2020 Libor Summit UK agenda


Welcome remarks

08:45 - 09:00


Opening keynote: Libor countdown

09:00 - 09:30


The trader's perspective

09:30 - 10:10

  • How are derivatives markets developing in the core RFRs (SONIA, SOFR, ESTR)?
  • Challenges for certain products eg OIS swaps and Libor/Sonia linked products
  • Is Sonia being successfully streamed to Clobs?
  • Has activity in new transactions now migrated fully to RFRs?
  • How will the CCP discounting shift impact of SOFR/ESTR liquidity?
Ivan Jossang

Managing director

Morgan Stanley


Non-linear markets – the next frontier for RFR derivatives

10:10 - 10:40

  • Clearing house interest-rate on collateral changes and resulting impact on valuation and risk for swaptions and other IR options
  • Resulting bases which have opened up between cleared and uncleared rate option products
  • New options markets developing in the new RFR , e.g. SOFR options
  • Complications for Caps and Floors
  • Loss of back-test data for certain systematic strategies
Ali Khan

MD, rates options and exotics trading


Ali Khan is Managing director – Rates Options & Exotics Trading at Nomura, with over 15 years’ experience in Options Markets.

Prior to joining Nomura in 2009, Ali was an Exotic Rates Trader at Lehman Brothers for 4.5 years where he started his career.

Ali has a BA in Mathematics and an MPhil in Statistics from the University of Cambridge.


Case studies: what’s involved in Libor-RFR transition

10:40 - 11:00

Market participants describe how they are preparing for the demise of Libor.

  1. Santander’s RMBS switch
Martin McKinney

Medium term funding


Martin McKinney is Senior Manager in Santander UK’s Treasury team and has been part of the Santander UK Group since December 2014. Martin has over 7 years’ experience in UK bank funding teams with a focus in secured funding.

Martin is responsible for wholesale funding activities of Santander UK with a term greater than 1 year across the bank’s funding and capital structure – this includes both issuance and liability management.


Morning break

11:00 - 11:45

Roundtable 1 – internal and external communication challenges: what is your strategy?

Roundtable 2 – operational risk: re-papering

Roundtable 3 -  pricing and hedging

Roundtable 4 -  pre-cessation fallbacks & triggers

Roundtable 5 – conduct risk


Spotlight on: the loan market

11:45 - 12:20

  • Credit spread – the need for credit sensitive benchmarks
  • Will term rates be available / used?
  • Libor vs Sonia: responding to overnight, backward-looking and risk-free rates
  • LMA documentation
  • Fallbacks
Doug Laurie

Director, programme lead, wholesale lending technology and change


Ian Fox

Group Ibor transition director

Lloyds Bank

Clare Dawson

Chief executive

Loan Market Association

Clare joined the Loan Market Association in 1999 after spending two years in the syndications department at Sumitomo Bank, working on loans in Europe, the Middle East and Africa.  Prior to this she spent two years at the British Museum Development Trust raising funds for the Museum's Great Court project.  Before joining the British Museum, Clare had spent some eight years at Sumitomo in the international department, including two years at the bank's head office in Tokyo, where she helped establish a syndications desk.  In London she worked mainly on origination in various Western European and Nordic countries.

Clare has an honours degree in Modern and Medieval Languages from the University of Cambridge.  She is a member of the Bank of England’s Working Group on Sterling Risk-Free Reference Rates and chairs the Sterling Loans sub-group.

Jamie Thrower

Head of syndicated loans agency & Libor transition business lead


Jamie is the Commercial & Private Banking Business Lead for LIBOR Transition at NatWest and is the Chair of the Loans Flow Enablement Task Force established by the Bank of England and the FCA to identify and overcome blockers to greater SONIA issuance in the cash market.  He has also run the NatWest Syndicated Loans Agency business since June 2017, joining Agency from the Product and Capital Management team where he had responsibility for the Corporate Debt Product set.  Before this he was a Senior Director in the Project Finance business with a particular focus in the power and renewables sector. Jamie joined NatWest from Bank of Tokyo-Mitsubishi and started his career in PwC’s advisory business.


Mitigate conduct risk & prepare for discontinuation

12:20 - 12:50

  • Prepare for the discontinuation of Libor
  • Engagement (internal & external)
  • Contract continuity


FRTB modelling for new risk free rates

12:50 - 13:20

There are significant cross-dependencies of the FRTB regulation and the transition framework for financial firms. How can firms adapt and build models to incorporate these market changes?

  • re-calibrating internal models
  • implementation of the new market risk framework
  • building a framework with lack of historical data



13:20 - 14:15


Liquidity risk and the impact on AML

14:30 - 15:00

  • Managing ALM and liquidity under a new rate structure


The race for rates

15:00 - 15:30

Next-level benchmarks – adding term rates and funding spreads to RFRs.


The CCP perspective: how to manage a multi-rate environment

15:30 - 16:00

  • CCP valuation
  • Clearing products
  • Discounting big bang: managing the swaptions shift


Afternoon break and networking opportunity

15:45 - 16:15


Afternoon keynote - the CRO perspective

16:00 - 16:30

The impact of reform on the risk management function

  • Managing simultaneous/parallel regulatory changes (eg IRBB)
  • Cost of transition
  • Stress testing/scenario analysis
  • Liquidity risk of Libor


Oxford style debate: Will ESTR become the market’s preferred reference rates for EUR IRS markets?

16:30 - 17:15


Drinks reception

17:35 - 19:00