Event agenda

Event agenda for IBOR to Risk Free Rates Australia

From Ibor to Risk Free Rates | Agenda

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Overview of IBOR to risk free rates and benchmark options

09:00 - 10:30

  • Context - financial markets affected
  • The wider benchmark reform agenda
  • ARR methodologies / jurisdictions
  •  O/N looking RFR vs. Term RFR
  • Term structures
  • The challenges of transitioning to ARRs
Pieter Bierkens

Group lead, interest rate benchmark reform

Commonwealth Bank of Australia

Pieter is Commonwealth Bank of Australia’s Interest Rate Benchmark Reform Lead. In his current capacity he coordinates the Bank’s preparation for the global reform of interest rate benchmarks. His prior role was that of Executive Director – Regulatory Strategy. He has been based in Sydney since 2014.

Previously, Pieter was Head of Markets of Commonwealth Bank in New York. Prior to Commonwealth Bank, he worked for 10 years in New York and London, where he started his career advising institutional investors on global fixed-income markets.

A dual citizen of the US and the Netherlands, Pieter holds a degree in Economics from Erasmus University and a Master degree in International Affairs from Columbia University in New York. He is a Chartered Financial Analyst and holds the Financial Risk Manager designation.

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

IBOR Transition Risk - Case Study (Australia)

11:00 - 12:30

  • Fate of BBSW 
  • Transition triggers and target operating model
  • IBOR transition risks
  • Transition planning and programme essentials
  • Programme governance
  • Implementation of the new ISDA fallback language
Andrew Bangura

Director

Ernst & Young

Andrew is an IBOR transition specialist with experience as Engagement Manager across APAC on global benchmark-related programs for both international and Australian banks.

He has led global teams on IBOR replacement projects, as well as large regulatory impact assessments and implementation programs related to MiFID II and OTC derivative reforms. Before joining EY in 2016, Andrew worked at Macquarie Group as a derivatives and equities trader in Sydney and Tokyo respectively. Andrew has a Master of Economics from the University of Sydney and is a Certified Finance & Treasury Professional of the Finance and Treasury Association (CFTP).

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

How to deal with the transition

13:30 - 15:00

  • Client-centric approach - communication and preparation
  • The complexity of Asian markets (Developed, emerging)
  • Conduct and reputational risks in the preparation and the transition itself
  • Legal risk - the challenge of fallbacks basis risks for new and legacy portfolios
  • Multi risk-free rates - what's in for whom?
  • Expect disruption - Funding and market timelines
  • Forward vs in arrears - product opportunities and challenges
  • Right budgeting and project governance
John Feeney

Partner

Martialis Consulting | Moderator

John Feeney manages Martialis Consulting working on financial markets product and infrastructure. He has been in financial markets for over 30 years in trading and management roles across most asset classes. Prior to joining NAB, Mr. Feeney has worked for Commonwealth Bank in Sydney, Citi in Sydney and London and Macquarie Bank in Sydney. Over this time he has traded and managed interest rate derivative, foreign exchange, traded credit, commodities and funding businesses.

Recently, Mr. Feeney has been an ISDA Board Member and Vice-Chairman and an AFMA Board member.

Mr. Feeney has a PhD and BSc (Hons) from University of Sydney.

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Impact on risk management and risk control

15:30 - 17:00

  • Risk Free Rates
  • Overnight RFRs vs Term Rates
  • Current approaches to fallbacks
  • Key lessons and things to do
Yu Zhang

Managing associate

Allens

Yu is a Managing Associate in the Banking & Finance practice group at Allens. He advises borrowers and lenders on a broad range of finance transactions and global markets issues, including in relation to derivatives and GMRAs. He is currently working with a major Australian bank on its LIBOR transition.
Yu is a regular speaker on behalf of the International Swaps and Derivatives Association, Inc and the Asia Pacific Loan Market Association. He completed his Masters of Law at Cambridge University in 2009 with a focus on private law, and his Masters of Law at Harvard University in 2010 with a concentration in corporate governance and financial regulation.

17:0017:00

End of Day 1

17:00 - 17:01

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Accounting implications

09:00 - 10:30

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

Partner

Ernst & Young

Damien is a partner in EY’s capital markets advisory team in Sydney, Australia. He has previously worked in the UK and US and has over twenty years’ experience servicing a range of treasury and capital market clients across the globe. He has led a number of engagements at large Australian banks focused on G20 derivative reform, including uncleared margin, trade reporting, and Volcker requirements as well as the MIFID 2 implementation and program management. He is currently part of EY’s global IBOR transition team and co-lead for Asia-Pacific.

He is currently supporting the delivery of a number of IBOR impact assessments and program implementations. He is also acting as an Independent Expert for an Enforceable Undertaking on BBSW.

Damien is a Certified Finance & Treasury Professional of the Finance and Treasury Association (CFTP).

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Managing collateral in a major market dislocation

11:00 - 12:30

  • Securities lending, repo / reverse-repo activities – current trends and challenges 
  • Funding risk for risky clients and prime brokerage 
  • Securitisation organisation – Back to pre-GFC situation 
  • Cleared and uncleared margining – What value for LIBOR-based collateral? 
  • ALM and Scarce Resources Management – Walking the fine line in efficient performance
John Feeney

Partner

Martialis Consulting | Moderator

John Feeney manages Martialis Consulting working on financial markets product and infrastructure. He has been in financial markets for over 30 years in trading and management roles across most asset classes. Prior to joining NAB, Mr. Feeney has worked for Commonwealth Bank in Sydney, Citi in Sydney and London and Macquarie Bank in Sydney. Over this time he has traded and managed interest rate derivative, foreign exchange, traded credit, commodities and funding businesses.

Recently, Mr. Feeney has been an ISDA Board Member and Vice-Chairman and an AFMA Board member.

Mr. Feeney has a PhD and BSc (Hons) from University of Sydney.

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

The technology impacts and operating model challenges

13:30 - 15:00

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

Director

Deloitte

Alastair has over 15 years of Financial Market experience, with 5 years in a leadership role within a global investment bank as the regional head of Product Control Valuations, and subsequently as head of Market Risk.

He was recently responsible for leading the system and valuation impact analysis due to LIBOR cessation and benchmark reform for a bank major, aided in establishing the bank’s project plan, and designing the exposure analysis.

He recently delivered a webinar to Finance & Treasury Association on the impact of the LIBOR replacement on Australian Corporates.

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Transitioning: lessons learned - markets, risk and operations

15:30 - 17:00

  • Q&A session for a practical anticipation
  • Where to from here on LIBOR Reform
  • Other benchmarks that form part of a successful Transition Program
  • Recommended Practical Priorities for the LIBOR Transition
  • Avoiding common pitfalls
Alexander Lord

Director

Deloitte

Alex is a Director of the Deloitte Global Financial Benchmarks Working Group and has over 15 years’ experience providing professional services to financial services clients both in Australia and globally. In particular he has commercial experience working at a number of large global banks, financial institutions and Australian banks on IBOR Reform.

He has worked across a number of advisory engagements focused on governance and conduct reviews and risk and regulatory advisory. Alex has experience delivering and leading regulatory strategy and change projects. Alex is a leader of our Deloitte Global Financial Benchmarks Team across the UK, EU, US and APAC.

  • Led the development of a financial benchmarks inventory to risk assess, and implement controls for benchmark activity. Led the delivery of Market Conduct Risk and IBOR Reform Projects in Australia and the UK, working across the multiple divisions developing the response to the IBOR discontinuation, impact analysis and regulatory responses as a result of Dear CEO Letters.
  • Alex has led a number of our engagements in relation to IOSCO Principles – Financial Benchmarks focussed gap analysis and implementation, and has helped advise firms on their control framework to embed governance arrangements in responding to regulators concerns.
  • Whilst in London, Alex has led engagements in respect of financial benchmark controls and processes supporting compliance with FCA Market Abuse Regulations, and financial benchmark codes of conducts, which includes the LIBOR submission processes.
  • Alex has lead the design and implementation of a target control framework supporting a Global Tier 1 bank’s administration and contribution to financial benchmarks globally.


Professional and academic qualifications

  • Graduate of Australian Institute of Company Directors (GAICD)
  • Masters of Applied Finance (M App Fin)
  • Member of the Institute of Chartered Accountants Australia (ICAA)
  • Bachelor of Business (Accounting), RMIT
  • Fellow of FINSIA (F Fin) and Committee member - FINSIA Regional Council VIC

17:0017:00

End of course

17:00 - 17:01