Derivatives: The Canadian Way
Day 1  l  Day 2

CADC 2010 Program

Thursday, October 14, 2010 (day 1)


7:30 a.m.

Registration / Continental Breakfast

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8:30 a.m.

Welcoming Address

Speaker:
Alain Miquelon, Montréal Exchange (Presentation)

8:40 a.m.

Global Reform of Over-the-Counter Markets

  • G20 commitments and Canada's role in market reform
  • Systemic risk management post-credit crisis

Speaker:
Carol Ann Northcott, Bank of Canada (Presentation)

9:10 a.m.

International Perspectives on OTC Clearing and Regulatory Impacts

  • As one of the first major firms active in the OTC clearing space, Barclays will be sharing their experiences on market impact, risk management and regulatory repercussions of a cleared marketplace.

Speakers:
Ray Kahn, Barclays Capital (Presentation)
Ahmet Yetis, Barclays Capital

9:40 a.m.

CDCC Perspectives on OTC Clearing

  • Impact on Canadian market participants and the role of the CCP
  • CDCC services, both present and future
  • Domestic and international solutions for market reform

Speaker:
Glenn Goucher, Canadian Derivatives Clearing Corporation

10:10 a.m.

Break

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10:30 a.m.

Centralized Clearing of the Canadian OTC Markets: Challenges and Opportunities

  • A CCP framework for OTC markets provides unique challenges and opportunities to market participants
  • Trading perspective: Balancing increased trading opportunities against costs and client relationships
  • Risk management: Managing risk in a mutualized world
  • Trade processing: Efficiency, product coverage and CCP flow

Moderator:
George Kormas, Canadian Derivatives Clearing Corporation

Speakers:
Chuck Gervais, Scotiabank (Presentation)
Claire Lobo, MarkitSERV (Presentation)
Bob Nobrega, Bank of America – Merrill Lynch (Presentation)

12:00 p.m.

Lunch

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1:15 p.m.

Basis Trading Workshop

Speaker:
Annapurna Valluri, JP Morgan (Presentation)

2:15 p.m.

Meet the Managers

  • A discussion panel with managers who use MX options and futures
  • The view on the Canadian markets from CTAs and hedge funds

Moderator:
Ranjan Bhaduri, AlphaMetrix Alternative Investment Advisors LLC

Speakers:
Jay Feuerstein, 2100 Xenon
Thomas F. Lott, Potomac Portfolios, LLC
Michael Yhip, Garrison Hill Capital Management Inc.
Combined Presentation

3:15 p.m.

Break

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3:30 p.m.

Financial Market Perspective

Speaker:
Oliver Fratzscher, Caisse de dépôt et placement du Québec (Presentation)

4:15 p.m.

Regulatory Update: Canadian and US Perspectives

  • OTC reforms: Impact on trading and markets
  • Canadian and US regulatory developments: Differences and distinctions

Moderator:
Brian Z. Gelfand, Montréal Exchange

Speakers:
John McPartland, Federal Reserve Bank of Chicago (Presentation)
Derek West, Autorité des marchés financiers (Presentation)

5:15 p.m.

Cocktail

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Friday, October 15, 2010 (day 2)


7:30 a.m.

Continental Breakfast

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8:30 a.m.

Analytics and Automated Trading Strategies: Measuring Success in the Global Futures Markets

Automated trading, market impact models and data analytics can be a potent force when combined with common sense, trading desk experience, good communication and sound knowledge of exchange rules. There is still a wide disparity of knowledge and use across various client segments. This panel will discuss how the intelligent use of data and analytics is altering algorithm usage and design, changing vendor and broker selection and influencing overall client-vendor-broker-exchange relationships in the process.

  • Pre-trade analysis in futures? Effective strategy and cost analysis metrics to improve algorithm selection, aggressiveness and time horizon of the trade
  • At-trade or real-time analysis: Monitoring the auto-pilot, custom and hybrid algorithms and on-the-fly amendments
  • Post-trade analytics: What is a good fill? Effective outlier management and utilization of post-trade metrics to improve execution performance
  • Data is king: Historical vs. real-time data challenges
  • Distribution: EMS/OMS integration, broker provided vs. in-house, cross product challenges

Moderator:
Andrew Schumacher, JP Morgan

Speakers:
Tim Benton, Wolverine Trading, LLC
Lou Mouaket, CIBC
Gary Stone, Bloomberg Tradebook

9:30 a.m.

Risk Management in the High Freak, Flash Crash, Credit Crisis World

  • Which risks are we managing?
  • Pre versus post-trade risk management:
    Is one more appropriate than the other for certain scenarios or types of trading activity?
  • Availability and responsibility of risk technology
    Who applies the risk?
    Where does the risk management responsibility ultimately lie?
  • Risk management for high frequency traders
    Without getting too much into the debate of "liquidity maker" versus "liquidity taker" what role does HFT play in derivatives markets?
    How do you risk HFT when the primary objective is low or NO latency?
    Theoretically risk checks should be the same for HFT as they are for point and click traders. How do you ensure a level playing field from a risk management standpoint?

Moderator:
Sean Barry, Patsystems (NA) LLC

Speaker:
Michael J. Levas, Olympian Capital Management

10:30 a.m.

Break

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10:45 a.m.

Energy Derivatives

  • Overview on the direction of the energy markets under current economic/geopolitical conditions
  • Current potential investment opportunities in the energy world
  • How will the OTC reform affect the energy markets
  • How will Canada be playing a pivotal role as one of the global leaders in the energy markets
  • The evolution of electronic trading in the energy world

Moderator:
Frank Kelton, FCStone Canada ULC

Speakers:
Wayne Goodridge, Barclays Capital
Greg Jefson, Wolverine Trading
Brent Lee, Suncor Energy
Jim Smith, Trading Technologies International

11:45 a.m.

End of CADC

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