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 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Case study: ESTR/EONIA/EURIBOR transition

10:45 - 12:00

  • Current update – EONIA = ESTR + 8.5bps and EURIBOR in 2025

  • Transition triggers and target operating model 

  • IBOR transition risks

  • Transition planning and programme essentials 

12:0013:00

Lunch

12:00 - 13:00

13:0014:30

Scenario driven impact analysis

13:00 - 14:30

  • How will real work evolution impact risk management? 

  • Overnight RFRs v Term Rates – what do ‘Term Rates’ mean? 

  • Managing adverse selection during transition 

  • What do basis markets tell us about Basis Risk? 

  • Quantify outcomes – magnitude, severity, probability 

  • Fixed rate, cross currency and sequence of disruption 

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: Thursday, March 12, 2020

08:3009:00

Registration and refreshments

08:30 - 09:00

09:0010:30

Transition impact on liquidity and funding

09:00 - 10:30

  • Understanding the impact on liquidity and funds transfer pricing 

  • Liquidity premiums

  • Impact on forecasting and stress testing 

  • Managing the balance sheet 

10:3010:45

Morning break

10:30 - 10:45

10:4512:00

Operational preparation and considerations

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

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