Agenda

Agenda

Ibor to Risk Free Rates - Dublin

Course Agenda*

Moderated by: Navin Rauniar, risk director, Quantico Consulting 

Day One: Wednesday, November 13, 2019

8:30

Registration and refreshments

9:00

Ibor to RFR – overview and recap

  • Context – financial markets affected 

  • The wider benchmark reform agenda 

  • Types of term benchmark rate 

  • ARR methodologies/jurisdictions 

  • Global progress – EU vs. UK vs. US 

Speaker: Navin Rauniar, risk director, Quantico Consulting 

10:30

Morning break

10:45

EU context – Eurozone benchmark reform 

  • Benchmark reform in the Eurozone

  • Attempts to breathe new life into Euribor 

  • Uncertainty in futures  

  • Do the differing European approaches hamper Ibor transition? 

  • €STR transition 

  • How can UK and US capitalise on what Europe has done so far?  

Speaker: John Ewan, director, Benchmark Advisory Services 

12:00

Lunch

1:00

Accounting considerations on Ibor to RFR 

  • The lay of the land post the IASB’s August meeting 

  • What the proposed relief covers in terms of hedge accounting 

  • Changes to terms of cash products and implications of this

  • Other accounting disruptions to balance sheets 

  • Replacement issues and the IASB’s response 

Speaker: Michael Hammer, director, BDO Austria GmbH

2:30

Afternoon break

3:00

Impact on risk management and risk control 

  • Overnight RFRs 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 market risk GM, Bank of Ireland

4:30

End of Day One

Day Two: Thursday, November 14, 2019

8:30

Refreshments

9:00

Impact of Ibor on risk metrics and processes

  • Product governance 

  • Front office risk process

  • Risk data 

  • Risk metrics

  • Risk calculation 

Speaker: Navin Rauniar, risk director, Quantico Consulting 

10:30

Morning break

10:45

Adapting the operations function 

  • Embedding Libor into systems and processes 

  • Different publication times – effect on existing IT systems 

  • Will different pricing/margins need to be applied across different currencies – effect on existing IT systems  

  • Improving process and documentation 

  • Identifying areas where there are Libor dependencies 

Speaker: Brendan Crowley, director, KPMG Ireland 

12:00

Lunch

1:00

The technology impacts and operating model challenges

  • Key considerations: legacy vs new

  • Concurring new and legacy books 

  • Migrations: easier said than done - key approaches to take 

  • Utilising digital technologies and tools to help optimise your Libor transition 

Speaker: Paul Dobbs, director, Sionic

2:30

Afternoon break

3:00

Case study – practical approaches to dealing with the transition 

  • RFR program set up and governance 

  • Conduct, reputational and legal risk 

  • Communication and engagement with stakeholders 

  • Q&A, conclusions 

  • What are the main priorities moving forward? 

Speaker: Bhavin Shah, independent consultant and former head of libor transition at NatWest 

4:30

End of course


*Agenda is subject to change*