Course Agenda

Agenda

Transitioning from Ibor to Risk Free Rates: Agenda

Live virtual course | Agenda timing is in GMT/EST

Start: 2pm GMT / 9am EST
End: 4.15pm GMT/ 11.15am EST


14:0015:00

Overview of the transition to risk free rates

14:00 - 15:00

  • Wider benchmark reform agenda

  • The reason for transition from LIBOR

  • Impacted currency jurisdictions and ARRs

  • Implications for financial markets and challenges of transitioning to ARRs

  • Timeline to transition

Irina Ursachi

Independent consultant

Irina Ursachi is an independent Risk Management consultant. She has over eight 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, trading systems, and valuation models. Mrs. Ursachi is an active contributor to research projects and publications in the area of Risk Management. Prior to becoming an independent consultant, she has worked for the consulting companies d-fine and KPMG. She holds a Master’s degree in Mathematics from the University of Kaiserslautern.

15:0015:15

Break

15:00 - 15:15

15:1516:15

Accounting implications

15:15 - 16:15

  • Key accounting risks in the transition
  • Impact on hedging relationships
  • Potential losses
  • Repricing contracts and products

 

Mark Spencer

financial services accounting advisory leader

BDO LLP

Mark is BDO UK’s Financial Services Accounting Advisory Leader and has been so since this team’s inception. He leads this BDO offering to clients across accounting change (IFRS 9, 16 and 17, Interest Rate Benchmark Reform and first-time adoption), accounting for group reorganisations and structuring of transactions, financial instruments, climate and corporate reporting and all other aspects of accounting.  Mark is also the UK firm’s technical lead for matters relating to the provision of assurance and accounting services to financial institutions.

 

Mark has over 14 years’ experience of providing advisory and assurance services to credit institutions, non-bank lenders, investment banks, insurers, broker dealers, asset managers, investment houses, securitisation vehicles and treasury functions in Europe, the Americas and AsiaPac. When doing so he has engaged with various members of the C-Suite.

 

Mark regularly engages with standard-setters, regulators, trade associations and our peers both locally and internationally. He sits on a number of their working parties and other committees, for example the ICAEW LIBOR Transition Working Party.  Mark is also a member of BDO UK's Interest Rate Benchmark Reform leadership team and BDO Global FS’ Interest Rate Benchmark Reform task force. 

 

Mark’s special interests in relation to financial instruments include loan loss provisioning, classification and measurement, recognition and de recognition, valuation, offsetting, hedge accounting and Interest Rate Benchmark Reform under IAS 39, IFRS 7, IFRS 9 and IFRS 13. He also has special interests in insurance accounting, acquisitions and disposals of interests in businesses and the tax implications thereof. 

 

14:0015:00

SONIA, SOFR, and ESTR

14:00 - 15:00

  • Key features and polices
  • Challenges with these rates
  • Current updates
  • Transition planning and essentials
Navin Rauniar

Partner & Director

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. 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Fallback provisions

15:15 - 16:15

  • Potential fallback provisions
  • Identify Ibor inventory and the action plan required
  • Contractual fallback language
  • Flexible fallback provisions
  • Fallback provisions per asset classes
Navin Rauniar

Partner & Director

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

Operational and conduct risks in Ibor

14:00 - 15:00

  • Best practice approach to transitioning
  • Operational implications for Ibor
  • Effects of Covid-19
  • Conduct risk
  • Client communication
Ian Fox

Group Ibor transition director

Lloyds Bank

15:0015:15

Break

15:00 - 15:15

15:1516:15

Impacts on risk management

15:15 - 16:15

  • Alternative reference rates
  • Capturing the credit spread sensitivity
  • Curve structure changes
  • Basis risk
  • Pricing models
  • Risk management
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

14:0015:00

AI in the Ibor transition

14:00 - 15:00

  • Strategic and scope planning for complex changes
  • How can AI assist in the transition?
  • Use of cognitive technologies
    • Natural language processing
    • Machine learning
  • Governance
Navin Rauniar

Partner & Director

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. 

15:0015:15

Break

15:00 - 15:15

15:1516:15

Building your Ibor program

15:15 - 16:15

  • Do you need to compress your Ibor transition plan?
  • Best program approach – waterfall vs. agile
  • Program essentials and complexities
  • Testing execution across business and technology
  • Key next steps
Brian Fraser

Senior manager

Lloyds Bank