IBOR Australia

IBOR Australia

IBOR Transition to Risk Free Rates

 

Day 1, Tuesday 13 August 2019

08:00

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 Tea

11:00

How to deal with the Transition - Case Study (Australia) 

  • Fate of BBSW / AONIA
  • Transition triggers and target operating model
  • 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 Tea

15:30

Accounting Implications

  • Hedge accounting relationships
  • Fair value hedging 
  • Discounting/ valuations
  • Cashflow hedgiAng 
  • Modification accounting
     

17:00

End of day one

 

Day 2, Wednesday 14 August 2019

08:00

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 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

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

15:30

Obligations in the derivatives and cash market

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

17:00

End of training course