IBOR EUROPE 2019 ***** Working **** Do not delete

08:00 Registration and morning coffee

08:50 Chair’s opening remarks

CURRENT UPDATE – PANEL DISCUSSION
09:00 Exploring current issues and events which have developed around LIBOR transition and anticipated future outcomes

• ISDA Protocol
• Accounting rules
• Progress on legislation to enable transition and progress
• Term Rate use case in the UK
• Future outlook

Ian Fox, Group IBOR Transition Director, Lloyds Banking Group
Tarek Hasan, Director, Change Management Group, MUFG Securities
Vinay Reddy, Director, Legal, Barclays

REGULATORY OVERVIEW
09:40 Understanding the full scope of regulatory involvement in transition and how firms will be judged on their activities

• Local and global regulators
  • Regulators pressure to start issuing in new ARRs
• Gaining clarity on supervisory involvement
• What will be deemed successful or inefficient?
• Updates on Term rates and ISDA protocol
• Understanding regulatory priorities
• Will firms be audited?
• Pre-cessation trigger – How is representativeness measured?
• Is LIBOR a market driven or a regulatory driven standard?
• Managing multiple regulatory programmes – FRTB, IRRBB, CRD5, BCBS239

10:15 Morning refreshment break and networking

RISK FREE RATES
10:45 Investigating the pace of adoption of new reference rates and how the industry is being impacted by the transformation

• Preparing to transition to overnight ARRs vs waiting for forward looking term ARRs
• Pace of adoption – SONIA, SOFR, €STR, TONA
  • Loans, swaps and debt issuance
• EONIA to €STR Transition – Anticipated differences in reporting numbers
• Pricing products and trading positions
• Corporates and buy side transition
• Bearing the cost of value change
• Managing risk to the organisation and volatility in rates
• Updating systems to accept new ARRs and compounding ability

Sebastien Cross, UK Rates Strategist, Bank of America

11:20 Reviewing modelling frameworks for risk free rates replacing LIBOR

• Assumptions, definitions, construction of the Risk-free Rate curves
• The dynamics of Term Rates constructed from Risk-Free daily Rates
• Pricing of futures and swaps
• Modification introduced on the LIBOR Market Model
• Extension to Cross-currency interest rate models

Emiliano Papa, Director, Quantitative Analyst, Deutsche Bank

INTERNATIONAL VARIATIONS – PANEL DISCUSSION
11:55 Reviewing rate options, fall back language and pace of adoption across the major currencies and the ability to work across multiple jurisdictions

• EU, US, UK, Switzerland, Japan – Differences in the choice and use of ARRs, development of Term ARRs
• Cross currency/ multicurrency product management
  • Variations in rate behaviour
  • Transitioning and timelines
• Altering product offerings based on region
• Changes to pricing
• Triggers of when LIBOR will end
• Global alignment and consistency – Fallback language, ISDA protocol, (pre)cessation triggers

Phil Lloyd, Head of Market Structure & Regulatory Customer Engagement, NatWest Markets
Ilaria Filippi, Director, Legal Counsel, SMBC
Alaistair Sharp, Director, Credit Suisse
Elizabeth McGowan, LIBOR Transition Office, International Lead, Wells Fargo

12:35 Lunch break and networking

TERM RATES
1:35 Examining global variations and challenges of transitioning from overnight rates to term rates

• Differences in LIBOR / IBOR vs ARRs
• Adoption of term rates
  • US, UK, Europe and Japan forward looking term rates development
  • Switzerland – compounded in arrears
• Differences in current rates vs new rates
• Calculating the spread component – Credit premium
• Other options to consider
• Using term rates for a niche portion of the cash market
• Test and representativeness

Steve Bullock, Head of Benchmark Submission & Supervision, Lloyds Banking Group

DOCUMENTATION
2:10 Addressing the core challenges in fall back language and re-papering contracts and documentation ahead of transition

• Internal organisation to facilitate mass re-papering
  • Creating an inventory of effected contracts
• Identifying headline and embedded exposures
• Timing of when to input new fall back language
  • Impact during input vs after transition
• Dedicating more time to certain customers/contracts – Syndications
• Resources – Legal and operational support
• Tools – Availability, capability, cost, implementation time etc.
• AI and machine learning to review documentation

COMMUNICATION
2:45 Discussing proactive engagement and education campaigns for customers, clients, corporates and internal teams

• Understanding new products offerings before launching communication strategy
• Getting staff up to speed on the key questions
• Explaining differences in new ARRs vs LIBOR
• Adapting education based on the audience
• Promoting the new ARRs make business sense and are the best option for customers
• Spreading international awareness
• Using engagement and education to reduce conduct risk

Phil Lloyd, Head of Market Structure & Regulatory Customer Engagement, NatWest Markets

3:20 Afternoon refreshment break and networking

CONDUCT RISK
3:50 Highlighting how firms can limit conduct risk and ensure customers/clients are satisfied with levels of interaction and knowledge

• Transitioning without disrupting the business
• Ensuring less sophisticated firms and customers are not disadvantaged by transition
• Legal risk – Miss-selling products, not honouring contracts, moving clients onto new products
• Valuation change – Monitoring firms who are incentivised by the process
• Risk of lawsuits and legal campaigns
• Demonstrating control to the regulators
• Additional considerations on reputational, operational and market risk

LIQUIDITY
4:25 Exploring current liquidity in markets and the anticipated developments with the introduction of alternative reference rates

• Liquidity trends in SOFR, SONIA and ESTER
• Building confidence in the market and new reference rates
• Encouragement of trading to develop liquidity
• Taking risk and entering into transactions
  • Risk of paying too much or moving onto an unconfirmed rate
• Impacts on pricing
• Managing volatility
• Will liquidity growth be significant enough to support markets post 2021 and LIBOR cessation?

Alan Farrell, Executive Director, Corporate Treasury, LIBOR Transition,  Goldman Sachs

SYSTEMS & SET-UP – PANEL DISCUSSION
5:00 Understanding how firms can develop internal transition plans, systems and modelling to ensure they are operationally ready

• Dividing the business into dependencies and exposure
• Parallel runs – Impact on RWAs and reporting
• Designing a strong governance programme
• Models which work across multiple rates, jurisdictions and assumptions
• Systems to accommodate transition – Legacy systems, calculations and manual overlays
• Systems provided by third parties and vendors
• Resource management – Budgets and bearing the cost of transition

Lena Young, Head of Audit Liquidity and Funding, Credit Suisse
Sandeep Bhorkar, Program Director, IBOR Transition, Société Générale
Doug Laurie, Director, Programme Lead, Wholesale Lending Technology and Change, Barclays
Chris Palmer, Head of LIBOR Transition Program, JP Morgan

5:40 Chair’s Closing Remarks

5:50 End of Forum

Sandeep Bhorkar, Program Director, IBOR transition, Société Générale

Sandeep Bhorkar will be presenting at the IBOR Europe Forum.

Steve Bullock, Head of Benchmark Submission & Supervision, Lloyds Banking Group

Steve currently heads up the Lloyds Bank Group Corporate Treasury Benchmark Submission & Supervision team which has a primary focus on LIBOR submissions and oversight of other benchmark activities. Lloyds are a contributor to CHF, EUR, GBP, JPY and USD LIBOR he is also playing an active role in Lloyds Banking Groups wider IBOR transition program.

Sebastien Cross, UK Rates Strategist, Bank of America

Sebastien Cross is the UK rates strategist for Bank of America Merrill Lynch. He covers both the cash and derivatives markets in GBP rates as part of the European Rates Research team at BofAML. He is also heavily involved in BofAML’s research coverage of IBOR transition, writing regular updates on the progress made in transitioning to risk-free rates. His other regular research reports include contributions to BofAML’s flagship rates research publication the Global Rates Weekly, UK Watches and Viewpoints. He has an MSc in Finance & Economics from Warwick Business School and a BA in Economics from the University of Sheffield. He is based in London.

Alan Farrell, Executive Director, Corporate Treasury, LIBOR Transition, Goldman Sachs

Alan Farrell will be presenting at the IBOR Europe Forum.

ILaria Filippi, Director, legal counsel, SMBC

Ilaria is Legal Counsel at SMBC where she provides advice to the bank on the application of relevant laws and regulations, including competition law, financial benchmarks (including LIBOR discontinuation and transitioning to risk free rates), data protection and cross border marketing and licensing rules, in particular in relation to regulatory matters applicable to financial services, litigation and multi-jurisdictional investigations.

Prior to joining SMBC, Ilaria worked in private practice in London as a competition lawyer, where she was involved in advising clients on all aspects of EU and UK competition law, including M&A transactions, regulatory investigations and litigation before the EU and UK courts.

Ilaria holds a business and economics degree. She is and English qualified solicitor and a US attorney (State of Texas).

Ian Fox, Group IBOR Transition Director, Lloyds Banking Group

Ian has over 30 years Treasury experience, most recently having been responsible for funding and liquidity for Lloyds Banking Group since its creation in 2009. He is now responsible for leading the group-wide programme to achieve transition from IBORs to Risk-Free Rates.

Ian is a member of the Working Group on Sterling Risk-Free Reference Rates and co-chair of the Term Rate Use Case Task Force. He is also Deputy Chairman of the London Money Market Association.

Tarek Hasan, Director, Change Management Group, MUFG Securities

Tarek Hasan will be presenting at the IBOR Europe Forum.

Doug Laurie, Director, Programme Lead, Wholesale Lending Technology and Change, Barclays

Doug Laurie will be presenting at the IBOR Europe Forum.

Phil Lloyd, Head of Market Structure & Regulatiry Customer Engagement, NatWest Markets

Phil Lloyd will be presenting at the IBOR Europe Forum.

Elizabeth McGowan, LIBOR Transition Office, International Lead, Wells Fargo

Structured finance professional with over 18 years’ industry experience, holding a degree in mathematics. Currently working in Wells Fargo’s LIBOR Transition Office as the International Lead. Previously held a Director position in the Loan Syndications and Risk Distribution department of the Corporate & Investment Bank in Wells Fargo Bank London branch, providing both secured and unsecured financing to international clients.

Chris Palmer, Head of LIBOR Transition Program, JP Morgan

Chris Palmer will be presenting at the IBOR Europe Forum.

Emiliano Papa, Director, Quantitative Analyst, Deutsche Bank

Emiliano moved to Deutsche Bank from Bank of America where he was a quant in Rates for 5 years. Emiliano graduated with PhD in Theoretical Physics from Oxford University. He then became a Lecturer at the University of Texas at Austin in Theoretical Physics. He was also a Visiting Scholar at California Institute of Technology.

Vinay Reddy, Director, Legal, Barclays

Vinay Reddy is a Director in the Markets Legal division of Barclays. His areas of coverage include various trading and structuring business lines, governance considerations, regulatory reform and Benchmarks. Mr. Reddy has headed the legal coverage of Barclays Risk Analytics and Index Solutions (BRAIS) before it was acquired by Bloomberg and was also involved in the set up of the new administration division in Barclays, Barclays Index Administration. He is a member of the Administration Oversight Forum in Barclays and has been heavily involved in the implementation of the EU Benchmarks Regulation (Regulation) within Barclays. He is also an active participant in industry discussions on Benchmarks. He has also spoken on the Regulation at ISDA’s symposium on Financial Benchmarks held in June 2017. Prior to joining Barclays, Mr. Reddy has worked at Clifford Chance and Paul Hastings respectively with a focus on general finance matters. Mr Reddy completed his undergraduate law degree at the National Law School of India University and Masters degrees focusing on business law at the University of Oxford and the University of Michigan respectively. Mr. Reddy is the recipient of a Chevening scholarship and a Grotius fellowship.

Alaistair Sharp, Director, Credit Suisse

Alaistair Sharp will be presenting at the IBOR Europe Forum.

Lena Young, Head of Audit Liquidity and Funding, Credit Suisse

Lena is Head of Audit Liquidity and Funding at Credit Suisse since June 2015, covering liquidity and funding across both the 1^st LoD and 2^nd LoD. Prior to CS, she was Global Head of Liquidity Reporting and Analytics in Barclays Group Treasury, responsible for all liquidity regulatory reporting to the PRA and global MI reporting, and European Head of Treasury Capital Markets at Morgan Stanley.  Lena holds a degree in Economics from Stockholm School of Economics, majoring in Financial Economics and Econometrics.

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