IBOR Programme

IBOR Programme

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Matthieu Sachot

Director

CHAPPUIS HALDER & CO.

Matthieu Sachot is a director at Chappuis Halder & Co. Asia-Pacific, in charge of Liquidity, ALM and Front Office Regulatory offers. Matthieu joined CH&Co. in 2013, previously Debt Syndicate for Citigroup Global Markets, Investment Manager, and ALM / Liquidity risk manager in Tokyo and New York. Matthieu is a considered a Go-to-expert in Liquidity Risk, as well as regulatory compliance and optimisation, from new rules implementation, to proactive management and robotics / fintech integration, with a strong experience in Front-to-Back organisation

Matthieu is based in Hong Kong, and holds an MBA in Financial Markets from Grenoble Ecole de Management (GEM), with a speciality in Banking Asset Liability Management (ALM).

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Alexandre Bon

Head of Marketing & Strategy, APAC – Global co-lead LIBOR reform

Murex

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Miles Binney

Clifford Chance Pte. Ltd.

Senior Associate

Miles Binney is a senior associate in our Banking and Finance practice in Singapore, specialising in financial markets, derivatives and trading. His broad experience across a wide range of asset classes means that he regularly advises leading hedge funds, asset managers and other financial institutions on their trading issues globally.

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Shawn Lim

Head of Rates & Credit consulting APAC

Murex

Shawn is in charge of project delivery and client services activities for the Murex Interest Rates and Credit Derivatives business solutions across the APAC region.

Since joining Murex in 2008, he has successfully led numerous system implementations and advised Murex customers on their capital markets transformation programs – notably on the evolution of their risk and valuation frameworks from a mono-curve LIBOR discounting approach to multi-curve OIS and collateral-based discounting.

Based in Singapore, Shawn collaborates closely with the Murex product development team to drive the evolution of the MX.III platform to address the specific needs of APAC-based institutions.

Shawn holds a Masters of Financial Engineering from Nanyang Technological University.

Transitioning from IBOR to Risk Free Rates Programme

**This programme is recognised under the Financial Training Scheme (FTS) and is eligible for FTS claims subject to all eligibility criteria being met.

Day One - 12 September

08:30

Registration

09:00

Overview of IBOR to risk free rates and benchmark options

  • Context - financial markets affected
  • The wider benchmark reform agenda
  • ARR methodologies / jurisdictions
  • Term structures
  • The challenges of transitioning to ARRs
10:30

Morning coffee break 

11:00

How to deal with the IBOR transition

  • Client-centric approach - communication and preparation
  • The complexity of Asian markets (Developed, emerging)
  • Conduct and reputational risks in the preparation and the transition itself
  • Legal risk - the challenge of fallbacks basis risks for new and legacy portfolios
  • Multi risk-free rates - what's in for whom?
  • Expect disruption - Funding and market timelines
  • Forward vs in arrears - product opportunities and challenges
  • Right budgeting and project governance
12:30

Lunch 

13:30

Impact on risk management and risk control

  • Overnight RFR's vs Term Rates - key technicals
  • Risk Appetite Framework, thresholds reviews and strategies check-up
  • Curve structure changes
  • Margin trends across different currencies
  • Liquidity at Risk for your assets, derivatives, collateral and off balance sheet exposures
  • Basis risk and cross-currency risk management
  • Funding blocks, key inflexion points and FTP overhaul
  • Regulatory cross-impacts and tax surprises - the hidden risks
  • Dynamic business partner - the Early Warning Indicators to support business lines and legal entities
15:00

Afternoon coffee break 

15:30

Getting organised with Operations / IT and the Discounting, Accounting and Regulatory implications

  • Different publication times and pricing approaches - effect on existing Operations workflows and IT systems
  • If you are ready, are your clients ready too?  Improving processes and documentation ahead
  • Discounting / valuations impacts
  • Accounting standards revision – where are we at?
  • Hedge accounting relationships
  • Regulatory cross-impacts – beware of the hidden impacts at legal entity level
17:00

End of day One

Day Two - 13 September

08:30

Registration

09:00

Managing collateral in a major market dislocation

  • Securities lending, repo / reverse-repo activities – current trends and challenges
  • Funding risk for risky clients and prime brokerage
  • Securitisation organisation – Back to pre-GFC situation
  • Cleared and uncleared margining – What value for LIBOR-based collateral?
  • ALM and Scarce Resources Management – Walking the fine line in efficient performance
10:30

Morning coffee break 

11:00

Transitioning: lessons learned - markets, risk and operations - Q&A session for a practical anticipation

12:30

Lunch

13:30

IBOR transition across Derivatives and Cash markets: next steps & challenges

  • Towards a transition step by step
  • Modelling impacts and hedging questions
  • Cessation triggers & Fallbacks: squaring the circle?
  • Open questions for Risk, Accounting, XVA
15:00

Afternoon coffee break 

15:30

Making IT work: technology challenges & opportunities

  • Requirements for curve management & trading the RFRs
  • Understanding & managing IBOR exposures for BAU operations
  • Operating framework for an index discontinuation
  • Coping with regulatory uncertainty and continuous changes
17:00

End of Day Two