IBOR 2019

IBOR 2019

October 4, 2019 | New York City

AGENDA

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
Federal Reserve Bank of New York (tbc)

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, MD and 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, Director, Head of Short Rates Strategy, Global Research, Bank of America

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, SVP Treasurer, China Construction Bank

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

IBOR 2019

October 4, 2019 | New York City

SPEAKERS

Mark Cabana, Director, Head of Short Rates Strategy, Global Research, Bank of America

Mark Cabana is the Head of US Short Rates Strategy at BofA Merrill Lynch Global Research, based in New York. In this role, he publishes research and trade recommendations covering US short-term 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. He has been with the firm and in this role since 2015.

Before joining the firm, Cabana worked as an officer in the Markets Group at the Federal Reserve Bank of New York, which he joined in January 2007, analyzing global macroeconomic conditions and financial markets. Prior to that role, he was a senior trader/analyst on the Fed’s Treasury Market Policy staff.

Cabana earned a bachelor’s degree in political science and Asian studies at Furman University and a master’s degree from Johns Hopkins University in international relations. He is a CFA charterholder.

Brian Grabenstein, MD and Head of LIBOR Transition Office, Wells Fargo

Brian will be presenting at IBOR USA 2019.

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, SVP Treasurer, China Construction Bank

Frank joined China Construction Bank NY branch (CCB) in 2014 as SVP & Treasurer of. Was Treasurer for Dexia Credit Local US , where Frank launched the Dexia US operations as USD global competence center to USD 70 billion, following Treasurer of the National Bank of Kuwait US operations.

Frank chaired the US Liquidity Contingency Committees of both Dexia & NBK; leading Dexia global USD liquidity management efforts during the crisis of 2008, 10 & 11; and NBK during the Iraqi invasion of Kuwait.

A forward thinking seasoned risk strategist and influential thought leader, Frank leverages a thorough understanding of the mechanics of treasury to manage the evolving regulations on treasury.  Frank has worked as an independent advisor and consultant. Recent engagements included European, American, Asian and Middle Eastern banks, hedge funds and a private equity firm specifically focusing on Treasury Best Practices, Liquidity and FTP.

Frank is a regular speaker at industry conferences, moderating the 2012 IIF (Institute of International Finance) Executive Program on Treasury Risk. Presented at the IQPC CFO Conference 2016. Chaired the Marcus Evans Annual 2013 & 2015, 16 Liquidity Conference and 2013, 14, 15, Annual Funds Transfer Pricing and BSM. Presented at 2015 Funds Mgt. Conference.

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.

IBOR 2019

October 4, 2019 | New York City

INSIGHTS

Featured Insight

Find our IBOR thought-leadership articles here. These articles feed from our much larger Risk Insights section of our website which provides you with thought-leadership, white papers, articles and more across risk and regulation.

IBOR 2019

October 4, 2019 | New York City

SPONSORS

IBOR 2019

October 4, 2019 | New York City

VENUE & FAQs

Venue

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

To check availability and to reserve accommodation at the venue, please click here

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?

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

IBOR 2019

October 4, 2019 | New York City

REGISTER

Representing a financial institution – (E.g. Bank, Insurance company, Asset Manager, Regulator)

IBOR 2019 ONLY

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$499

Until July 12
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Super Early Bird

$599

Until August 30
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Early Bird

$699

Until September 20
SAVE $100

Standard Rate

$799

After September 20

IBOR +  LIQUIDITY RISK MANAGEMENT USA

$1,598

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$1,798

Until August 30
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$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

Early Bird

$899

Until September 20
SAVE $200

Standard Rate

$1,099

After September 20

IBOR +  LIQUIDITY RISK MANAGEMENT USA

$2,198

Until August 30
SAVE $1000

$2,698

Until September 20
SAVE $500

$3,198

After September 20

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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!

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