Workshop - From IBOR to Risk Free Rates

From IBOR to Risk Free Rates

From IBOR to Risk Free Rates

August 4-5, Bangkok 

DAY 1 - August 4, 2020

08:30

Registration

09:00

Overview of IBOR to risk free rates and benchmark options

  • Context - financial markets affected
  • The wider benchmark reform agenda
  • ARR methodologies / jurisdictions
  • O/N looking RFR vs. Term RFR
  • Term structures
  • The challenges of transitioning to ARRs

10:30

Morning break

11:00

IBOR Transition Risk - Case Study (Thailand)

  • Fate of BIBOR and THBFIX
  • Transition triggers and target operating model
  • IBOR transition risks
  • Transition planning and programme essentials
  • Programme governance
  • Implementation of the new ISDA fallback language

12:30

Lunch 

13:30

How to deal with the transition

  • Client-centric approach - communication and preparation
  • The complexity of Asian markets (Developed, emerging)
  • Conduct and reputational risks in the preparation and the transition itself
  • Legal risk - the challenge of fallbacks basis risks for new and legacy portfolios
  • Multi risk-free rates - what's in for whom?
  • Expect disruption - Funding and market timelines
  • Forward vs in arrears - product opportunities and challenges
  • Right budgeting and project governance

15:00

Afternoon break 

15:30

Impact on risk management and risk control

  • Overnight RFR's vs Term Rates - key technicals
  • Risk Appetite Framework, thresholds reviews and strategies check-up
  • Curve structure changes
  • Margin trends across different currencies
  • Liquidity at Risk for your assets, derivatives, collateral and off balance sheet exposures
  • Basis risk and cross-currency risk management
  • Funding blocks, key inflexion points and FTP overhaul
  • Regulatory cross-impacts and tax surprises - the hidden risks
  • Dynamic business partner - the Early Warning Indicators to support business lines and legal entities

17:00

End of Day 1

DAY 2 - August 5, 2020

08:30

Refreshments

09:00

Accounting implications

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

10:30

Morning break

11:00

Managing collateral in a major market dislocation

  • Securities lending, repo / reverse-repo activities – current trends and challenges
  • Funding risk for risky clients and prime brokerage
  • Securitisation organisation – Back to pre-GFC situation
  • Cleared and uncleared margining – What value for LIBOR-based collateral?
  • ALM and Scarce Resources Management – Walking the fine line in efficient performance

12:30

Lunch 

13:30

The technology impacts and operating model challenges

  • Key considerations: Legacy vs new
  • Concurring new and legacy books
  • Migrations: Easier said than done
  • Jurisdictional differences in approach and timetable

15:00

Afternoon break

15:30

Transitioning: lessons learned - markets, risk and operations

  • Q&A session for a practical anticipation

17:00

End of training course