Valuation, Liquidity & Derivatives
Top Challenges for US Mutual Funds in 2016
Marriott Marquis Times Square, New York - Thursday February 11th 2016
0800 - 0830
Registration – Coffee
Foyer
0830 - 0900
Introduction – Ian Blance, Voltaire Advisors
SEC fund valuation requirements
Liquidity management rules
New derivative proposals
0900 - 0930
Updated Valuation Guidance from the SEC – Ronald Feiman, Kramer Levin
Naftalis & Frankel
Amortized cost vs fair value
Directors responsibilities
1030 - 1100
Fair Valuation in Practice – Paul Kraft, Deloitte
Results of Deloitte’s Thirteenth Fair Value Pricing Survey, 2015
Managing valuation risk for what is around the corner
1000 - 1030
Coffee
Foyer
0930 - 1000
SEC Guidance on Use of Pricing Services – Ian Blance, Voltaire Advisors
SEC guidance on fair valuation and use of pricing services
Model vendor due diligence process
1100 - 1130
Due Diligence in the New Regulatory Regime – Jayme Fagas, Thomson Reuters
Understanding the new regulatory drivers
The quest for transparency
1130 - 1200
KEYNOTE Fund Directors' Obligations and Best Practices in Valuation – Norm
Champ, Harvard Law School
Standards & recent cases
What Fund’s should do to protect themselves
1200 - 1230
Panel Discussion – Latest Guidance on Mutual Fund Valuation
Moderator – Ian Blance, Voltaire Advisors
Ronald Feiman, Kramer Levin
Paul Kraft, Deloitte
Jayme Fagas, Thomson Reuters
Norm Champ, Harvard Law School
1230 - 1300
Lunch
1300 - 1330
New Liquidity Management Regulation – Nathan Greene, Shearman & Sterling
Changes to current liquidity rules
Implications for fund operations, disclosure and reporting
1300 - 1330
Challenges in Liquidity Assessment & Management – Varun Pawar, Bloomberg
Lack of uniformity & consistency in liquidity measures
Data driven approaches vs bid/ask
1330 - 1400
Liquidity Management Rules for Mutual Funds and their Impact on Valuation –
Chris Franzek, Duff & Phelps
‘Illiquid’ Investments and Fair Value
Tension in the P*Q valuation rule
1400 - 1430
Panel Discussion – Impact of Liquidity Management regulations
Moderator – Ian Blance, Voltaire Advisors
Nathan Greene, Shearman & Sterling
Chris Franzek, Duff & Phelps
Varun Pawar, Bloomberg
1430 - 1500
Coffee
Foyer
1500 - 1530
New SEC Derivative Management Proposals – Jay Baris, Morrison & Foerster
Proposed derivative rules from December 2015
Likely impact on mutual fund operations
1530 - 1600
Ten Key Points from the SEC’s Proposed Derivatives Rule – Dan Ryan, PWC
Lessons for mutual funds from the new proposals
Forecasts of how this will pan out in the coming months
1600 - 1630
Best Practices in Derivative Pricing and Risk Management – Speaker TBC, FinCAD
Mark-to-market challenges for derivative instruments
Robust and transparent derivative pricing methods
1630 - 1700
Panel Discussion – Impact of Derivatives Proposals
Moderator – Ian Blance, Voltaire Advisors
Jay Baris, Morrison & Foerster
Dan Ryan, PWC
TBC, FinCAD
1700
Wrap Up & End of Workshop