08:45 – 09:00
09:00 – 09:30
Opening keynote: Libor countdown
09:30 – 10:10
The trader's perspective
- 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?
10:10 – 10:40
Non-linear markets – the next frontier for RFR derivatives
- 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
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.
10:40 – 11:00
Case studies: what’s involved in Libor-RFR transition
Market participants describe how they are preparing for the demise of Libor.
- Santander’s RMBS switch
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.
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
11:45 – 12:15
Spotlight on: the loan market
- 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
Director, programme lead, wholesale lending technology and change
Group Ibor transition director
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.
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.
12:20 – 12:50
Mitigate conduct risk & prepare for discontinuation
- Prepare for the discontinuation of Libor
- Engagement (internal & external)
- Contract continuity
12:50 – 13:20
FRTB modelling for new risk free rates
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
14:15 – 14:45
Liquidity risk and the impact on AML
- Managing ALM and liquidity under a new rate structure
14:45 – 15:15
The race for rates
Next-level benchmarks – adding term rates and funding spreads to RFRs.
15:15 – 15:45
The CCP perspective: how to manage a multi-rate environment
- CCP valuation
- Clearing products
- Discounting big bang: managing the swaptions shift
15:45 – 16:15
Afternoon break and networking opportunity
16:15 – 16:45
Afternoon keynote - the CRO perspective
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
16:45 – 17:30
Oxford style debate: Will ESTR become the market’s preferred reference rates for EUR IRS markets?
17:30 – 17:35