Course Agenda

Agenda

Agenda

Agenda timing is in BST
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Session one - 2pm BST/ 9am EDT
Session two - 3.15pm BST/ 10.15am EDT
End - 4.15pm BST/ 11.15am EDT
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14:0015:00

Overview of Ibor, risk free rates

14:00 - 15:00

  • 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
Robert Veiga

Manager, Strategy & Business Transformation

EY

Robert is a manager in the Strategy & Business Transformation practice at Ernst & Young LLP and is currently focused on assisting market participants in planning and executing IBOR transition programs. Specifically, Robert has published thought leadership around conduct risk implications, developed and implemented reporting tools to monitor financial and risk exposure, and assisted institutions in developing strategies and tools to remediate legacy contracts.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Case study: SOFR transition

15:15 - 16:15

  • 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
Navin Rauniar

Independent adviser

PRMIA

Navin is an independent risk director with over 16 years’ experience in advising the sell side on front to back risk and regulatory matters. Navin also specialises in the delivery of Risk Methodologies, Models & Governance for Tier One and Tier Two investment banks; whilst spearheading the analysis for IBOR Transition, FRTB, IRRBB, Basel IV, CRR 2 and CRD V offerings. He most recently worked as a Senior Manager at a leading global advisory firm where he led the analysis of the impact of the LIBOR Transition on financial institutions. 

Prior to this, Navin spent 15 years in the industry working in global run-the-bank and change-the-bank roles for Credit Suisse, RBS, Commerzbank and JP Morgan across Front Office, CRO and Operations. Navin is a member of the Professional Risk Managers Association and sits on the London Chapter Steering Committee. Navin supports the CRO community via mentoring of risk professionals and the organisation of risk, regulatory & leadership events. 

14:0015:00

Case study: Transition to SONIA

14:00 - 15:00

  • Switch from Libor to SONIA for sterling interest rate swaps
  • Transition planning
  • Term rates under SONIA
  • Adjustment rate and published index
  • BISL for derivatives
  • Key features and policies
Daniel Wynne

LIBOR Transition SME

National Australia Bank

Daniel is the SME to National Australia Bank’s Financial Benchmarks Project. Based in the UK branch he is advising on new RFR product development, customer outreach and internal training and monitoring industry trends across London and New York.  Daniel is a member of the Bank of England’s Cash Legacy Transition Task Force. Prior to working at NAB, Daniel has worked on a number of large scale regulatory and market structure change projects across major financial institutions

15:0015:15

Break

15:00 - 15:15

15:1516:15

Case Study: ESTR/EONIA Transition

15:15 - 16:15

  • Current update – EONIA = ESTR + 8.5bps
  • Transition triggers and target operating model
  • IBOR Transition risks
  • Transition planning and program 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 

14:0015:00

Accounting implications

14:00 - 15:00

  • 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

15:0015:15

Break

15:00 - 15:15

15:1516:15

Fallback provisions

15:15 - 16:15

  • 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
James Eves

senior executive

ConvEx

James Eves is a Senior Executive at ConvEx, an independent financial institution, regulated by the Financial Conduct Authority, providing independent advice and expert services on convertible bonds, senior and hybrid debt and derivatives.   

ConvEx is the leading independent calculation agent in the convertible bond market and have significant similar roles for AT1 and RT1 issues as well as Make-whole calls in Senior bonds.

For more than two years we have been heavily engaged with Libor, with a particular focus on the transition and fallbacks in bonds and other capital markets instruments. We have already been appointed as Independent Adviser on several FRNs (to handle future benchmark changes) as well as advising law firms and issuers on the benchmark replacement features of their bonds and EMTN programmes.

James’s current work follows 25 years in investment banking, working in Equity Capital Markets, Debt Capital Markets and industry coverage at JP Morgan, UBS and RBC. His roles included Head of Financial Institutions Equity Capital Markets and Head of Structured Equity Capital Markets at UBS, and Head of European Bank coverage at RBC. He has significant transaction experience across Europe, the Middle East, Africa and Asia

14:0015:00

Impacts on risk management and risk control

14:00 - 15:00

  • Overnight RFRs vs term rates
  • Will different pricing/margins need to be applied across different currencies?
  • Curve structure changes
  • Basis risk
  • Operational risks
  • 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

15:0015:15

Break

15:00 - 15:15

15:1516:15

Building your Ibor programme

15:15 - 16:15

  • Building your IBOR Transition Programme

  • Do you need to compress your IBOR Transition Plan to meet the deadline?

  • What’s the best Programme Approach?

  • Programme Essentials

    o   Inventories (product, systems, risk models, contracts, etc) – their importance, how to create and prioritise items

    o   3LOD MI & Reporting – exposure analysis, data challenges, impacts on principle risks (inc. capital, liquidity, operational, conduct) ALCO, programme risk assurance and audit

    o   Communications & Product Strategy – creating a strategy to minimise conduct and litigation risks

    o   Readiness – FTP, NBC & Product Governance Cycle, Valuations, Documentation Taxonomy

  • Programme Complexities

    o   Pilot Testing – identify critical paths and load on IT systems, customer journey, Risk MI (VaR, EAD, LGD RWA)

    o   What are the intra-business and function dependencies. Can you rely on assumptions?

    o   Manging in a multi-rate environment, restructuring, forbearance and delinquencies

    o   Are efficiencies possible or are there resource and cost consequences?

  • Key Next Steps

    o   Red Flags - Monitoring and Evolving (RAIDs)

    o   Advocacy & Awareness (RACIs)

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.