| Time Slot |
Event |
Speakers |
| 08:00 |
Registration and breakfast |
|
| 09:00 |
'Credit Derivatives 100' Introductory Overview by Chairman |
Frank Monks, Managing Director, Nexgen Capital Limited |
| 09:10 |
'Credit Derivatives 101' Credit Derivatives and their growth: Types and their motivations, Size & growth of the market
- The ECB and rating agencies surveys
- The players and users in the market, regulatory concerns about distribution of credit risk. |
Patrick Neary, Chief Executive, Financial Regulator |
| 10:00 |
'Credit Derivatives 102' Credit Default Swaps - the building block for most credit derivative structures
What is a CDS? The evolution of ISDA documentation. Key terms -
issuer and bond identification, the role of REDS, credit event triggers &
variations, deliverable obligations, etc. Settlement process. |
Nollaig Murphy, Partner, A&L Goodbody |
| 10:45 |
Coffee |
|
| 11:00 |
'Credit derivatives 103' Portfolio credit derivatives: Cash CDOs - legal structures / multiple investors, principal protections, investor experience
Portfolio credit derivatives: Cash CDOs - legal structures / multiple investors - a supplier driven product, Growth of baskets products - FTD, STD, single tranche CDOs driven by investor requirements, Leverage and CDO squared deals - effects on the cash markets. Funded or unfunded. Principalprotections, inclusion of other reference assets and other innovations. Investor experience. |
Richard Gambel, Managing Director, European Structured Finance, Fitch Ratings |
| 11:45 |
'Credit Derivatives 104' Equity default swaps and CDO of EDS. Key terms and documentation. Dividend & distribution issues. Toe in the water issues for investors. Models and model risk issues for dealers.
Equity default swaps and CDO of EDS: What is an EDS? Key terms and documentation. Dividend & distribution issues. Standard & Poor's analysis of the effects of volatility and credit ratings on EDS payoffs. Vulnerability to economic cycles. Single-tranche CDO structures with illustrative payoffs & variations. Importance of reference credits selection & p/e valuations. Toe in the water issues for investors. Models and model risk issues for dealers. |
Frank Monks, Managing Director, Nexgen Capital Limited |
| 12:15 |
'Credit Derivatives 105' Accounting and regulatory issues: IFRS & fair value issues - FAS 133 and IAS 39, relationship with economic capital calculations & Pillar Two supervisory issues.
Accounting and regulatory issues: IFRS & fair value issues - FAS 133 and IAS 39, IFSRA guidance notice on regulatory capital requirements - Banking Book and Trading Book, Basel II treatments, relationship with economic capital calculations & Pillar Two supervisory issues. |
Philip Shinn, Chartered Accountant, Nexgen Financial Solutions |
| 12:30 |
Credit Derivatives 106' Regulatory issues: IFSRA guidance notice; Banking Book and Trading Book, Basel II treatments |
Robert Talbot, Head of Traded Risk Unit, IFSRA |
| 12:45 |
Lunch |
|
