| Time Slot |
Event | Speakers |
| 08:30 |
Registration and coffee | |
| 09:00 |
Introduction from the Chair | Frank Monks, Managing Director, Nexgen Capital Limited |
| 09:10 |
Credit Derivatives 101 – Overview of the credit derivatives market
- Market size and growth; main market participants
- Current industry challenges
- Credit derivative types: default swaps, total return swaps, credit linked notes
- Growth of baskets products - FTD, STD, single tranche CDOs driven by investor requirements
- The ECB and rating agencies surveys: the future of ratings and transparency
- Recent structural developments and outlook for the future | Eugene O'Keane, Head, Credit and Financial Products, RBC Insurance |
| 09:50 |
Credit Derivatives 102 - Collateralised Debt Obligations (CDOs)
- Development of the CDO market
- CDO structures: from cash CDOs to synthetics
- Cash CDO mechanics
- Synthetic CDO mechanics
- Getting an intuition for correlation
- Investment, trading and hedging strategies using CDOs | Olivier Renault, Vice President, Quantitative Credit Strategy, Citigroup |
| 10:30 |
Coffee | |
| 10:50 |
Credit Derivatives 103 - CDS developments
- Main terms - issuer and bond identification
- Key elements: reference entity, credit events triggers and variations (restructuring a credit event), settlement process
- ISDA's standard templates for ABS
- Latest developments re: CDS on ABS
- CDS on Leveraged Loans | Jeremy Carter, Director, European Structured Finance Group, FITCH Ratings |
| 11:30 |
Credit Derivatives 104 – Legal and regulatory updates
- Legal issues in credit derivatives: nature of contract – swap, option, indemnity
- Structuring issues: documentation
- Deliverable obligations
- IFSRA guidance notice
- Regulatory capital treatment of credit derivatives
- Banking book and trading books
- Impact and relevance of MiFID | Nollaig Murphy, Partner, A&L Goodbody |
| 12:00 |
Credit Derivatives 105 - Accounting for credit derivatives
- IFRS and fair value issues: impact on credit derivatives
- Influence of US GAAP and differences to IFRS
- Latest developments in the valuation rules in case of derivatives
- Innovative structures driven by changes in accounting standards | Vadym Totskyy, Vice President, Client Solutions Team, Deutsche Bank AG London |
| 12:30 |
Lunch | |
