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2nd Edition Benchmark Rates Reform in the Derivatives Market

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

14-15 November 2019
Marriott Canary Wharf, London, United Kingdom

Conference Workshop

Managing the challenges of the IBOR Transition

The workshop will feature a practical approach to the Benchmark Rate Reform, addressing both a holistic approach to ensuring that the transition from LIBOR is as smooth as possible, alongside actively investigating some of the more direct challenges that will arise from the use of new rates.

Workshop Moderator: Luca Jellinek, Macro Consultant, Markov / Gary Wong, Partner, Global Valuation / Sharon Freeman, LIBOR and Benchmarks Regulation Programme Consultant, Antevorta Consultants

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.


This marcus evans conference will address how global efforts to reform benchmark rates and end Libor will impact derivatives valuations and legacy trades.  


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
  • Previous Attendees Include

    ABSA Capital
    Banca IMI
    Banco Sabadell
    Bank of England
    Barclays Capital
    BNP Paribas Ltd
    Daiwa Capital Markets
    Deutsche Bank
    Federal Reserve Bank of New York
    Global Valuation Limited
    JP Morgan
    Jyske Bank
    Lloyds Banking Group
    National Australia Bank
    Nomura International PLC
    Royal Bank Of Canada
    VTB Capital PLC

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    Event Sponsors
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    Event Partners

    Practical Insights From

    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

    Matthew Prockter
    Director for Product Control Valuations

    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

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    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:

    Alexia Mavronicola

    marcus evans Cyprus
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    Nicosia, 1080

    +357 22 849 425
    Fax: +357 22 849 394