Agenda

Agenda

Agenda

08:4509:00

Registration

08:45 - 09:00

09:0009:45

Overview of IBOR to risk free rates and benchmark options

09:00 - 09:45

  • 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
Nitin Rana

Business Solution Architect - Group Risk

United Overseas Bank

Mr. Nitin Rana has been working in financial services for more than 2 decades with an established track record in financial services IT, product development and management consulting. He currently holds M.B.A. from New York University, Stern School of Business with major in Quantitative Finance and Global Leadership.  

He has spent most of his professional career working in New York City at major financial institutions, hedge funds, Asset Managers before moving to Asia.

His portfolio of experiences includes IT strategy and execution, design and implementation of IT applications and process re-engineering, technical infrastructure innovation, and product engineering. He is currently overseeing a multitude of Risk regulatory programmes such as IBOR transition, FRTB, Basel 4, Market data standardization for United Overseas Bank, Singapore

09:4510:30

How to deal with the transition

09:45 - 10:30

  • Client-centric approach - client outreach
  • LIBOR Transition Developments: Global and Japan
  • Conduct and reputational risks in the preparation and the transition
  • Use of Risk Free Rates (RFRs), complexities and challenges
  • Market Timelines
  • Forward vs in arrears - product opportunities and challenges 
  • Contract Remediation and Fallbacks and related implementation considerations
Sergey Volkov

Partner – PwC APAC LIBOR Leader

PwC Consulting LLC

Sergey co-leads the PwC Japan's LIBOR and Reference Rate Reform. He is a partner with twenty years of combined industry and consulting financial services experience.

Sergey is a Chartered Financial Analyst (CFA) charterholder and a US Certified Public Accountant (CPA) (Virginia). Sergey is a member of the CFA Institute, and Washington DC Society of Investment Analysts, and a number of industry societies. Sergey is a frequent speaker at large industry conferences. 

PwCコンサルティング合同会社 金融サービス事業部 リスクチーム パートナー
20年以上にわたるコンサルティング及びリスク管理の経験を有しており、リスク管理・財務報告を専門領域としている
複数の大手金融機関(本邦およびG-SIBsの本邦拠点)のLIBOR移行プロジェクトを主導
PwCにおいてLIBOR移行アプローチ(契約書修正、顧客アプローチ、影響調査)の検討を主導
欧州・米州・アジアの主要金融機関対するリスク・ファイナンスに係る改革プロジェクトを主導
数多くのデータ・アナリティクスの改革プロジェクトを主導
PwC Global Reference Rate Reform networkメンバー

10:3010:45

Morning Break

10:30 - 10:45

10:4511:30

Impact on risk management and risk control

10:45 - 11:30

  • The overall picture on Risk Free Rates
  • Making RFRs workable: a work in progress
  • Current approaches to fallbacks
  • Conduct risk
  • Key lessons and things to do
  • Q&A
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.

11:3012:15

IBOR Transition Risk - Actual Case Studies

11:30 - 12:15

  • Transition planning
  • Impact Study
  • Challenge of Market Liquidity
  • Curve Construction – what should be considered
Shie Otsuka

Pre-sales and Quantitative Support

Numerix Japan Co Ltd.

Since she joined Numerix in 2014, she has been providing consultancy and quantitative support to many financial institutions in Japan in derivatives pricing and risk management.

Prior to joining Numerix, she served about 15 years in Banks and Securities companies as Market Risk Officer.

大塚史絵 ニューメリックスジャパン株式会社 プリセールス&クォンティテイティブサポート

2014年にニューメリックスに入社して以来、国内の多数の金融機関に金融派生商品の評価およびリスク管理の分野におけるコンサルタントやサポートを提供。

ニューメリックス入社以前は、約15年にわたって銀行、および証券会社でMarket Risk Officerを経験。

Yingqi Zhu

Presales consultant, Business Development APAC

Numerix Japan Co., Ltd.

Yingqi is  co-working with system vendors and consulting firms to provide solutions to financial institutions in APAC region with his technical and analytic background in LIBOR Transition as well as Pricing, XVA and Risk Management.

ニューメリックス・ジャパン株式会社 アジアパシフィック・ビジネス・デベロップメント プリセールス・コンサルタント

NumerixにおいてAPAC地域のベンダー協業を通じたサービス提供を担当。LIBOR移行を含む時価計算、XVAやリスク計測などの領域で様々な情報ベンダーやコンサルティングファームと協業して金融機関にソリューションを提供している。

12:1512:30

End of Day 1

12:15 - 12:30

09:0009:45

Accounting implications

09:00 - 09:45

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

Associate Director

KPMG Advisory (Hong Kong) Limited

Desmond is an Associate Director with 10 years of experience in financial services in KPMG, specializing in banking, securities and investment management industry. Desmond has also worked in the financial services practice in KPMG United States for two and half years. His client portfolio includes international banks, broker-dealers and wealth management companies in Hong Kong.

Desmond leads the LIBOR transition working group in KPMG Hong Kong, and have been actively participating in the global KPMG working group. His work includes hosting roadshows for over 20 international, regional and local banks in Hong Kong and organizing and leading the KPMG LIBOR survey for the APAC region.

Martin Friedhoff

Partner

KPMG

Martin is a Partner in KPMG China's Department of Professional Practice, looking after financial instruments related financial reporting issues. He has worked for international audit firms since 1997, increasingly specialising on accounting for financial instruments under IFRSs. Martin is originally from Germany but has also worked in New Zealand and Australia.

From 2008 to 2012, Martin was based in London as a key member of the IASB’s staff on the IFRS 9 project. He was deeply involved in all three phases of the project (classification and measurement, impairment, hedge accounting). He also managed the IASB’s Expert Advisory Panel on Impairment. During his time at the IASB, Martin also looked after the IASB’s project on accounting for dynamic risk management (‘macro hedging’), and presented to the IFRS Interpretations Committee on financial instruments related matters.

Martin works closely with the global technical accounting policy teams, and he has been a member of regional and global topic teams for many years. As part of these roles Martin also authored internal position papers as well contributing to external publications.

In his day to day work, Martin provides advice on the accounting for complex transactions. Hedge accounting is a particular focus of Martin’s work.

09:4510:30

Operational preparation and transition checklist

09:45 - 10:30

  • Building the capabilities for the new RFR
  • Checking your IT systems what needs to be considered?
  • Operational risks
  • Data and technology implications
  • Minimising the cost impact of the transition
Asim Parashar

Partner

PwC India

Asim has twenty plus years of experience in advising clients on large transformation engagements in Banking & Financial Services industry in India and abroad. He has led several engagements across global banks, asset management companies and sell-side firms focusing on their Enterprise Solution Architecture, Enterprise Risk Management, Process and Technology Re-Engineering initiatives across functions. He has worked on key global regulations and market developments including SEPA and MIFID II / MIFIR. Currently he is supporting banks on LIBOR transitions focussed on Operations and Technology work stream.

10:3010:45

Morning Break

10:30 - 10:45

10:4511:30

Fallback provisions

10:45 - 11:30

  • The scope of potential fallback provisions
  • Identify IBOR inventory
  • If the RFR is not liquid
  • Contractual fallback language
  • Flexible fallback provisions 
  • Fallback provisions for securitisations
Leng-Fong Lai

Partner

Clifford Chance

Leng-Fong Lai is a partner in Clifford Chance. He joined Clifford Chance in 2000 and was based in London until 2005 when he moved to Tokyo where he is currently based. Mr. Lai graduated from The National University of Singapore (LLB Hons) in 1998 and is admitted as an Advocate and Solicitor in Singapore in 1999 and a Solicitor of England & Wales in 2001. He advises extensively on cross border legal and regulatory issues arising from securities and derivatives transactions and related business activities. He also advises banks, sponsors and investors in all forms of cross border and international capital markets transactions and offerings, with a focus on structured financial products and asset-backed financings over a variety of asset classes. He is recognised as a leading practitioner in major legal directories.

11:3012:15

IBOR transition across Derivatives and Cash markets: next steps & challenges

11:30 - 12:15

  • Derivatives valuation after LIBOR
    • Swap and Swaption Valuation and Hedging with RFR and Term Rate
    • A base case for XVA
  • Issues about non-linear Derivatives valuation
    • Issues about Caplet valuation with RFR
    • Market Model of RFR rate (extension of Libor Market model)
    • Issues about Exotic Derivatives including Range Accrual
Osamu Tsuchiya

Principal

Simplex Inc.

Osamu Tsuchiya is a Quantitative Analyst at Simplex Inc. He has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling.

Additionally, he has experience working as a  financial risk management consultant for Ernst and Young.

Before moving to finance, Osamu worked in the field of mathematical physics. He holds a PhD in Theoretical and Mathematical Physics from The University of Tokyo. His book "The Practical Approach to XVA: The Evolution of Derivatives Valuation After the Financial Crisis" will be published this year.

12:1512:30

End of Training Course

12:15 - 12:30

08:4509:00

受付

08:30 - 09:00

09:0009:45

IBORからリスクフリーレートへの移行とベンチマークオプションの概要

09:00 - 09:45

  • 状況 ― 影響を受ける金融市場
  • 広範なベンチマーク改革のアジェンダ
  • ARR方法論/管轄
  • O/N物RFR vs ターム物RFR 
  • 期間構造
  • ARRへの移行に関する問題

09:4510:30

どのように移行に対応するか

09:45 - 10:30

  • 顧客中心アプローチ ― コミュニケーションと準備
  • アジア市場の複雑性(先進国、新興国)
  • 準備中および移行中の実施リスクおよびレピュテーションリスク
  • 法律リスク ― 新しいポートフォリオとレガシーポートフォリオのフォールバックベースリスクの問題
  • マルチリスクフリーレート ― 内容と対象者は? 
  • 混乱が予測される ― 資金調達と市場のタイムライン
  • 前払い vs 後払い ― 商品に関する機会と問題 
  • 適切な予算編成とプロジェクト管理
  • IBOR移行フォールバック言語と実施に関する考察
Sergey Volkov

Partner – PwC APAC LIBOR Leader

PwC Consulting LLC

Sergey co-leads the PwC Japan's LIBOR and Reference Rate Reform. He is a partner with twenty years of combined industry and consulting financial services experience.

Sergey is a Chartered Financial Analyst (CFA) charterholder and a US Certified Public Accountant (CPA) (Virginia). Sergey is a member of the CFA Institute, and Washington DC Society of Investment Analysts, and a number of industry societies. Sergey is a frequent speaker at large industry conferences. 

PwCコンサルティング合同会社 金融サービス事業部 リスクチーム パートナー
20年以上にわたるコンサルティング及びリスク管理の経験を有しており、リスク管理・財務報告を専門領域としている
複数の大手金融機関(本邦およびG-SIBsの本邦拠点)のLIBOR移行プロジェクトを主導
PwCにおいてLIBOR移行アプローチ(契約書修正、顧客アプローチ、影響調査)の検討を主導
欧州・米州・アジアの主要金融機関対するリスク・ファイナンスに係る改革プロジェクトを主導
数多くのデータ・アナリティクスの改革プロジェクトを主導
PwC Global Reference Rate Reform networkメンバー

10:3010:45

休憩

10:30 - 10:45

10:4511:30

リスクマネジメントとリスクコントロールに対する影響

10:45 - 11:30

  • O/N物RFR vs ターム物RFR ― 重要な技法
  • リスクアペタイトフレームワーク、閾値レビュー、戦略確認
  • 曲線構造の変更
  • さまざまな通貨におけるマージントレンド
  • 資産、デリバティブ、担保、オフバランスシートエクスポージャに関する流動性リスク
  • ベーシスリスクとクロスカレンシーリスク管理
  • 資金調達ブロック、主要な変曲点、FTPオーバーホール
  • 規制に関するクロスインパクトおよび税金に関する驚くべきもの ― 隠れたリスク 
  • ダイナミックビジネスパートナー ― 初期警告インジケータにより営業部門と方針を支援
Tetsuya Adachi

Financial Services Partner

PwC Consulting LLC.

•Tetsuya Adachi, a Partner at PwC consulting, Financial Services, has more than 25 years of experience in financial markets and regulatory practices. His expertise covers wide range of  Market & Risk/Regulatory subjects including derivative pricing after the global financial crisis, Market & Counterparty risk, CVA/XVA pricing & risk management, stress-testing & risk appetite framework, accounting practices for IFRS 9/13, etc.
•He has developed many quantitative trading models/methodologies for proprietary trading positions (equity spot & derivatives) as a quant specialist at a major US investment bank.
•He engaged in many research works regarding systemic risk/ XVA / capital costs at the institute of monetary and economics studies at the Bank of Japan and published many research papers.
•Before joining PwC, he worked for Financial Services Agency of Japan (JFSA) and he was in charge of reviewing internal risk models of Japanese major banks.  He supervised Japanese major banks for introducing market-based CVA on pricing/accounting practices.
•Ph.D. (Econometrics and Statistics, University of Minnesota - TwinCities),  CPA (Japan)

11:3012:15

IBOR 移行へ向けて – 実例集

11:30 - 12:15

  • 移行へ向けての準備
  • インパクトスタディ
  • マーケットの流動性とその対応
  • カーブの作成 – 考慮すべき事項
Shie Otsuka

Pre-sales and Quantitative Support

Numerix Japan Co Ltd.

Since she joined Numerix in 2014, she has been providing consultancy and quantitative support to many financial institutions in Japan in derivatives pricing and risk management.

Prior to joining Numerix, she served about 15 years in Banks and Securities companies as Market Risk Officer.

大塚史絵 ニューメリックスジャパン株式会社 プリセールス&クォンティテイティブサポート

2014年にニューメリックスに入社して以来、国内の多数の金融機関に金融派生商品の評価およびリスク管理の分野におけるコンサルタントやサポートを提供。

ニューメリックス入社以前は、約15年にわたって銀行、および証券会社でMarket Risk Officerを経験。

Yingqi Zhu

Presales consultant, Business Development APAC

Numerix Japan Co., Ltd.

Yingqi is  co-working with system vendors and consulting firms to provide solutions to financial institutions in APAC region with his technical and analytic background in LIBOR Transition as well as Pricing, XVA and Risk Management.

ニューメリックス・ジャパン株式会社 アジアパシフィック・ビジネス・デベロップメント プリセールス・コンサルタント

NumerixにおいてAPAC地域のベンダー協業を通じたサービス提供を担当。LIBOR移行を含む時価計算、XVAやリスク計測などの領域で様々な情報ベンダーやコンサルティングファームと協業して金融機関にソリューションを提供している。

12:1512:30

初日の終わり

11:30 - 11:45

09:0009:45

会計への影響

09:00 - 09:45

  • ヘッジ会計関係
  • 公正価値ヘッジ 
  • 割引/評価
  • キャッシュフローヘッジ 
  • 修正会計
Ryuichi Nagano

Parter

PricewaterhouseCoopers Arata LLC

Ryuichi is a partner with PwC Japan financial services assurance practice and co-leads the PwC Japan's LIBOR and Reference Rate Reform. Ryuichi leads several projects for Japanese clients to respond to LIBOR transition, provides risk, regulatory and accounting (Japanese GAAP, IFRS and US GAAP) advisory services mainly to large Japanese Financial Institutions. Ryuichi has provided audit and advisory services to Japanese and non-Japanese financial institutions for over 25 years. Ryuichi is a Japanese Certified Public Accountant (CPA).

PwCあらた有限責任監査法人 パートナー 公認会計士
PwC JapanにおいてLIBOR移行プロジェクトをリードするとともに、主として大手金融機関向けに、財務会計、金融規制、リスク管理関連プロジェクト支援業務を担当している。

09:4510:30

業務上の準備と移行チェックリスト

09:45 - 10:30

  • 新しいRFRに対する能力の構築
  • ITシステムに関して何を検討すべきか確認する
  • オペレーショナルリスク
  • データと技術的な意味合い
  • 移行費用の影響を最低限に抑える

10:3010:45

休憩

10:30 - 10:45

10:4511:30

フォールバック条項

10:45 - 11:30

  • 想定されるフォールバック条項の範囲
  • IBOR一覧の特定
  • RFRが非流動的である場合
  • 契約上のフォールバック条項言語
  • 柔軟なフォールバック条項 
  • 証券化のためのフォールバック条項
Leng-Fong Lai

Partner

Clifford Chance

Leng-Fong Lai is a partner in Clifford Chance. He joined Clifford Chance in 2000 and was based in London until 2005 when he moved to Tokyo where he is currently based. Mr. Lai graduated from The National University of Singapore (LLB Hons) in 1998 and is admitted as an Advocate and Solicitor in Singapore in 1999 and a Solicitor of England & Wales in 2001. He advises extensively on cross border legal and regulatory issues arising from securities and derivatives transactions and related business activities. He also advises banks, sponsors and investors in all forms of cross border and international capital markets transactions and offerings, with a focus on structured financial products and asset-backed financings over a variety of asset classes. He is recognised as a leading practitioner in major legal directories.

11:3012:15

デリバティブ市場におけるIBOR 移行: クオンツの立場からの問題点

11:30 - 12:15

  • 移行後のデリバティブの評価
    • RFR平均と term rateにおけるswap と swaption の評価とヘッジ
    • Curve と XVAの計算におけるbase case
  • 非線形デリバティブの評価における課題
    • RFRにおけるCaplet 評価の問題点
    • RFRを取り込んだmarket model
    • エキゾチック・デリバティブにおける問題点(特にrange accrualについて)
Osamu Tsuchiya

Principal

Simplex Inc.

Osamu Tsuchiya is a Quantitative Analyst at Simplex Inc. He has worked for Dresdner Kleinwort and Citigroup as a rates and hybrid derivatives quant analyst. He has also worked for XVA modeling.

Additionally, he has experience working as a  financial risk management consultant for Ernst and Young.

Before moving to finance, Osamu worked in the field of mathematical physics. He holds a PhD in Theoretical and Mathematical Physics from The University of Tokyo. His book "The Practical Approach to XVA: The Evolution of Derivatives Valuation After the Financial Crisis" will be published this year.

12:1512:30

トレーニングコース終了

12:15 - 12:30