Course Agenda

Discover the agenda for this IBOR to Risk Free Rates training course

Day 1 - Wednesday 6th March

08:30

Registration and refreshments

09:00

Regulation - FCA update

  • Financial markets affected
  • Different methodologies in different jurisdictions 
  • Coordination globally 
  • Difference between LIBOR, other IBOR's and RFR's
  • Benchmark options - term structures
  • SONIA, ESTER & SOFR
  • Issues with use of RFR's

10:30

Morning break

11:00

How to deal with the Transition - Case Study

  • Transition triggers and target operating model
  • IBOR transition risks
  • Transition planning and programme essentials
  • Programme governance

12:30

Lunch

13:30

How do the operations function adapt? 

  • Different publication times - effect on existing IT systems
  • Will different pricing/margins need to be applied across different currencies - effect on existing IT systems
  • Improving process and documentation 

Olivier Balpe, Head of Group IBOR Transition Program, Société Générale

15:00

Afternoon break

15:30

Accounting implications

  • Hedge accounting relationships
  • Cashflow hedging 
  • Transfer pricing 
  • Modification accounting 

17:00

End of day one

Day 2 - Thursday 7th March 

08:30

Refreshments

09:00

How to deal with the transition

  • Client communications
  • Conduct, reputational and legal risk derived from making judgement based submissions
  • RFR programme set up 
  • Governance 

Speaker: Agathi Pafili, Senior Regulatory Policy Advisor, EFAMA

10:30

Morning break

11:00

Impact on risk management and risk control 

  • Overnight RFR's vs Term Rates
  • Will different pricing/margins need to be applied across different currencies 
  • Curve structure changes
  • Basis risk 
  • Pricing models
  • Risk management

Speaker: Heike Dengler, Manager, EY
                Sofia Lencastre, Director, EY

12:30

Lunch

13:30

Treasury Technology framework and Operating Model challenges - Case Study

  • New business
  • Concurring new and legacy books
  • Migrations
  • Jurisdictional differences in approach and timetable

Guilherme Damas, Head of Treasury T&O, Santander UK

15:00

Afternoon break

15:30

Legal/contractual obligations in the derivatives and cash market

  • Hedging relationships with re-documentation 
  • Legacy products
  • Legal repapering 
  • Fall back provisions
  • Counterparties - how should they select the fall back rate? 

17:00

End of course