agenda

agenda

From Ibor to Risk Free Rates | Agenda

Agenda timing is in HKT/SGT

13:4514:00

Registration

08:30 - 09:00

14:0015:00

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
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

15:0016:00

IBOR Transition Risk - Case Study

11:00 - 12:30

  • Transition to HONIA, SIBOR or SOR
  • Transition triggers and target operating model
  • IBOR transition risks
  • Transition planning and programme essentials
  • Developing term-rates for HONIA and contrast with Singapore’s approach
  • Implementation of the new ISDA fallback language
Navin Rauniar

Risk Director

Quantico Consulting

Navin is a Risk Advisory Partner with circa 20 years run the bank, change the bank & Big 4 consulting experience across financial services. Navin typically connects C-suite stakeholders across business & technology, using domain expertise that focuses on risk management & capital markets, especially in response to prudential markets regulation such as LIBOR Transition, Brexit, ESG, Climate Risk, & Basel impacting an institutions' strategy, process & governance.

Navin currently leads multiple Front Office & Risk deliveries for Tier One & Tier Two financial institutions. His offshoring & international experience assists in building diverse & highly performing global teams. Externally, Navin supports the financial services community via training & mentoring of professionals, thought leadership at conferences, and his contribution as a member of the PRMIA Institute & London Steering Committee. He is a regular speaker and chair at capital markets forums, as well as a frequent commentator to the press on financial market regulations. 

16:0016:15

Break

10:30 - 11:00

16:1517:15

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
Robert Fievez

Director

Datalysis

Robert Fievez is Melbourne based with 15 years’ experience in Government and Financial Markets specialising in broad scope regulatory change. His experience has focused on helping firms, large and small, to match the regulatory requirement against the underlying portfolio impact and make the transition to new operating and business models. Mr. Fievez has also led engagement with local (APRA and RBA) and overseas (US Federal Reserve, Japanese Financial
Services Agency, etc.) regulators across a range of reform issues. Mr. Fievez is currently with Datalysis as a Director.

17:1517:15

End of Day 1

17:00 - 17:01

14:0015:00

Impact on risk management and risk control

10:15 - 11:15

  • Overnight RFR's vs Term Rates
  • Curve construction
  • Market trend of RFR and impact on fallback        
  • IBOR transition impact on risk management framework
  • Risk model and capital impact
Xiaojing Yu

Partner

Deloitte

Xiaojing Yu has almost 15 years' experience in financial services and risk management focusing on strategy, enterprise wide risk management, Basel II and Basel III, regulatory compliance, risk modelling and reporting.

15:0016:00

Accounting, Valuation and Risk measurement implications

09:00 - 10:00

  • Discounting/ valuations impact
  • Impact on Risk measurements
  • Hedge accounting relationships
  • Fair value hedging and Cashflow hedging  
  • Impact on accrual calculations when switching from IBOR to OIS indices.
Megha Ranasaria

Financial Risk Consultant

KPMG

Megha has 10+ years of experience in financial risk management with primary focus on Market Risk and Treasury Management. She has led numerous engagements in the areas of market risk, Basel II and Basel III implementation. Being an ex-Banker, she has hands on experience of setting up the Market Risk management function of a Bank with respect to VAR, Stress VaR, Stress testing, back testing, Capital computation (SA & FRTB), CVA, NOOP and SA-CCR. Exposure to both industry and consultancy gives her an edge across the domain. Megha is currently associated with KPMG in FRM practice focused on helping clients in Market Risk and Ibor transition challenges.

16:0016:15

Break

10:30 - 11:00

16:1517:15

IBOR Transition at the CCPs

11:00 - 12:30

  • Summary of this year’s Valuation and Interest on Collateral changes at the CCPs (SOFR in October and ESTR in July)
  • Insight into the operational mechanics of the change, as well as the context of cleared versus uncleared derivatives
  • Impact analysis of the change for CCPs, Sellsides, Buysides, corporates and service providers
Robin M Trott

Executive Director

Norton Edge

Robin Trott is a former head of Prime Services’ Electronic Business in both Europe and Asia – covering institutional & corporate clients at both Citi and JPMorgan. In 2018 he founded Norton Edge in order to provide consultancy services across capital markets and financial technology, specializing in Derivatives, RegTech and IBOR Transition. Based out of Singapore, he works alongside larger international practices including Delta Capita, mobilizing projects and managing transformational change.

Previously, Robin has sponsored and run complex, global regulatory programmes including for MiFID II market microstructure, and driven advocacy efforts through industry bodies. His experience spans across asset classes, as well as the order, trade & contract lifecycle. Front Office Product roles involved the design and seamless implementation of trading platforms and real time risk systems; most notably, he was the designer-in-chief of Ullink’s (now itiviti) Order Management System and Fidessa’s (now ION) Derivative Trader Workstation.

Robin has an MSc in Finance from the Henley Business School, and recently completed the HBS’ Hedge Fund Executive Program. He blogs frequently on regulatory developments, financial technology and market structure.

[email protected]

www.NortonEdge.com

17:1517:15

End of Day 2

12:00 - 13:00

14:0015:00

Operating Model Challenges and Technology Impacts

13:30 - 15:00

  • Determining your Operating Model
  • Key considerations for legacy and new products 
  • Technology analysis, solutions and implementation
  • Jurisdictional impacts
Sharon Freeman

Managing Director,

Antevorta Consultants

Sharon’s career spans nearly 25 years across the financial industry; from investment banking to corporate banking and asset management within front and back office with experience in multiple products. She held positions at Standard Chartered, Barclays, Dresdner, Merrill Lynch and JP Morgan Asset Management.


Antevorta Consultants was established in 2013 to address the evolving regulatory landscaped. Sharon worked initially in remediation programmes including the high-profile mis-selling of interest rate swaps, delivering business change and implementation of group-wide controls framework.


She has an extensive knowledge of LIBOR transition risks and implementation challenges attained through first-hand practitioner experience and various programme mandates. Sharon presented at the inaugural LIBOR Transition training course by Risk.net. She is a regular speaker at LIBOR conferences and training events as well as providing insights through webinars.


 

15:0015:15

Break

10:30 - 11:00

15:1516:15

Transitioning: lessons learned - markets, risk and operations

10:15 - 11:15

  • Q&A session for a practical anticipation
Gemini Yang

Partner, Risk Consulting

KPMG

Gemini is a Partner in Financial Risk Management team of KPMG Hong Kong. She has 14 years of experience at quantitative analysis and modelling development. She is specialized in financial risk management, focusing on the New Basel Accord implementation and compliance, such as Internal Capital Adequacy Assessment Process (ICAAP), Assets and Liability Management (ALM), G-SIFIs, Stress Testing, Risk Management and Measurement, Capital Management, etc. She possesses master skills of statistical and modelling software: SAS, Matlab, Mathematica, etc. and has profound knowledge of business and related IT systems in banking industry. Gemini holds a Bachelor degree of Mathematics and Applied Mathematics.

She has managed several engagements regarding Risk Management, Capital Management, and Internal Capital Adequacy and Assessment Process (ICAAP, including Economic Capital model) for both large global banks (APAC regional team) and large HK local banks. Services provided include Risk Appetite, Risk Governance and Strategy, Risk Assessment, Stress Testing, Capital Planning, Capital Allocation, Internal Capital Target Setting, Assets and Liabilities Management, etc. Recently, Gemini has been assisting several Hong Kong banks on compliance and implementation of their HKMA SPM CR-G-13, Banking (Exposure Limits) Rules (BELR), Initial Margin, FRTB, and LIBOR transition.

16:1516:15

End of course

17:00 - 17:01