Agenda

Agenda

Agenda: Ibor to Risk-Free Rates: Euribor transition

Day one: Wednesday, March 11, 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 

Petra De Deyne

Advisor

EMMI

Petra De Deyne began her career in the Generale Bank in 1988, as a salesperson in Money Markets and Forex. She then moved to the trading side, where she spent almost 20 years trading in money markets, foreign exchange and fixed income instruments, both in European and emerging markets. In 2009 and 2010, Petra served as Group Treasurer of Fortis Lease. She became Senior Manager in Regulatory Affairs for BNP Paribas CIB in 2010. She joined the European Money Markets Institute (EMMI) in 2016, where she took the position of Manager of the Benchmarks Unit. In July 2019, she was appointed EMMI’s Advisor for Strategic Developments.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Case study: ESTR/EONIA transition

10:45 - 12:00

  • Current update – EONIA = ESTR + 8.5bps 

  • Transition triggers and target operating model 

  • IBOR transition risks

  • Transition planning and programme essentials 

Olivier Balpe

Head of group IBOR transition program

Societe Generale

TitleOlivier is the Societe Generale representative at the ECB working group on euro risk-free rates 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

IBOR Reform – Derivatives Transition

13:00 - 14:30

  • Collateral Transition to €STR June 2020 – how to prepare
  • USD Collateral Transition from EFFR to SOFR Oct 2020 - LCH transition mechanism
  • ISDA Derivative Fallback Transition – figuring out value transfers
  • Cross Currency Swaps transition recommendations
  • Operational and Risk aspects
  • Alignment Derivatives and Cash Market
Michael Hammer

Director

BDO Austria

Michael has been working for over 20 years in internationally active banks. He holds a Master’s degree from Vienna’s University of Economics & Business. He started his career at Raiffeisen Bank International where he soon was promoted to be the Head of Financial Accounting.
In 2014 he moved to Erste Group Bank where he held several senior positions and was the Chief Accountant before moving on to BDO Austria in 2018. He is an expert on IFRS Accounting for Financial Instruments, Hedging and Treasury Products.
He holds seminars and is speaking at conferences on current accounting topics. He is a member of AFRAC (Austrian Financial Reporting and Auditing Committee) financial instrument working groups and is well connected within the international Accounting & Banking community. On behalf of BDO Austria he commented on the second public consultation of the ESTER-based term structure methodology.

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

Michael Hammer

Director

BDO Austria

Michael has been working for over 20 years in internationally active banks. He holds a Master’s degree from Vienna’s University of Economics & Business. He started his career at Raiffeisen Bank International where he soon was promoted to be the Head of Financial Accounting.
In 2014 he moved to Erste Group Bank where he held several senior positions and was the Chief Accountant before moving on to BDO Austria in 2018. He is an expert on IFRS Accounting for Financial Instruments, Hedging and Treasury Products.
He holds seminars and is speaking at conferences on current accounting topics. He is a member of AFRAC (Austrian Financial Reporting and Auditing Committee) financial instrument working groups and is well connected within the international Accounting & Banking community. On behalf of BDO Austria he commented on the second public consultation of the ESTER-based term structure methodology.

16:1516:15

End of day one

16:15 - 16:16

Day two: Thursday, March 12, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Impact on valuation and risk management

09:00 - 10:30

Heike Dengler

Manager

EY

Heike has joined EY’s  Quantitative Risk Advisory practice in 2015. Her focus areas are Market, IRRBB and Liquidity Risk. She serves client in Risk, Treasury and Asset Management.

The main current topics are IBOR and ILAAP.

She has many years of experience in trading and asset management, having managed mainly fixed income and asset allocation funds.

She holds a PhD in Mathematics and teaches at the Frankfurt School of Finance and Management.

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Preparing for change

10:45 - 12:00

  • Status update: lending, funding and derivatives
  • A truly transversal challenge
    • Risk, ALM, FTP, Accounting, Treasury
    • Legal and Compliance
    • Operations and Communication
    • IT is key: global vs. local projects
  • Stock and flow, early birds and followers
  • A transition program

     

Thomas Ribarits

Head of financial risk department

European Investment Bank

Thomas Ribarits joined the European Investment Bank in 2005 within Financial Risk Management, dealing with loan and funds transfer pricing, performance measurement and Asset and Liability Management.

In 2011 Thomas was advising the EFSF (European Financial Stability Facility), predecessor of the ESM, and implemented a pricing model for programme loans to Ireland and Portugal. Thomas then headed the Pricing Unit in the Credit Risk Department of EIB (credit risk pricing, loan loss reserves, watch listing), setting up a new Economic Capital framework. Between 2013 and 2018 he was heading the Financial Engineering and Advisory Services Division in the Treasury Department before he was appointed Director for Financial Risk Management in September 2018. Thomas holds a PhD degree in system theory and time series analysis and has spent 5 years in Academia at University of Technology Vienna and as post-doc at several European universities.

At EIB he has led research co-operations with Universities and he regularly acts as expert speaker at professional risk and finance conferences.

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

Marc-Etienne Sébire

Partner, Head of Capital Markets

CMS Francis Lefebvre Avocats

Pauline Larroque

Lawyer

CMS Francis Lefebvre Avocats

14:3014:45

Afternoon break

14:30 - 14:45

14:4516:15

Building your Ibor programme

14:45 - 16:15

Understanding how firms can develop internal transition plans, systems and modelling to ensure they are operationally ready for RFR

  • 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 such as FRTB, IRRBB, Basel IV, etc

16:1516:15

End of course

16:15 - 16:16