Morning coffe break

 

Stream one: Risk management and regulations for the trading businesses

Stream Two: Fixed income and market structure

Stream three: Non cleared derivatives

Stream four: Credit risk

11:30

Chairman's opening remarks:

Chairman's opening remarks: 

Chairman's opening remarks:

Chairman's opening remarks: 

11:40

Getting to grips with FRTB requirements

  • Potential unintended consequences
  • What are the current solutions to meet these new regulations?
  • Recent developments and regulatory guidance

Panel: US treasury, fixed income and interest rates swaps markets developments

  • New post trade reporting requirements
  • Transparency in US treasuries and interest rates swaps
  • Changes on the way for the US treasury markets

Trading non-cleared derivatives under higher margin rules

  • 20-30% more margin plus higher capital on top of that
  • New found trading underlying complexity
  • Solutions?

SA CCR: New standardized approach for measuring counterparty credit risk

  • New Basel proposal update
  • Changes to the quant departments
  • Future for credit risk measurement

12:20

Challenges of FRTB data management

  • Non modellable risk factors NMRF
  • Model test for P&L attribution
  • Can you actually model your regulatory capital?
  • Data and IT support
  • Strategic implications on the business

Panel: Non-bank market makers as liquidity providers

  • Cost saving opportunities and flexible trading solutions
  • Bank's new fixed income trading models
  • New regulations for market participants and its impact on trade workflows
  • Innovations in HFT in US treasury markets

Changes brought by the Bilateral Margin Rules

  • The future of bilateral OTC market
  • Regulatory perspective and update
  • First set of experiences
  • Overcoming new difficulties and adjusting to the newly transformed market

Credit risk modelling

  • Holistic approach of credit risk assessment in infrastructure debt and long term investment
  • Risk component based pricing is crucial to the successful structuring of infrastructure products
  • Transparency of credit risk model and regulatory risk capital impact
  • Flexibility requirement to handle risk premium component including liquidity risk premium in credit risk model

 

1:00 Lunch

2:00

Panel: Reviewing different desk structures for your trading business

  • Internal model validation at desk level
  • How do you prove your model works at the desk level?
  • Exercise for the Volker rule at a desk level
  • How many trading desks should you have 300 or 60? Is the smaller number the best solution?
  • How will your desk structure look in the future?

Fixed income trading developments

  • Is fixed income a liquid product?
  • Liquid swaps and futures
  • Treasury trading platforms
  • Blurred lines in market structure

Pricing the non-cleared markets

  • Expensive in capital terms and margin terms
  • Navigating the market challenges
  • Products are becoming less attractive and much more difficult to trade
  • Complex pricing

Basel next generation

  • What is the future for internal regulatory capital models?
  • Key challenges for banks
  • Pillar 1 requirements
  • Summary of key revisions

 

2:40

FRTB capital cost and its implications on product prices and availability

  • Higher capital requirements and impact on products prices and offerings
  • Predictions on the future for exotics
  • Impact on emerging markets product offerings and current restrictions

Market trading abnormalities

  • Rates space inversion of the traditional relationship between swaps and US treasury curve
  • Swaps ‘switch around'
  • Other market trading changes and future of the market
  • Should you choose the standardized cleared products?
  • The benefits of liquid rates market or US treasuries

New rules and practices for getting in and out of trade

  • How to unwind the trade?
  • Dependence on the CFA and its impact on the product price
  • Big change to derivatives market from customized trading to standardized
  • The end of bespoke trades?
  • Less money, less effective and less attractive

Evolution of CDS and current trends

  • How did CDS move into Standardization?
  • Trends in CDS clearing
  • Trends in CDS trade compression

3:20

Model risk management for the FRTB

  • Conceptual soundness of new methods
  • Desk level testing and pricing models
  • Desk level approvals, issues and challenges
  • Lessons from implementation of previous market risk rules

 

How to fix the repo market

  • Coping with liquidity regulations
  • Allowing hedge funds into cleared repo
  • The ideas on offer to calm buy-side repo fears
  • Restrains on banks and cash costs
  • Can repo be saved?
  • The launch of buy-side repo trading
  • New technology to boost repo netting

Panel: Standardized collateral agreements and other possible fixes

  • Reopen your CSA and comply with the new rules
  • Creating more liquid markets and products more fundable
  • Trading exotics with profit

 

Credit trading and strategies

  • Review of trading strategies
  • CDS valuation and pricing
  • The credit curve

4:00 Afternoon coffee break

4:20 Plenary: TLAC final standards and requirements

  • Reviewing the impact on the business and effect on capital levels
  • Implication on the way banks structure their balance sheets
  • Buffers on buffers

5:00 Panel: Presidential and Brexit debate and its impact on markets and trading

  • Future of regulations and how are the markets changing due to political landscape changes
  • What are the promised changes by the newly elected President?
  • Legal entity issues and legal complications post Brexit?
  • Is MiFid now dead?
  • Market activity in ZIRP and NIRP (zero and negative interest rate policies respectively)
  • Risks around the lack of HQLA (high quality liquid assets)
  • Maintaining and monitoring information on value of collateral

5:40 Closing remarks:

5:50 Drinks reception

>> View the agenda for day 2 of the conference

 

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