Course Agenda

Discover the agenda for this IBOR to Risk Free Rates training course

Transitioning from IBOR to Risk Free Rates - London

Course Agenda

Day 1 - Tuesday 25th June

08:30

Registration and refreshments

09:00

Overview of IBOR to Risk Free Rates and Benchmark Options

  • Context - financial markets affected
  • The wider benchmark reform agenda
  • ARR methodologies / jurisdictions
  • Term structures
  • The challenges of transitioning to ARRs

Speaker: John Ewan, Director, Benchmark Advisory Services 

10:30

Morning break

11:00

IBOR Transition Risks 

  • Transition triggers and target operating model
  • How to deal with the transition - case study examples 
  • Transition planning and programme essentials
  • Programme governance

Speaker: Markus Stadtfeld, Manager, BearingPoint

12:30

Lunch

13:30

How Will The Operations Function Need to Adapt? 

  • Different publication times and effect on existing IT systems
  • Will different pricing/margins need to be applied across different currencies
  • Improving process and documentation

Speaker: Olivier Balpe, Head of Group IBOR Transition Program, Societe Generale  

15:00

Afternoon break

15:30

Accounting Implications

  • Hedge accounting relationships
  • Fair value hedging 
  • Discounting/ valuations
  • Cashflow hedging 
  • Modification accounting 

Speaker: Michael Hammer, Director, BDO Austria 

17:00

End of day one

Day 2 - Wednesday 26th June 

08:30

Refreshments

09:00

How to Deal with the Transition

  • Client communications
  • Conduct, reputational and legal risk derived from making judgement based submissions
  • RFR programme set up 
  • Governance 

Speaker: Bhavin Shah, Business Lead, IBOR Replacement Programme, RBS 

10:30

Morning break

11:00

Impact on Risk Management and Risk Control 

  • Overnight RFR's vs Term Rates
  • Will different pricing/margins need to be applied across different currencies? 
  • Curve structure changes
  • Basis risk 
  • Pricing models
  • Risk management

Speaker: Paul Brooks, Head of Traded Market Risk, Bank of Ireland 

12:30

Lunch

13:30

Operating Model Challenges and the Impact on Technology 

  • Key considerations: Legacy vs new
  • Concurring new and legacy books
  • Migrations: Easier said than done
  • Jurisdictional differences in approach and timetable

15:00

Afternoon break

15:30

Obligations in the Derivatives and Cash Market

  • Modelling, Hedging
  • Legacy products
  • Fall back provisions
  • Recommenced practical steps

17:00

End of course