Program Agenda
Program Recorded on January 29, 2019
A. Overview of Derivatives Products – 1 Hour, 32 Minutes
- Definition and explanation of derivatives
- Common types of derivatives:
- Interest Rate Derivatives
- Credit Derivatives
- Commodities
- Equities
- FX
- Major reasons for using derivatives
- Examples of derivative users
- OTC vs. exchange traded derivatives
- Major venues for derivatives trading and clearing
Olga Roman, CFA, Director of Research, ISDA
Dan Vogel, Head of Financial Regulation, Legal, Bloomberg L.P.
B. Interest Rate Derivatives Products – 1 Hour, 48 Minutes
- Overview of interest rate derivative
- Major products
- Notional outstanding vs. market value
- Trading volumes
- Interest rate swaps
- Description
- Terminology, convention and market quotes
- Basic valuation
- Interest rates caps, floors, swaptions and straddles
- Description
- Terminology and convention
- How options work
- Basic option strategies
- Basic valuation
- Settlement methods
Ilene K. Froom, Partner, Reed Smith LLP
Alex van Voorhees, Director & Assistant General Counsel, Bank of America Merrill Lynch
C. Credit Derivatives Products – 1 Hour, 35 Minutes
- Overview of credit derivatives
- Major products
- Notional outstanding vs. market value
- Trading volumes
- Credit default swaps: single names and index CDS
- Users of credit derivatives
- Terminology, convention and market quotes
- Valuation
- CDS-bond basis
- Credit events: single name and index CDS
- Settlement methods and auctions
- The ISDA Credit Derivatives Determination Committee
Fabien Carruzzo, Partner, Kramer Levin Naftalis & Frankel LLP
Olga Roman, CFA, Director of Research, ISDA
D. Central Clearing – 1 Hour, 43 Minutes (recorded with Part E.)
- Overview of central clearing counterparties (CCPs)
- Cleared vs. non-cleared derivatives products
- Counterparty credit risk (netting, collateral, potential future exposure)
Jonathan J. Ching, Counsel, Linklaters LLP
Edward Mayfield, Executive Director & Assistant General Counsel, JPMorgan Chase & Co.
E. Basics of Derivatives Documentation
- Derivatives Documentation Architecture
- ISDA Master Agreements, including the Schedule and CSA
- ISDA Definitions books
- ISDA Protocols
Ilene K. Froom, Partner, Reed Smith LLP