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, APAC/ Senior SME (xVA & IBOR transition)

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.

Transitioning from IBOR to Risk Free Rates Programme

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 Transition – Singapore

  • Fate of SOR
  • IBOR transition risks
  • Transition planning and programme essentials
  • Programme governance
  • Implementation of the new ISDA fallback language
12:30

Lunch 

13:30

How do the operations function adapt?

  • Different publication times - effect on existing IT systems
  • Will different pricing/margins need to be applied across different currencies -
    effect on existing IT systems
  • Improving process and documentation
15:00

Afternoon coffee break 

15:30

Accounting implications?

  • Hedge accounting relationships
  • Fair value hedging
  • Discounting/ valuations
  • Cashflow hedging
  • Modification accounting
17:00

End of day One

Day Two - 13 September

08:30

Registration

09:00

How to deal with the transition

  • Client communications
  • Conduct, reputational and legal risk derived from making judgement based submissions
  • RFR programme set up – future of AONIA
  • Governance
10:30

Morning coffee break 

11:00

Impact on risk management and risk control

  • Overnight RFR's vs Term Rates
  • Will different pricing/margins need to be applied across different currencies
  • Curve structure changes
  • Basis risk
  • Pricing models
  • Risk management
12:30

Lunch

13:30

Obligations in the derivatives and cash market

  • Modelling, Hedging
  • Legacy products
  • Fall back provisions
  • Recommenced practical steps
15:00

Afternoon coffee break 

15:30

The technology impacts and operating model challenges

  • Key considerations: Legacy vs new
  • Concurring new and legacy books
  • Migrations: Easier said than done
  • Jurisdictional differences in approach and timetable
17:00

End of Day Two