IBOR 2019

08:00 Registration and breakfast
08:50 Chair’s opening remarks

CURRENT OUTLOOK – PANEL DISCUSSION
09:00 Reviewing the current landscape surrounding transition including global approaches, timelines and unanswered questions

• Global approaches to transition – US, UK, EU & Japan
• Creating an index to satisfy all industry players
• Moving away from LIBOR ahead of 2021
• Regulatory proposal
  • Pros and cons of pre-cessation Trigger
  • Anticipated timeline of switching to SOFR
• Planning with uncertainty – Migration challenges
• Outlook for adoption – large vs small firms

Jason Granet, Head of LIBOR Transition, Goldman Sachs
Gaurav Shukla, Managing Director, Morgan Stanley
Gary Levin, Director, Head of Fixed Income Market Risk for Americas, Société Générale
Alexis Pederson, Senior Company Counsel, Wells Fargo

TRANSITION
10:00 Exploring legacy position transition challenges and the ability to manage outstanding financial transactions linked to LIBOR

• Kick starting transition
• When to mobilise – Updating the fall back language and legal documents
• Models, systems, contracts, loans, leases and derivatives which outlive LIBOR
• Contract analysis – Terms and the ability to change rates
• Quantifying & understanding exposure – What exposures are the most important?
  • Identifying contracts which have the most economic exposure
• Changes to lending and reference rates
• Defining term structure
  • How it will be calculated
  • Forward looking SOFR term structure compared to LIBOR term structure
  • Risk spreads

Gaurav Shukla, Managing Director, Morgan Stanley

10:40 Morning refreshment break and networking

SOFR
11:10 Examining the expectations and challenges faced by implementing SOFR and changes to behaviour compared to LIBOR

• Market development
• Issues with introduction of term structure
• Other indices to consider – Fed funds, ICE Bank High Yield Index

Blake Gwinn, Head of Front-end Rates Strategy, NatWest Markets

DERIVATIVES
11:50 Discussing the current derivatives market including future build out and development

• Market liquidity
  • What’s next for liquidity build out?
• How CME and LCH will deal with it
• Timeline for un-cleared products to transition to SOFR
• Changing the discount rate
• Hedging mismatch between derivatives and cash

Priya Misra, Head of Global Rates Strategy, TD Securities

12:30 Lunch refreshment and networking

SYSTEM CHALLENGES
1:30 Examining firms ability to adapt legacy systems and successfully convert models, infrastructure and contracts

• System Readiness – Adapting systems to the new rate
• Building a project plan – Aligning systems and creating inventory
• Managing and adapting large amounts of contracts
• Identifying existing contracts/systems which already contemplate the termination of LIBOR and transition to another rate
• Transitioning systems which have been built around LIBOR
  • Are systems flexible or do they have to be re-developed?
  • In house vs outsourcing
  • Ensuring transition before the deadline
• Displaying system capability of re-plugging at different rates

Brian Grabenstein, Head of LIBOR Transition Office, Wells Fargo

CASH PRODUCTS
2:10 Identifying industry approaches and challenges to adopting new cash products

• Industry standard and interpretation
• Language
• Timelines – When it will be rolled out
  • When is the right time to go to clients and re-paper
• Moving book off LIBOR
• Pricing and operational challenges
• Operating with new cash and loan products in risk free rates (e.g. SOFR, SONIA)
• Standard on floating rate loans

2:50 Afternoon refreshment break and networking

CUSTOMERS
3:20 Exploring how clients may be affected by the transition process and how firms can limit disruption to customers

• Impact on borrowers and investors
• End user and issuer perspective
• Changes to consumer loans – Avoiding lawsuits and angry consumers
• Client education and conduct risk management
• Legal documentation – Amending future and outstanding contracts
• Changes to administration
• Creating a competitive landscape – Will all firms be working off the same rates?
  • Loosing clients to competitors

Mark Cabana, Head of US Rates Strategy, Bank of America Merrill Lynch

INDUSTRY IMPACTS – PANEL DISCUSSION
4:00 Discussing the potential impacts of LIBOR transition on liquidity, funds transfer pricing and markets

• How will the changes to systems and rates impact liquidity and funding?
  • Rate sensitive systems used to track liquidity
• Impact on liquidity premiums
• Forecasting and stress testing models which use LIBOR as imputing
  • Re-developing models
• Managing the balance sheet going forward
• Where will the markets be trading post LIBOR?
• Impact on derivative and FX market
• Capital impact

Gary Levin, Director, Head of Fixed Income Market Risk for Americas, Société Générale
Priya Misra, Head of Global Rates Strategy, TD Securities
Frank Sansone, Treasurer, China Construction Bank

 5:00 Chair’s closing remarks
5:10 End of Forum

Mark Cabana, Head of US Rates Strategy, Bank of America Merrill Lynch

Mark Cabana is the head of US Rates Strategy at BofA Merrill Lynch Global Research, based in New York. In this role, he publishes research and trade recommendations covering US interest rates and macro strategy. He also meets regularly with a broad range of clients to discuss the firm’s views on Fed policy, interest rates, and financial regulation. Cabana joined the firm in 2015.

Before joining Bank of America Merrill Lynch, Mark worked as an officer in the Markets Group at the Federal Reserve Bank of New York. He spent nearly 9 years on the Open Markets Trading Desk which spanned the duration of the financial crisis. While at the NY Fed, Cabana was closely involved with the design and implementation for a number of asset purchase / QE programs and also managed a team focused on analyzing global macroeconomic conditions and financial markets.

Cabana earned a bachelor’s degree from Furman University and a master’s degree from Johns Hopkins University in finance and international relations. He is a CFA charterholder.

Brian Grabenstein, Head of LIBOR Transition Office, Wells Fargo

Brian Grabenstein is the Head of the Wells Fargo LIBOR Transition Office (LTO), a position he has held since February 2018.

The LTO is charged with developing and directing the execution of a coordinated strategy to transition the numerous IBOR-based products and processes across Wells Fargo to alternative reference rates. Among other things, the LTO is responsible for ensuring that Wells Fargo is appropriately represented on industry groups and regulatory committees related to LIBOR transition, communicating clearing and proactively with customers and other stakeholders, and managing the accounting, financial, legal and operational risks related to the transition.

Brian has over 15 years of experience in investing, risk management and capital markets. Immediately prior to leading the LIBOR Transition Office, he was the Portfolio Manager of the Corporates Division of the Wells Fargo Investment Portfolio, managing a team of 40 credit analysts responsible for AUM of over $10 billion. Prior to that, Grabenstein was in charge of PI’s international expansion within various structured credit asset classes, based in both London and New York.

Brian joined Wachovia Corporation in 2002 where he held a number of sell-side and buy-side roles prior to joining Wells Fargo in 2009.

He was awarded a Bachelor of Science with Distinction in Finance from the McIntire School of Commerce at the University of Virginia and is a member of Board of Project Open Hand and the Leadership Society for the LGBT Community Center of New York.

Brian is based in Miami.

Jason Granet, Head of LIBOR Transition, Goldman Sachs

Jason will be presenting at IBOR USA 2019.

Blake Gwinn, Head of Front-end Rates Strategy, NatWest Markets

Blake is the head of Front-End Rates Strategy at NatWest Markets, leading the team’s coverage of front-end rates and contributing to the formulation of the team’s official market views and overall macro outlook. He has a particular expertise on Federal Reserve policy decisions and implementation, fiscal policy, and various regulatory issues. Blake frequently meets with both internal and external clients of the global sales and trading desks to share his views and discuss the outlook for the market.  He is also the primary author of the Front End Dispatch publication, co-author of the daily Treasury Morning Call and US Markets Closing Notes, and a contributor to NatWest Markets flagship Global Macro Weekly.

Blake joined NatWest Markets from the Federal Reserve Bank of New York, where he served in the Markets Group for 7 years. During his tenure, he provided market commentary and analysis to senior policymakers within the Federal Reserve System and US Treasury Department, and worked on the design and implementation of various monetary policy operations.

Blake is active in the New York Money Marketeers, a financial industry professional association, having served on the board and as the club’s Vice President. He has also been heavily involved in “Fed Challenge”, an economic education program for high school and college students.

Gary Levin, Director, Head of Fixed Income Market Risk for Americas, Société Générale

Gary Levin is the Head of the Fixed Income Market Risk for Americas at Societe Generale. Trading desks monitored by Gary’s team include US Repos, Swaps, as well as Exotic Rates and Credit Derivatives. In his role, Gary participates in Societe Generale global IBOR transition streams as well as, specifically, Libor-to-SOFR transition led by US team.
Prior to joining Societe Generale in 2016, Gary spent over 6 years as global head of market risk for FX and Emerging Markets at Morgan Stanley. During and just after the financial crisis of 2008, he has helped Morgan Stanley to improve the limit framework for the business. With implementation of CCAR and other regulatory stress testing, Gary led the effort in bridging the knowledge gap between trading decisions and impact on firm’s capital. In addition to his broad experience in Market Risk, he has traded Emerging Market Credit and Derivatives at Dresdner Kleinwort and, prior to Russian bond crisis of 1998, Eastern European local currency rates.

Gary earned a bachelor’s degree from Wharton School of University of Pennsylvania and an MBA from Columbia University. He is a CFA charterholder.

Priya Misra, Head of Global Rates Strategy, TD Securities

Priya Misra is head of Global Rates Strategy at TD Securities. Based in New York, Priya is responsible for the US and global interest rate markets and provides investment advice for clients. She ranked in the top three for U.S. Governments Strategy and Federal Agency Debt Strategy in Institutional Investor’s All-America Fixed Income Research team surveys in 2014 and 2015 and from 2003 to 2008. Priya joined TD Securities in September 2015. Prior to this she ran US rates strategy research at BofA Merrill Lynch for 6 years. From 2001 to 2008, she worked at Lehman Brothers as an interest rate strategist, at Barclays Capital as a mortgage strategist and at Nomura Securities, where she was head of U.S. rates strategy. Priya graduated from the Lady Sri Ram College, University of Delhi, with a bachelor’s degree in economics. She has a postgraduate diploma in management, majoring in finance, from the Indian Institute of Management, Bangalore, India.

Alexis Pederson, Senior Company Counsel, Wells Fargo

Alexis Pederson is Senior Company Counsel in the Wells Fargo Legal Department where she leads a Benchmark Transition Team responsible for providing counsel to the company-wide LIBOR Transition Office, a program office established to develop and direct a coordinated strategy to transition numerous LIBOR-linked Wells Fargo products and processes to new benchmark rates. Alexis is a member of the Alternative Reference Rate Committee (ARRC) and a numberof ARRC’s working groups as well as ISDA and SIFMA working groups focused on benchmark reform.

Alexis joined the company in 2006 and most recently served as Capital Markets Counsel in the Derivatives & FX Section of the Legal Department where her primary responsibilities included support of the swap dealer business on regulatory and transactional matters. She is a graduate of the University of Pennsylvania Law School and Cornell University. Prior to joining Wells Fargo, she practiced as an associate at the law firms of Allen & Overy and Schulte Roth & Zabel. She is a member of the New York Bar and is based in New York City.

Frank Sansone, Treasurer, China Construction Bank

­­­­­­­­­­­­­­­­Frank Sansone is Treasurer and SVP of China Construction Bank NY branch.  Frank joined CCBNY in 2014; managing all branch treasury activities including BSM, interest rate, funding, liquidity and forex risk. Prior to CCB Frank was Treasurer for Dexia  US operations; responsible for global USD liquidity & interest rate risk; and Treasurer of National Bank of Kuwait US operations.

Visionary problem solver & diplomatic change agent, Frank led CCB’s effort as co-chair on Bloomberg RMB Working Group. Frank has spoken at both the 2017 & 2018 AFP on the Internationalization of the RMB and opportunities.  Author of CCBNY China Update, distribution 350 +, the mission is to facilitate better communication and understanding of China for U.S. corporate and financial clients

Frank is a regular industry speaker as a subject matter expert in Treasury & crisis management leader; having chaired the US Liquidity Contingency Committees overseeing Dexia’s global USD liquidity management efforts during the crisis of 2008, 10 & 11 and NBK USD operations during the Iraqi invasion of Kuwait.

Gaurav Shukla, Managing Director, Morgan Stanley

Gaurav Shukla currently leads the Regulatory Affairs Strategy Implementation team at Morgan Stanley. Gaurav joined Morgan Stanley in June 2008 and has been in a number of strategy and execution roles over the last 10 years. Prior to joining Morgan Stanley, Gaurav has worked in corporate strategy and execution roles across other key financial services firms. Gaurav earned a Master’s degree in Mechanical Engineering, graduating in 2001 from MIT.

Venue

DoubleTree by Hilton Hotel Metropolitan,
569 Lexington Avenue,
New York, NY 10022, USA

Preferential rates at the venue:

We have secured a preferential rate of $299++ per night at the DoubleTree by Hilton Metropolitan from October 1 to October 5.
Please note that we have a limited number of rooms available. Any remaining rooms will expire on September 2 2019.

To book:

Telephone Reservations
Local Guests: 1-800-222-8733 (1-800-222-TREE)
International Guests: 001-212-752-7000
When calling, please use reference the CENTER FOR FINANCIAL PROF. room block, or group code CFP

Internet Reservations
To make reservations online please click:
https://secure3.hilton.com/en_US/dt/reservation/book.htm?ctyhocn=NYCDTDT&groupCode=CFP
Please ensure to enter the arrival / departure dates, to reserve at the discounted rate

CPE Credits

Attendees can up to 7 CPE Credits for the Forum!

Prerequisites: Knowledge of financial risk management
Advanced Preparation: No advanced preparation is required
Program Level: Intermediate to advanced
Delivery Method: Group-live

The Center for Financial Professionals is registered with the National Association of State Boards of Accountancy (NASBA) as a sponsor of continuing professional education on the National Registry of CPE Sponsors. State boards of accountancy have final authority on the acceptance of individual courses for CPE credit. Complaints regarding registered sponsors may be submitted to the National Registry of CPE Sponsors through its website: www.learningmarket.org

Frequently Asked Questions

The 4th Annual Liquidity Risk Management USA Congress is taking place across the two days ahead of IBOR 2019 (October 2-3).
Why not extend your learning and attend both?

REGULATION
Discussing the evolution of US regulation including disparities between domestic firms and FBOs

LIQUIDITY STRESS TESTING
Reviewing the latest trends and developments including modelling, data and regulation

ASSUMPTIONS 
Exploring liquidity assumptions including qualitative approaches and audit perspective

INTRADAY LIQUIDITY
Reviewing the evolution of intraday liquidity including compliance and operational
efficiency

BALANCE SHEET MANAGEMENT
Assessing the viability of the balance sheet and the ability to grow the business

INTEREST RATES
Examining the environment and ability to effectively plan and prepare for multiple outcomes

LIBOR
Timelines, consequences and path forward in the transition from LIBOR and
SOFR

FUNDS TRANSFER PRICING
Exploring the continued management and enhancement of FTP to strengthen the function

ROLE OF LIQUIDITY
Analyzing the role of liquidity risk management within a dynamic and changing industry

For full agenda, speaker line-up and registration rates, visit www.cefpro.com/lrmusa

IBOR 2019 ONLY

Super Early Bird

$599

Until August 30
SAVE $200

Early Bird

$699

Until September 20
SAVE $100

Standard Rate

$799

After September 20

IBOR +  LIQUIDITY RISK MANAGEMENT USA

$1,798

Until August 30
SAVE $800

$2,098

Until September 20
SAVE $500

$2,598

After September 20

Representing an information/service provider – (E.g. Consultant, Vendor, Executive Search Firm, Law Firm)

IBOR 2019 ONLY

Super Early Bird

$699

Until August 30
SAVE $400

$899

Until September 20
SAVE $200

Early Bird

$1,099

After September 20

Standard Rate

IBOR +  LIQUIDITY RISK MANAGEMENT USA

$2,198

Until August 30
SAVE $1000

$2,698

Until September 20
SAVE $500

$3,198

After September 20

Group Bookings:

Group rates are available for 3 or more attendees from the same organisation, when registering at the same time. The current rate allows every third colleague to come along for half price or a fifth colleague to attend for free!

1. Register by Email

Simply email us with your e-signature
we will do the rest for you!

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– Full name
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