Workshop - From IBOR to Risk Free Rates

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

10:15

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
• IBOR transition fallback language overview and implementation considerations

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

13:30

Accounting implications

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

Operational preparation and transition checklist 

• Building the capabilities for the new RFR
• Checking your IT systems what needs to be considered?
• Operational risks
• Data and technology implications
• Minimising the cost impact of the transition

15:45

Fallback provisions 

• The scope of potential fallback provisions
• Identify IBOR inventory
• If the RFR is not liquid
• Contractual fallback language
• Flexible fallback provisions 
• Fallback provisions for securitisation

IBOR transition across Derivatives and Cash markets: next steps & challenges

• Towards a transition step by step
• Modelling impacts and hedging questions
• Cessation triggers & Fallbacks: squaring the circle?
• Open questions for Risk, Accounting, XVA