Course Agenda

Agenda

Ibor Readiness and Implementation - Agenda

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Live virtual course | Below agenda timing is in BST

Respective time in HKT:

Start: 8.30am BST | 3.30pm HKT
Break: 9.30am BST | 4.30pm HKT
End: 10.45am BST | 5.45pm HKT

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08:3009:30

Overview of the transition to risk free rates

14:00 - 15:00

  • Wider benchmark reform agenda
  • Impacted currency jurisdictions and ARRs
  • Key differences between IBOR vs. ARRs
  • Implications for financial markets and challenges of transitioning to ARRs
  • Timeline to transition− where are we now?
Henry Vu

Asia IBOR transition program lead

ING

Henry is the Asia IBOR Transition Program Lead at ING, coordinating the transition across wholesale banking, group treasury, lending, as well as IT, compliance, legal, risk, finance and among other divisions.

His role also includes facilitating operational readiness, system enhancements, product approval reviews, client outreach, contract repapering and other workstreams. Henry has more than 10 years of banking experience in project management and project leading roles, covering various types of projects from technology and service re-engineering to business initiatives and regulatory change projects

09:3009:45

Break

15:00 - 15:15

09:4510:45

AI in the IBOR transition

15:15 - 16:15

  • Strategic planning for complex changes

  • How can AI assist in the transition and implementation?

  • Use of cognitive technologies 

    • Natural language processing

    • Machine learning

  • AI governance 

  • Timeline for cost management of AI technologies

Emiliano Papa

Director and head of interest rates, FX, and hybrids

Deutsche Bank

Emiliano has a PhD in Theoretical Physics from University of Oxford.

After graduation he went for a postdoc and later Lecturer at the University of Texas at Austin and Visiting Scholar at Caltech.

Emiliano then moved into quantitative finance and became director at Bank of America.

Since 2014 he has been Director and head of Interest Rates, FX, and Hybrids at Deutsche Bank.

08:3009:30

SONIA, SOFR, and ESTER

14:00 - 15:00

  • Key features and polices

  • Current liquidity development and challenges

  • Important updates on transition plans

  • Transition planning and essentials

Mathieu Casadevall

Ibor transition project director

Société Générale

09:3009:45

Break

15:00 - 15:15

09:4510:45

Managing your back book

15:15 - 16:15

  • Identifying an IBOR inventory

  • Potential fallback provisions

  • Challenges with tough legacy contracts

    • Contractual fallback language

    • Contract conversion and repricing in advance to IBOR cessation

    • Legislative tools available for solutions

  • Fallback provisions for securitizations and hedged derivatives

Ann Battle

Assistant general counsel

ISDA

Ann M. Battle is Head of Benchmark Reform at ISDA where she leads ISDA’s global efforts related to the transition away from LIBOR and other benchmark reform initiatives. 

Ann represents ISDA on the Alternative Reference Rates Committee (ARRC) and the Interest Rate Benchmark Reform Subcommittee of the CFTC Market Risk Advisory Committee.  She also leads ISDA’s global work with the FSB Official Sector Steering Group (OSSG) to implement more robust fallbacks for derivative contracts.  At ISDA Ann also covers derivatives clearing and CCP-related issues, bank resolution, and netting and collateral opinions for cleared and uncleared derivatives.  Prior to joining ISDA, she was a counsel in the Legal Division, Complex Financial Institutions Section of the Federal Deposit Insurance Corporation (FDIC). Her work at the FDIC focused on resolution of systemically important financial institutions and, specifically, on domestic and cross-border issues related to derivatives and financial market infrastructures. Prior to joining the FDIC, Ms. Battle was an attorney with the law firm of Sutherland Asbill & Brennan LLP in Washington, DC, where her practice focused on derivatives and structured products (including regulation of such products), secured and unsecured lending, and capital markets transactions. Ms. Battle received her undergraduate B.S. Business Management from Georgia Tech and her J.D. from William & Mary Law School.

08:3009:30

Conduct and operational risks in IBOR

16:30 - 17:30

  • Best practice approach when creating a framework for transitioning

  • Disruptions and the effects of the pandemic

  • Operational implications for IBOR

  • Conduct risk and mitigations

  • Successful client outreach and communication

Marc Meyer

Head of libor transition, global commercial bank

HSBC

09:3009:45

Break

15:00 - 15:15

09:4510:45

Accounting implications

14:00 - 15:00

  • Key accounting risks in the transition

  • Impact on hedging and hedging relationships

  • Potential losses

  • Repricing contracts and products

  • Modifying your position

Michael Tiplady

Head of hedge accounting

NatWest Group

Michael Tiplady is the head of hedge accounting for NatWest Group.  He joined NatWest Group in 2014 as part of the ALM team. In his role Michael works with the various banking businesses in NatWest Group, advising on the technical aspects of financial instruments and ensuring hedge accounting is applied correctly within a strong control environment.  In his time at NatWest Group Michael has played a key role in projects such as IFRS9 adoption, ring fencing and benchmark rate reform. 

Previously Michael worked for HSBC in global markets product control responsible for the BSM desk and hedge accounting in EMEA.  Michael started his career as an auditor leading audits in Australasia and North America.  He is a member of Chartered Accountants Australia & New Zealand.

08:3009:30

Impacts on risk management

15:15 - 16:15

  • Curve structure changes

    • Pricing

    • Risk

  • Risk management 

    • Basis risk

    • Pricing models

  • Effects on liquidity risk 

  • Challenges with the lack of credit risk index in new rates

Suman Datta

Head, portfolio quantitative research

Lloyds Banking Group

Suman Datta heads up the Portfolio Quantitative Research function within Lloyds Banking Group Markets division and is responsible for strategic cross-asset portfolio analytics covering FRTB, Prudential Valuation, Initial Margin, PnL Attribution and Stress Testing.

Suman also acts as the business/IT partner for architecting the next-generation risk and valuation platform to be used by trading, risk and finance functions. His background is in quantitative finance, technology and business strategy and key areas of interest are in bank regulation, digitisation and application of quantitative methods in new areas within finance

09:3009:45

Break

15:00 - 15:15

09:4510:45

Implementation of your IBOR program

15:15 - 16:15

  • Best practice approaches for implementing your IBOR transition plan

  • Identifying areas of high risk

  • Does it address the readiness requirements for banks in 2021?

  • Key next steps and long-term implications 

  • What happens if you do not meet the deadline?

Irina Ursachi

Senior manager

Mazars

Irina Ursachi has over nine years of experience in the banking industry, managing international projects in various European jurisdictions such as UK, France, and Germany. Her expertise covers the design and specification of business processes as well as the implementation of regulatory requirements, the execution of market developments  in trading systems and valuation models.

Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management.