3rd Edition

Benchmark Rates Reform

in the Derivatives Market
Address how global efforts to reform the benchmark rates and end Libor will impact derivatives
valuations, legacy trades, and P&L volatility

London, UK
Strategically manage the legacy
3rd – 5th February 2021
book, the challenges of new
trades, and avoid imperfect or
Learn how we ensure your full participation via our online
broken hedges
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Attending This Premier marcus evans Conference Expert Speaker Panel

Will Enable You to Bernard Delcour Benjamin Ronserray David O’Reilly
• Explore how the derivatives market is facilitating enablement MD Head Rates Executive Director Head Project Manager,
of the new market including discussion of the LCH switch Trading Europe of Swiss Sterling Scandies Hedge Accounting
• Discover how the end of Libor will impact derivatives legacy ING IRD trading UniCredit
trades in respect to valuations and hedged relationships Crédit Agricole CIB
Eske Traberg Smidt Peter Littler
• Hedge exposures under RFRs despite lacking data and address Head Global Heather Pilley Independent Treasury
broken hedges Rates Trading Manager, Benchmarks Consultant, IBOR
• Address how IBOR transition will give rise to valuations and Danske Bank Policy Transition
modeling challenges particularly for swaptions and exotics trades Financial Conduct Natwest Markets
• Look into the effects of the benchmark rate reform in other markets Sandeep Shukla Authority
such as Japan and Switzerland upon derivatives trading Head USD Swaps Trading Karina Kuks
• Examine how the reform of the benchmark rate and COVID-19 give Natixis CIB Americas Daniel Wynne Head of Balance Sheet
LIBOR Transition SME Management
rise to accounting and balance sheet volatility Helmut Wacket National Australia Standard Chartered
• Explore the implications of the transition to a risk free rate on Head of Money Market
financial reporting Bank
and Liquidity Division Brendan Van der Hoek
ECB Lee Bartholemew Technical Accounting
Derivatives Product R&D Lead
Learn from Key Practical Case Studies Petra de Deyne Fixed Income and FX Santander
• Natixis invstigates the lack of liquidity in SOFR and the challenges Advisor for Strategic
Eurex
in its marketplace Developments David Bisnath
EMMI Michael Tiplady Head of Accounting Policy
• Deutsche Bank analyses multi-curve modeling in view
of the transition to RFRs Head of Hedge Deutsche Bank
Tilman Lueder Accounting
• Credit Suisse discuss developments in the Swiss rates Head of the Securities Maurizio Garro
• EMMI offers an administrator’s perspective on the Euro RFRs NatWest
Markets Unit Senior Lead – IBOR
• De Volksbank examine the links between and problems of Hedge European Commision Jeroen Bak Transition Programme
accounting and ALM Senior Specialist ALM Lloyds Banking Group
• Santander assess the increase in disclosures required by the move Rick Sandilands De Volksbank
to risk free rates and the knock on impact Senior Counsel Sitaaraam Tennati
Europe ISDA Halil Ibrahim Eren Director, Financial
Financial Reporting Reporting
Doug Laurie Mizuho
Sponsor Programme Director,
Manager
Garanti Bank Jasper Livingsmith
Wholesale Lending
Technology and Change Rolf Folk Director, Head of G7
Barclays Head of Hedge Portfolio Management,
Accounting Treasury
Media Partners Emiliano Papa EBRD
UBS
Director Head of Rates
and FX Duncan Fitzpatrick Andrea Bugliarello
Deutsche Bank Balance Sheet Manager Senior Practitioner
Newcastle Building Sunil Kansal
Felix Roudier
Head CHF Rates Trading
Society Senior Practitioner
Credit Suisse Zürich

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Day One

3rd February 2021

08.15 14.15 Transitioning to Risk Free Rates: Challenges and IBOR relief
Phase 2
08.45 Opening Remarks from the Chair • Assess the specific challenges met at the transition to LIBOR
• Consider what options are available for Phase 2 relief from the IASB
DEVELOPMENTS IN THE DERIVATIVES SPACE FACILITATING • Address some of the potential challenges associated with Phase 2 relief
THE ENABLEMENT OF MARKETPLACE FOR THE RFRS and effectively managing the transition for hedge accounting
• Compare the relief so far with that of the FASB
P PANEL DISCUSSION Michael Tiplady
Head of Hedge Accounting
09.00 A regulatory perspective on the current situation RBS
of the IBOR transition
• An overview of the progress in SOFR: Expectations and reality 15.00 The complications of timing and timeline for the move from
• Understand the role of regulators in steering the transition IBOR rates
towards SONIA • An overview of the complications associated with the IBOR timeline: Lack
• Alternatives to EURIBOR term structures: Shed light into the liquidity of sufficient time and inability to fully prepare
of the market, and the future steps away from the hybrid • Consider the possibility of some instruments moving first: Additional
• The future of EONIA spread: In what kind of contracts is it disappearing development in the derivatives market
and whether we see a transition to €STR flats • Address how much progress can be made prior to regulatory updates
• Review of the LCH switch to €STR discounting: Has it mitigated • Consider how to best assess the scope and impact of the reform to make
uncertainties and helped drive liquidity? timely decisions regarding solutions
Heather Pilley Tilman Lueder Halil Ibrahim Eren
Manager, Benchmarks Policy Head of the Securities Financial Reporting Manager
Financial Conduct Authority Markets Unit Garanti Bank
Rick Sandilands European Commision
Senior Counsel 15.45
Europe ISDA
IMPACT OF THE END OF LIBOR ON DERIVTIVES LEGACY TRADES
09.45 Updates on benchmark rates reform from an administrator’s IN RESPECT TO VALUATIONS AND HEDGED RELATIONSHIPS
perspective
• Ensure that consultation is representative of the market and not one-sided
• Benchmark Rates updates for the Euro market:
P PANEL DISCUSSION
– Work on EURIBOR and EONIA 16.15 Practices to reduces the derivative portfolio’s legacy exposure
– Work on RFR term rates to LIBOR
• How €STR and EONIA are working together in practice following • The lack of best practice and the risk of de-synchronisation of
first submissions asset classes
• Perspective on EURIBOR in advance of year end publications • Leveraging on the fallback language. Adherence to the ISDA protocol
• Impact of the BMR review
and the pre-cessation trigger
Petra de Deyne • Synthetic LIBOR from a prudential management perspective: A viable
Advisor for Strategic Developments option in the long-term?
EMMI • Operational and tax accounting issues in avoiding bilateral negotiation
for legacy management
10.30 • Netting as a risk-mitigant tool to keep an overview of your exposure
in the transition
11.00 €STR: A catalyst for market change
Rick Sandilands Daniel Wynne
• €STR – one year after go life; use in cash and derivatives markets
Senior Counsel LIBOR Transition SME
• Compounded €STR average rates in support of wider €STR use
Europe ISDA National Australia Bank
• Considerations of the Working Group on Risk Free Rates regarding
EURIBOR fallbacks
THE PROBLEM OF BROKEN HEDGES UNDER RFRS FOR THE DERIVATIVES
Helmut Wacket MARKET (PART ONE)
Head of Money Market and Liquidity Division
ECB 17.00 Maintaining hedge effectiveness through the transition to RFRs
• Hedged transaction as a priority for big banks and corporates
11.45 Case Study • Applying a credit spread adjustment in hedged transactions
SOFR: Factors restraining market confidence and how to facilitate • Understanding basis from standard derivatives to structured hedges
a global push • Transition via fallbacks vs active conversion
• SOFR’s intrinsic mismatch: Rate not replicating financial institutions’ Daniel Wynne
risk from balance sheets LIBOR Transition SME
• Reasons for the lack of liquidity: Volatility-related issues holding National Australia Bank
the volume of trades back
• Two fold approach to increase SOFR marketplace: Private firms 17.45 Closing Remarks and end of Day One
and public regulatory sector
• Ongoing work to clear impediments in using SOFR: Accounting and tax; 17.55
conventions in cross-currencies swaps
• Snapshot of the CCPs switch in discounting rate in USD and its expected
effects on SOFR liquidity
Sandeep Shukla
Head USD Swaps Trading
Natixis CIB Americas

CONFERENCE DEBATE
Who Should Attend
12.30 This house believes that the continuation of Euribor is the best way
• Head of Rates Trading • IBOR Transition Lead for
to facilitate the IBOR transition in the Euro market
• Head of Rates Quant Treasury and Funding
For Against • Head of Rates Structure • Valuations and Product
Bernard Delcour To be confirmed • Hedge Accounting Control in Technical
MD Head Rates Trading Europe • ALM/BSM/FTP Accounting
ING

13.15
Day Two

4th February 2021

08.15 13.30 Swiss rate: Updates on the stage of the transition to SARON
• Unclear aspects of the reform and speed at which the market is
08.45 Opening Remarks from the Chair transitioning to SARON
• The profound lack of liquidity in the Swiss rate: A structural problem?
THE PROBLEM OF BROKEN HEDGES UNDER RFRS FOR THE DERIVATIVES If so, how can it be solved?
MARKET (PART TWO) • Understand what relevance the Swiss rate has to Euribor
Felix Roudier
09.00 Effectively manage the de-designation and re-designation of Head CHF Rates Trading
hedge relationships Credit Suisse Zürich
• Assess the differing causes of de-designation and differing
market  readiness ADDRESS THE IMPACT OF THE RATE REFORM UPON HEDGE ACCOUNTING
• Address how hedges due to de-designate can be best handled
• Consider the possibility of unexpected hedge de-designation 14.15 Assess the changes to hedge accounting upon the death of
and the best methods to manage this LIBOR and thereafter
• How to control your hedge relationships throughout the transition • An overview of the timeline to transition: How extensive is the work that
to risk free rates needs to be done to be ready for the effective date?
Michael Tiplady • Consider hedge accounting following the transition date and associated
Head of Hedge Accounting issues
NatWest • Evaluate hedging strategies throughout the transition
Rolf Folk
VALUATIONS AND MODELLING CHALLENGES OF THE IBOR TRANSITION, Head of Hedge Accounting
WITH FOCUS ON EXOTIC TRADES UBS
09.45 Address issues in managing multi-curve modelling 15.00
and calibration whilst transitioning to RFRs
• Challenges of the calibration approach, the mismatch between forward
15.30 The practical challenges of the IBOR transition for hedge
and backward-looking rates and the need for new data
accounting
• Problems under the current situation of lack of active base market
• How to set up systems to effectively ensure a smooth transition to LIBOR
and little liquidity of contracts
• An overview of the practical issues surrounding the IBOR transition for
• Handle multi-curve modeling and term rates in the transition period.
hedge accounting
Consider spread adjustment to adequately model the discounting curve
• Establish the main challenges and obstacles to enacting a smooth
• Manage the relationship with clients: Switching to one curve per client
transition from LIBOR for hedge accounting
or keeping the same client with the product on one curve?
• Consider the developments made in the industry to date and where we
• Reaching consensus on a formula as the first step to solve modeling
will start to see movement
Emiliano Papa
David O’Reilly
Director Head of Rates and FX
Project Manager, Hedge Accounting
Deutsche Bank
UniCredit
10.30
16.15 Manage the uncertainty in hedge accounting prior to
the benchmark rate reform
P PANEL DISCUSSION
• Consider the complications caused by the uncertainty surrounding
11.00 Focus on exotic products hard to model in the transition to RFRs the move from LIBOR
• How is the curve modeling changing for these products specifically, • Assess how much can be done without further relief from the IASB
in view of the transition period • Manage the uncertainty throughout the transition to ensure effective
• What are the complications of these products: Analyse why and look at hedge accounting
possible solutions • Address the effects of uncertainty regarding the relief and specifics of
• What is the viability and purpose of these products after the transition the move to risk free rates upon treasury
to RFRs Halil Ibrahim Eren
• Consider whether or how your exposure will change according to Financial Reporting Manager
the replacement instrument Garanti Bank
Emiliano Papa Sandeep Shukla
Director Head of Rates and FX Head USD Swaps Trading 17.00 End of Day Two Workshop: Fixing in arrears of the new indices
Deutsche Bank Natixis CIB Americas based on overnight rates
• How fixing in arrears works: Different compounding methodologies
EFFECTS OF THE BENCHMARK RATE REFORM ON DERIVATIVES TRADING • An overview of OIS and Futures, products that already adopt fixing
IN OTHER MARKETS SUCH AS THE SWISS AND ASIAN ONE in arrears
• Reference Rate fallback: when fixing in arrears is recommended
• Impacts of compounding in arrears on new forward-looking rates
P PANEL DISCUSSION
• Possible effects of fixing in arrears on cash products pricing
11.45 Downsides of the RFR: A global overview • Hypothesis on the evolution of new derivative products linked to cash
• The huge cost of restructuring infrastructure involved in the transition products
• Example of jurisdictions like Norway or South Africa wanting to stick Andrea Bugliarello
to a modified IBOR Senior Practitioner
• Being subject to market-related as well as technical volatility in time
of transition 18.00 Closing Remarks and end of Day Two
• Issues posed by mismatched methodologies from the Scandinavian
domestic market 18.10
• Reasons for the slow progress in the transition for other currencies:
The role of regulatory pressure
Eske Traberg Smidt Benjamin Ronserray
Head Global Rates Trading Executive Director Head
Danske Bank of Swiss Sterling Scandies
IRD trading
Felix Roudier
Crédit Agricole CIB
Head CHF Rates Trading
Credit Suisse Zürich

12.30
Day Three

5th February 2021

08.15 P PANEL DISCUSSION

08.45 Opening Remarks 13.30 Changes in Fair Value of financial instruments and the associated
issues
09.00 Challenges of linking ALM risk management and hedge accounting • Address the changes in fair value of financial instruments following
• ALM risk management: key focus for a Dutch retail bank the move from LIBOR
• Hedge accounting: linking with ALM risk management and choosing • Consider the extent to which these changes will introduce potential
a pragmatic approach basis risk
• Fair Value portfolio hedging: • Assess the impact that the lack of an internal funding curve will have
– Using the EU carve-out upon FTP and pricing
– The move to delta hedging • Evaluate best practice in mitigating volatility from changes in the Fair
– €STR impact FV portfolio hedging (e.g. future effectiveness and P&L) Value of financial instruments.
Jeroen Bak Maurizio Garro
Senior Specialist ALM Senior Manager, Market, Credit and Model risk, Group Internal Audit
De Volksbank Lloyds Banking Group

EXAMINE THE POSSIBILITY OF BALANCE SHEET AND ACCOUNTING THE EFFECTS OF THE IBOR TRANSITION UPON FINANCIAL REPORTING
VOLATILITY DUE TO COVID-19 AND THE MOVE FROM LIBOR
14.15 Understand the effects on disclosures caused by the benchmark
P PANEL DISCUSSION rate reform
• Determine how disclosures will be affected by the change
09.45 How can balance sheet management practices be adapted for • Adapt to the new volume of disclosures
the move to risk free rates? • Address the challenges posed in reporting
• What are the effects of the benchmark rate reform on different financial Brendan Van der Hoek
institution’s balance sheets? Technical Accounting Lead
• How can these institutions quickly and effectively prepare for Santander
the necessary changes?
• Which approaches can be taken to meet transition challenges in balance
15.00
sheet management while remaining competitive?
Jasper Livingsmith
Director, Head of G7 Portfolio Management, Treasury P PANEL DISCUSSION
EBRD
15.30 Examine the increase in disclosures required by the move to risk
free rates
10.30 • An overview of the increased disclosures following the rate reform
• Consider the effects of the move to risk free rates upon
11.00 The move from IBOR rates: Overall Balance sheet management financial reporting
perspective • Assess the possible issues with increased disclosures: Obscure
• An overview of the complications associated with the IBOR time: The lack information and overall workload
of sufficient time and inability to prepare fully • Evaluate the impact upon financial institutions and the uses of
• Consider the impacts upon the balance sheet financial statements
• Address ways to mitigate these issues and aid in a smooth transition to Brendan Van der Hoek David Bisnath
risk free rates Technical Accounting Lead Director Head of
Karina Kuks Santander Accounting Policy
Head of Balance Sheet Management Sitaaraam Tennati Deutsche Bank
Standard Chartered Director, Financial Reporting
Mizuho
P PANEL DISCUSSION
16.15 End of Day Three Workshop: TheIBOR reform and its effects on
11.45 Managing the transition from a Treasury perspective and the balance sheet and income statement
addressing the risk of imperfect hedging • Background and regulatory uncertainty
• Reshaping Treasury’s activities to a post-LIBOR world • Operational impact
• Establish the challenges transition poses for Treasury Funds Transfer • Readjustment of effective yield on the financial instruments
Pricing • Classification of financial instruments: Fair Value vs. Amortised Cost
• Implications for basis risk management in the banking book • Pre-replacement and replacement issues
• Evaluate the likelihood of imperfect hedging following the move from • Volatility in the income statement
IBOR rates • Examples and a Group Case Study
• How much of an impact will this have upon the impact upon the overall
balance sheet? Sunil Kansal
Senior Practitioner
Peter Littler Duncan Fitzpatrick
Independent Treasury Balance Sheet Manager 17.15 Closing remarks from the Chair and end of Day Two
Consultant, IBOR Transition Newcastle Building Society
Natwest Markets
17.25
12.30

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