Course Agenda

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

Transitioning from IBOR to Risk Free Rates

Day 1 - Wednesday 6th March

08:30

Registration and refreshments

09:00

Overview of IBOR to risk free rates and benchmark options

  • Context - financial markets affected
  • The wider benchmark reform agenda
  • ARR methodologies / jurisdictions
  • Term structures
  • The challenges of transitioning to ARRs

Joel Kennedy, Director, Parker Fitzgerald

Gerard Jacob, Partner, Parker Fitzgerald

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

Sharon Freeman, IBOR Programme Director, Standard Chartered Bank

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
  • Fair value hedging 
  • Discounting/ valuations
  • Cashflow hedging 
  • Modification accounting 

Andrea Schnoz, Director, Risk and Regulatory Services, PwC

Claire Howells, Senior Manager, PwC

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 

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

Heike Dengler, Manager, EY
Ekaterina Palaeva, Senior Manager, Quantitative Advisory Services, 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

Obligations in the derivatives and cash market

  • Modelling, Hedging
  • Legacy products
  • Fall back provisions
  • Recommenced practical steps

Tanveer Bhatti, Board Member Rutgers Business School, Masters in Quantitative Finance

17:00

End of course