Tuesday 23rd February: Day 2
This panel discusses the latest developments in the move from LIBOR to currency-specific RFRs and what this means for loan origination, interest rate hedging and liquidity risk management policy. Also includes:
- Currency specific interest rate hedging
- Multi currency balance sheet hedging
- Implications for the funds transfer pricing regime
- Use of term RFRs
Non-Executive Director: Loughborough Building Society
Moorad Choudhry: Non-Executive Director: Loughborough Building Society
Professor Moorad Choudhry is an Independent Non-Executive Director on the Board of Recognise Financial Services Ltd. Previously he was Treasurer, Corporate Banking at The Royal Bank of Scotland, Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products and vice-president in structured finance services at JPMorgan Chase Bank. He began his career at the London Stock Exchange in 1989.
At KBC FP Moorad led the team that designed, originated and structured Picaros Funding LLP, the world’s first multi-SPV synthetic asset-backed funding vehicle, and later winner of the Euromoney Structured Finance Deal of the Year award for 2005.
Moorad is a Fellow of the Chartered Institute for Securities & Investment, a Fellow of the Institute of Directors, a Fellow of the London Institute of Banking and Finance and a Freeman of the Worshipful Company of International Bankers. He is on the Editorial Boards of the Journal of Structured Finance, Qualitative Research in Financial Markets, and American Securitization. He is author of The Principles of Banking.
Senior Consultant, Solum Financial Limited
Kevin Liddy: Senior Consultant, Solum Financial Limited
Kevin has 30 years of experience in trading, risk management and consultancy. He has acted as an expert witness and been deposed in the US courts. Prior to joining Solum Financial Kevin worked at Chase Manhattan, Bear Stearns, Nat West and Royal Bank of Scotland. At Royal Bank of Scotland he was Global co-head of Counterparty Exposure Management responsible for the Pricing, Management and Trading of all counterparty risk activities. In addition Kevin was Global Head of STIRT, responsible for all Delta trading products in the short end of the curve. Previously at Bear Stearns and Chase Manhattan he was head of Sterling derivative trading. Kevin holds a BSc. Hons in Applied Science from Kingston University.
Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro: Director, Global Market Risk Analytics, Bank of America
Adolfo Montoro FRM, is a director in the Global Market Risk Analytics, Bank of America in London. Previously he lead the Market Data Strategy and Analytics team and represented Deutsche Bank in the Industry FRTB Working Group supporting elements of the FRTB implementation and advocacy for the Bank over the last five years. Previously he has been in charge of the Strategic implementation of Full Revaluation-based suite of VaR model ensuring as well the adequacy of quantitative methodologies used for market risk management and regulatory purposes (Pillar I and II). He has earned an MSc in Risk Management from Bocconi University, Italy, and graduated with a degree in economics (with honours) from Universita’ della Calabria, Italy. He has earned his Financial Risk Manager (FRM) certification in 2005. Adolfo is currently affiliated with the Global Association of Risk Professionals, where he serves both as a Regional Director for the UK Chapter as well as member of the FRM Committee.
- Building your IBOR Transition Programme
- Do you need to compress your IBOR Transition Plan to meet the deadline?
- What’s the best Programme Approach?
- Programme Essentials
- Inventories (product, systems, risk models, contracts, etc) – their importance, how to create and prioritise items
- 3LOD MI & Reporting – exposure analysis, data challenges, impacts on principle risks (inc. capital, liquidity, operational, conduct) ALCO, programme risk assurance and audit
- Communications & Product Strategy – creating a strategy to minimise conduct and litigation risks
- Readiness – FTP, NBC & Product Governance Cycle, Valuations, Documentation Taxonomy
- Programme Complexities
- Pilot Testing – identify critical paths and load on IT systems, customer journey, Risk MI (VaR, EAD, LGD RWA)
- What are the intra-business and function dependencies. Can you rely on assumptions?
- Manging in a multi-rate environment, restructuring, forbearance and delinquencies
- Are efficiencies possible or are there resource and cost consequences?
- Key Next Steps
- Red Flags – Monitoring and Evolving (RAIDs)
- Advocacy & Awareness (RACIs)
Managing Director, Antevorta Consultants
Sharon Freeman: Managing Director, Antevorta Consultants
Sharon’s career spans nearly 25 years across the financial industry; from investment banking to corporate banking and asset management within front and back office with experience in multiple products. She held positions at Standard Chartered, Barclays, Dresdner, Merrill Lynch and JP Morgan Asset Management.
Antevorta Consultants was established in 2013 to address the evolving regulatory landscaped. Sharon worked initially in remediation programmes including the high-profile mis-selling of interest rate swaps, delivering business change and implementation of group-wide controls framework.
She has an extensive knowledge of LIBOR transition risks and implementation challenges attained through first-hand practitioner experience and various programme mandates. Sharon presented at the inaugural LIBOR Transition training course by Risk.net. She is a regular speaker at LIBOR conferences and training events as well as providing insights through webinars.