Agenda

Agenda

Agenda: Transitioning from Ibor to Risk-Free Rates

Day one: Tuesday, March 24, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Overview of Ibor, risk-free rates

09:00 - 10:30

  • Context – financial markets affected 

  • Five core currencies

  • Other country Ibors – BBSW, HONIA, etc

  • The wider benchmark reform agenda 

  • ARR methodologies / jurisdictions 

  • O/N looking RFR vs. Term RFR

  • The challenges of transitioning to ARRs 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Case study: SOFR transition

10:45 - 12:00

  • Recent volatility changes in SOFR

    • Day to day fluctuations 

    • Monetary policy framework

  • Possible need for a term rate under SOFR

  • Backward looking SOFR 

  • SOFR-linked issuance

  • Generating liquidity

Christian Rasmussen

Head of group treasury

UBS

Senior Executive practiced in leveraging internal Assets & Liabilities structure/management and product skills to drive productivity and revenue across diverse platforms. Optimize internal assets and liabilities to deliver maximum client return/value. 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

The Libor transition cascade scenario – the reality

13:00 - 14:30

  • The most likely schedule for Libor transition 

  • Following ISDA 

  • Legacy derivatives in USD and GBP start to transition in 1H 2020

  • Prioritization of preparation requirements 

  • Need for risk-based decision making 

  • Not being a loser through the transition process 

Ralph Axel

director in US rates research

Bank of America Merrill Lynch

Ralph Axel is a Director in US Rates Research. Regular Research publications include the Global Rates Weekly, Liquid Insight, and World at a Glance. Previously, he worked as a Rates Strategist at Lehman Brothers, HSBC and Deutsche Bank. He has a BS in mathematics from University of Massachusetts Amherst and an M.S and PhD in mathematics from University of Illinois at Urbana-Champaign.

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Accounting implications

14:45 - 16:15

  • Key accounting risks in the transition 

  • Impact on hedge accounting relationships 

  • Potential loss of hedge accounting 

  • Cash flow hedging relationships

  • Fair value hedging relationships 

  • Embedded derivative analysis 

  • Repricing contracts and products

  • Regs involved – IFRS9 impacts, etc

16:1516:15

End of day one

16:15 - 16:16

Day two: Wednesday, March 25, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Impacts on risk management and risk control

09:00 - 10:30

  • 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 

Marcus Burnett

Libor transition consultant

SOFR Academy

Marcus is the Director of SOFR Academy, an American education technology firm dedicated to LIBOR transition. Marcus is a former interest rate derivatives trader turned business transformation consultant and has specialized in IBOR transition since 2016. Marcus has published thought leadership on IBOR transition and has been interviewed by the Wall Street Journal and the International Financial Law Review. Marcus holds regular conversations with IBOR program managers at multinational investment banking clients and serves on the London based SONIA Regulatory Dependencies Task Force which is Chaired by the FCA

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Operational preparation and transition checklist

10:45 - 12:00

  • 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

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Fallback provisions

13:00 - 14:30

  • 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

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Building your Ibor programme

14:45 - 16:15

  • Creating the Ibor linked product and system inventory

  • Dividing the business into dependencies and exposure analysis

  • Understanding the product governance cycle

  • Parallel runs – Impact on Risk MI such as VaR, ES, RWA

  • Designing a robust programme

  • Understanding how products and their models which work across multiple rates, jurisdictions and assumptions

  • Resource management – using cross dependencies with parallel regulations 

16:1516:15

End of course

16:15 - 16:16