IOMA: WFE’s 37th Clearing & Derivatives Conference 2020

Conference Programme


Day 1 - Tue 24 Mar

  • 08:00 - 10:00:

    Registration

    ERWG and CCPWG Members only
    Venue: Malta Stock Exchange
  • 09:00 - 13:00:

    Enterprise Risk Working Group (ERWG) Congress

    ERWG Members only
    Venue: Malta Stock Exchange
  • 13:00 - 14:00:

    Lunch

    ERWG Members only
    Venue: Malta Stock Exchange
  • 14:00 - 17:00:

    Enterprise Risk Working Group (ERWG) Congress

    ERWG Members only
    Venue: Malta Stock Exchange
  • 19:00 - 21:00:

    ERWG Dinner

    ERWG Members only - Venue tbc

Day 2 - Wed 25 Mar

  • 09:00 - 12:30:

    Enterprise Risk Working Group (ERWG) Congress

    ERWG Members only
    Venue: Malta Stock Exchange
  • 12:30 - 13:00:

    Bell-Ringing Ceremony

    Venue: Malta Stock Exchange
  • 13:00 - 14:45:

    Lunch

    ERWG and CCPWG Members only
    Venue: MUZA Restaurant in Valletta
  • 13:00 - 16:00:

    Registration

    All participants
    Venue: Hilton Malta
  • 14:45 - 18:00:

    CCP Working Group Meeting

    CCPWG Members only
    Venue: Malta Stock Exchange
  • 18:30 - 21:00:

    Welcome Reception

    All Participants
    Venue: Malta Stock Exchange

    Bus transfers from the Malta Stock Exchange to the Hilton Malta will be provided after the Welcome Reception. The first bus will depart at 20:30 and the second at 21:00.


Day 3 - Thu 26 Mar

  • 07:30 - 08:30:

    IOMA Conference Coffee and Registration

    All participants
    Venue: Hilton Malta
  • 08:30 - 09:00:

    IOMA: WFE's 37th Clearing and Derivatives Conference - Opening Remarks

    All Participants
    Venue: Hilton Malta

    • Nandini
      Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
    • Joseph
      Joseph Portelli Executive Chairman Malta Stock Exchange
    • Dr. Urs
      Dr. Urs Rüegsegger Chairman, SIX Swiss Exchange and WFE Chairman
    • Pedro
      Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
  • 09:00 - 11:30:

    Session 1: Access to clearing. Can we fix it?

    Venue: Hilton Malta

    Chair
    • Klaus Martin
      Klaus Martin Löber Head of the Oversight Division European Central Bank
  • 09:00 - 09:45:

    1a. Presentation: Concentration in cleared derivatives: The case for broadening access to direct CCP clearing

    Authors: Nahiomy Alvarez (Federal Reserve Bank of Chicago) and John McPartland (Hidden Road Partners)
    Moderator

    Discussant
    • Dr. Alicia
      Dr. Alicia Greenwood Director, Post Trade Services Johannesburg Stock Exchange
  • 09:45 - 10:30:

    1b. Presentation: Too much, too young - improving the client clearing mandate

    Author: Dr. David Murphy, Senior Advisor, Bank of England
    Moderator
    • Dr. David
      Dr. David Murphy Senior Advisor Bank of England

    Discussant
    • Prof. Ron
      Prof. Ron Berndsen Chairman of LCH Ltd., and Professor Tilburg University, Dept. of Economics
  • 10:30 - 10:45:

    1c. Speech: Klaus Martin Löber, Head of the Oversight Division, European Central Bank


    Speech
    • Klaus Martin
      Klaus Martin Löber Head of the Oversight Division European Central Bank
  • 10:45 - 11:30:

    1d. Panel: Access to clearing – Such a long journey

    Moderator
    • Klaus Martin
      Klaus Martin Löber Head of the Oversight Division European Central Bank

    Panellists
    • John
      John McPartland Director of Research Hidden Road Partners
  • 11:30 - 12:00:

    Coffee Break

    Venue: Hilton Malta
  • 12:00 - 13:30:

    Session 2 : Market structure and clearing spillovers I

    Venue: Hilton Malta

    Chair
    • Pedro
      Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
  • 12:00 - 12:45:

    2a. Presentation: Guarantee requirements by central counterparties and connectedness dynamics

    Authors - Ana Gonzalez-Urteaga, Universidad Pública de Navarra and Gonzalo Rubio, Universidad CEU Cardenal Herrera

    Discussant: WFE CCP Member


    Presenter
    • Dr. Gonzalo
      Dr. Gonzalo Rubio Full Professor of Economics and Finance Universidad CEU Cardenal Herrera, Spain
  • 12:45 - 13:30:

    2b. Presentation: Time for dinner? No, for risk contraction

    Authors: Albert J. Menkveld, Vrije Universiteit Amsterdam and Ekaterina Serikova, University of St Gallen
    Moderator
    • Ekaterina
      Ekaterina Serikova Research assistant / PhD Graduate University of St. Gallen

    Discussant
    • Phil
      Phil Mackintosh Global Head of Economics & Research and Senior Vice President Nasdaq
  • 13:30 - 14:15:

    Lunch

    All Participants
    Venue: Hilton Malta
  • 14:15 - 15:00:

    Session 3: Skin in the game – Dulce et decorum est pro patria mori

    Venue: Hilton Malta
    Moderator
    • Richard
      Richard Metcalfe Head of Regulatory Affairs The World Federation of Exchanges (WFE)

    Panellists
    • Michael
      Michael McClain Managing Director & General Manager, Equity Clearing and DTC Settlement Services The Depository Trust & Clearing Corporation (DTCC)
    • Robert
      Robert Steigerwald Senior Policy Advisor, Financial Markets Federal Reserve Bank of Chicago
    • Samim
      Samim Ghamami Managing Director, Financial Services Forum, New York University; and Senior Researcher UC Berkeley
  • 15:00 - 16:30:

    Session 4: Market structure and clearing spillovers II

    Venue: Hilton Malta
  • 15:00 - 15:45:

    4a. Presentation: Credit default swaps and corporate bond trading

    Author: Robert Czech, Bank of England

    Discussant: WFE CCP Member


    Presenter
    • Robert
      Robert Czech Research Economist Bank of England
  • 15:45 - 16:30:

    4b. Presentation: The cost of clearing fragmentation

    Authors: Evangelos Benos, Bank of England, Wenqian Huang, Bank for International Settlements, Albert Menkveld, Vrije Universiteit Amsterdam and Michalis Vasios, Norges Bank Investment Management

    Discussant: WFE CCP Member


    Presenter
    • Evangelos
      Evangelos Benos Research Economist, Markets Infrastructure Directorate Bank of England
  • 16:30 - 17:15:

    Session 5: Keynote Speech: Interesting Auctions: Examples including CCP default management auctions


    Keynote Speech
    • Rod
      Rod Garratt Maxwell C. and Mary Pellish Chair in Economics University of California, Santa Barbara
  • 19:00 - 22:30:

    Gala Dinner

    All Participants
    Venue: The Xara Lodge

    Buses will be leaving the Hilton Malta at 6:00 pm. Please note that you will need your conference badge to be able to board the shuttle bus. If you miss the bus, taxis are readily available outside the hotel.

Day 4 - Fri 27 Mar

  • 07:30 - 08:45:

    IOMA Conference Coffee and Registration

    All Participants
    Venue: Hilton Malta
  • 08:45 - 09:15:

    Session 6: Keynote Speech: The Honorable Professor Edward Scicluna, Minister of Finance, Malta


    Keynote speech
    • Hon. Professor Edward
      Hon. Professor Edward Scicluna Member of Parliament and Minister of Finance Ministry of Finance of Malta
  • 09:15 - 10:15:

    Session 7: You don't know what you don't know: the limitations of models

    Moderator
    • Pedro
      Pedro Gurrola-Perez Head of Research The World Federation of Exchanges

    Panellists
    • John
      John Fennell Executive Vice President & Chief Risk Officer The Options Clearing Corporation (OCC)
    • Fernando
      Fernando Cerezetti Director, Risk Oversight, ICE Clear Europe Intercontinental Exchange
    • Ignacio
      Ignacio Solloa BME Clearing CEO BME Spanish Exchanges
  • 10:15 - 10:45:

    Coffee

    Venue: Hilton Malta
  • 10:45 - 12:15:

    Session 8: Market resilience

    Venue: Hilton Malta
  • 10:45 - 11:30:

    8a. Presentation: Regulatory effects on short-term interest rates

    Authors: Angelo Ranaldo (University of St. Gallen), Patrick Schaffner (Bank of England & University of St. Gallen), Michalis Vasios (Norges Bank Investment Management)
    Moderator
    • Patrick
      Patrick Schaffner Research Assistant, PhD Candidate in Finance University of St. Gallen

    Discussant
    • Jorge
      Jorge Alegria Senior Advisor to the President, CME Clearing IOMA Chairman (2011-2014)
  • 11:30 - 12:15:

    8b. Presentation: Hypothetical yield curve scenarios for credit stress testing

    Authors: Bhavin Desai and Kausick Saha, Risk Management Department, The Clearing Corporation of India Ltd.
    Moderator

    Discussant
    • Simon
      Simon Zammit Chief Executive Officer Malta Stock Exchange
  • 12:15 - 13:15:

    Lunch

    Venue: Hilton Malta
  • 13:15 - 14:00:

    Session 9: An interactive session on ESMA stress testing


    • Andreas
      Andreas Georgopoulos Senior Officer, CCP Directorate European Securities and Markets Authority (ESMA)
  • 14:00 - 16:00:

    Session 10: Technological innovation in clearing

    Venue: Hilton Malta
  • 14:00 - 14:15:

    10a. Keynote Speech: Joe Lubin, Co-Founder Ethereum

    Moderator
    • Joseph
      Joseph Lubin Co-Founder Ethereum
  • 14:15 - 15:15:

    10b. Panel: No sound of guns, No roar of exploding bombs

    Moderator
    • Dr. Urs
      Dr. Urs Rüegsegger Chairman, SIX Swiss Exchange and WFE Chairman

    Panellists
    • Prof. Andreea
      Prof. Andreea Minca Associate Professor, Operations Research and Information Engineering Cornell University
    • Joseph
      Joseph Cuschieri Chief Executive Officer Malta Financial Services Authority (MFSA)
    • Joseph
      Joseph Lubin Co-Founder Ethereum
    • Quentin
      Quentin Issele Vice President, Fintech and Digital Assets OKEx
  • 15:15 - 16:00:

    10c. Presentation: Towards reducing operational risks of emerging technologies adoption in CCPs through end-to-end testing

    Authors: Elena Trescheva, Alexey Zverev, Vladimir Panarin, Alyona Bulda, Rostislav Yavorsky and Iosif Itkin (Exactpro Systems Ltd)
    Moderators
    • Iosif
      Iosif Itkin Co-CEO, Co-Founder Exactpro Systems Limited
    • Alyona
      Alyona Bulda Senior VP in Technology, Senior QA Project Manager Exactpro Systems Limited

    Discussant
  • 16:00 - 16:15:

    Session 11: Keynote Speech: Making sense of it all

    Venue: Hilton Malta

    Keynote Speech
    • John
      John McPartland Director of Research Hidden Road Partners
  • 16:15 - 16:30:

    Concluding Remarks and Announcing the Call for Papers WFE’s Clearing & Derivatives Conference 2021

    Venue: Hilton Malta

    • Nandini
      Nandini Sukumar Chief Executive Officer The World Federation of Exchanges
    • Pedro
      Pedro Gurrola-Perez Head of Research The World Federation of Exchanges
  • 16:30 - 18:30:

    Farewell Reception

    All Participants
    Venue: Quarter Deck, Hilton Malta