agenda

agenda

From Ibor to Risk Free Rates | Agenda

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Overview of IBOR to risk free rates and benchmark options

09:00 - 10:30

  • 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
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

IBOR Transition Risk - Case Study (Singapore)

11:00 - 12:30

  • Fate of BBSW
  • Transition triggers and target operating model
  • IBOR transition risks
  • Transition planning and programme essentials
  • Programme governance
  • Implementation of the new ISDA fallback language
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

How to deal with the transition

13:30 - 15:00

  • Client-centric approach - communication and preparation
  • The complexity of Asian markets (Developed, emerging)
  • Conduct and reputational risks in the preparation and the transition itself
  • Legal risk - the challenge of fallbacks basis risks for new and legacy portfolios
  • Multi risk-free rates - what's in for whom? 
  • Expect disruption - Funding and market timelines
  • Forward vs in arrears - product opportunities and challenges 
  • Right budgeting and project governance
  • IBOR transition fallback language overview and implementation considerations
Kishore Ramakrishnan

Partner

Temple Grange Partners

Kishore is the head and founding partner of Temple Grange Partners, Asia business. He comes with over 21+ years of industry & consulting experience spanning across multiple continents including Americas, Europe, Asia & Japan. He has advised top-tier U.S., U.K., Swiss, European, Japanese & Chinese banks, Financial Market Infrastructure [FMI] & Buy-side on the “structural” & “operational” implications on global and regional derivative regulations, Basel capital reforms, OTC derivative margin reforms, Volcker reforms, MiFID II, FRTB, front office trading supervision etc. His client engagements span multiple asset classes covering equities, derivatives & fixed income and his body of work includes but not limited to advising clients on booking model and legal entity strategy, margin model approvals, CPMI P-FMI assessments for CCP’s, target operating model design, industry benchmarking exercises covering banks, broker dealers, custodians, exchanges, CCP’s, asset managers, insurance firms. He has several national & international publications to his credit and has worked closely with global & regional regulators, industry associations such as ISDA, ASIFMA, HKSI, AIMA.

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Impact on risk management and risk control

15:30 - 17:00

  • Overnight RFR's vs Term Rates - key technicals
  • Risk Appetite Framework, thresholds reviews and strategies check-up
  • Curve structure changes
  • Margin trends across different currencies
  • Liquidity at Risk for your assets, derivatives, collateral and off balance sheet exposures
  • Basis risk and cross-currency risk management
  • Funding blocks, key inflexion points and FTP overhaul
  • Regulatory cross-impacts and tax surprises - the hidden risks
  • Dynamic business partner - the Early Warning Indicators to support business lines and legal entities
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

17:0017:00

End of Day 1

17:00 - 17:01

08:3009:00

Registration & refreshments

08:30 - 09:00

09:0010:30

Accounting implications

09:00 - 10:30

  • Hedge accounting relationships
  • Fair value hedging
  • Discounting/ valuations
  • Cashflow hedging
  • Modification accounting
David Roberts

Partner

Deloitte

10:3011:00

Morning break

10:30 - 11:00

11:0012:30

Managing collateral in a major market dislocation

11:00 - 12:30

  • Collateral/PAI and discounting switch for USD and EUR currencies (planned for June & Oct 2020)
Alexandre Bon

Head of Marketing & Strategy, Asia Pacific

Murex

Alexandre looks after the definition, positioning and go-to-market strategy of Murex product solutions with a focus on Risk Management and Regulatory Transformation. His most recent work centers on the implementation of the bilateral Initial Margin and Basel III capital reforms, and on XVA desks operating models. Alexandre also co-heads the Murex task force on the Interest Rates Benchmark Reform.  

Since joining Murex in 2000, Alexandre has held both senior client-facing and product management positions, last serving as global head of the Risk Control practice and general manager for Murex Ireland, where he drove the development of the MX.III XVA management solution and Credit Risk simulation engine.

Alexandre holds a « Grande École » MSc in Management and Finance from HEC Paris.

12:3013:30

Lunch

12:30 - 13:30

13:3015:00

The technology impacts and operating model challenges

13:30 - 15:00

  • Key considerations: Legacy vs new
  • Concurring new and legacy books
  • Migrations: Easier said than done
  • Jurisdictional differences in approach and timetable
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

15:0015:30

Afternoon break

15:00 - 15:30

15:3017:00

Transitioning: lessons learned - markets, risk and operations

15:30 - 17:00

  • Q&A session for a practical anticipation
Matthieu Sachot

Director, head of transition, treasury and liquidity

Chappuis Halder & Co.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, global co-head of the Front Office offer, and leading the Treasury / Liquidity and Regulatory streams. Matthieu joined CH&Co. in 2013, previously Cross-Border Debt Syndicate for Citigroup Global Markets, as well as Investment Manager and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is considered a Go-to-Expert in ALM, Treasury and Liquidity risks. Matthieu is leading key projects on LIBOR Transition, Collateral performance, Front Office business growth, market crisis management, as well as international and local regulatory impacts for CIBs and Asset Managers in Asia, from new rules implementation, to robotics / fintech integration.

Matthieu speaks regularly at conferences such as Asia Risk, PASLA, PRMIA, DTCC / Euroclear and is a regular writer on key hot topics for global and Asian markets.

Matthieu is based in Hong Kong and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Liquidity Risk and Asset Liability Management (ALM).
 

Vishal Kapoor

Executive director, functional audit head for risk and group finance

DBS Bank

Vishal Kapoor has 23 years’ experience in strategic planning, risk management, and capital planning advisory. He is currently heading the audit teams for Risk and Finance in DBS at the Group level. He has spent time in auditing, banking and consulting. His projects include reviewing ICAAP/ liquidity risk for 3 consecutive years for a major Singapore-based bank, and reporting the results to the board and the regulator. He addressed stress testing issues at an enterprise-wide level, set risk governance for banks in China and Singapore, conducted programme reviews for Basel II and provided over 700 hours ICAAP/ Basel III/ liquidity training to senior management and the board of various banks. Previously, he held key positions with JP Morgan, Standard Chartered, Deutsche Bank, and Credit Suisse.  He holds an MBA from Chicago Booth School of Business and is a Chartered Accountant.

17:0017:00

End of course

17:00 - 17:01