Thursday, November 7, 2019


Registration opens


Opening remarks

Robert Mackenzie Smith, editor, US asset management, RISK.NET


Fireside chat: how is JPM thinking about Libor transition?  

  • Is this the approach that everyone in the industry is taking?

  • Do you think that people will be ready?

  • What makes this different from other changes that have occurred in the market over time?

  • What are the implications of this? 

Alice Wang, managing director corporate and investment bank strategy, J.P. Morgan Chase


Richard Berner, clinical professor of finance, co-director, the volatility and risk institute, NYU Stern School of Business



Dangers for corporate and asset managers in the transition
Quick fire presentations from leading firms tackling the transition

  • The transition impact on leading firms

  • Transition planning and program essentials

  • Implementation risks – examples

Robert Mackenzie Smith, editor, US asset management,

9:30 IBOR transition use case
Christian Rasmussen, head of group treasury assets and liabilities americas, UBS
9:50 Milestones: navigating the path to the new risk free rate ecosystem
Robert de Roeck, head of structured solutions, investment innovation team, Aberdeen Standard Investments


Dawn of alternative reference rates: curve construction fundamentals

  • Introduction to RFRs and curve stripping: a focus on SOFR

  • New curve instruments observed in today’s market based on ARRs

  • Market best practices in constructing curves and how they can be applied to ARRs

Ping Sun, senior vice president of financial engineering, Numerix


Morning networking break


Implementing new Libor fallback provisions panel

  • Amendment of ISDA’s 2006 definitions for OTC derivatives and adoption for legacy contracts via protocol

  • Fallback provisions for FRNs and syndicated loans

  • Fallback provisions for bilateral loans and securitization


Chris Killian, managing director, securitization and credit markets, SIFMA

Tess Virmani, associate general counsel & senior vice president, public policy, LSTA
Gary Horbacz, principal, fixed income structured product team, Prudential Financial
Ann Battle, assistant general counsel, ISDA
Alexis Pederson, senior company counsel, Wells Fargo


Operational readiness panel discussion

  • Operational challenges of moving to new rates

  • A checklist for systems upgrades – the size of the IT challenge and what changes firms need to make


Simon Potter, non-resident, senior fellow, Peterson Institute for International Economics

Rachel Bryant, head of libor transition, Regions Bank
Gaurav Shukla,
managing director, Morgan Stanley


Lunch and networking break

Content led lunch tables – lunch and learn by joining industry leaders and peers at your choice of themed, content-led lunch tables

Operational readiness - Rachel Bryant, head of libor transition, Regions Bank
The RFR trading perspective - Edward Ocampo, independent advisor


Single step discounting transition: the impact on market participants
•    The change to SOFR discounting for USD-denominated and non-deliverable swaps at both LCH & CME 
•    How the industry can manage their exposures through the change
Vikash Rughani,
business manager, TriOptima
Subadra Rajappa,
head of US rates strategy, Société Générale

Milton Brown, executive director, head of Americas XVA, UBS

Mike Jesionowski, director, Bank of America


Presentation and demo: Data challenges and leveraging AI, specific to the LIBOR use case

Chris Dias, principal, KPMG



Presentation and demo: How technology advancements can help with high volume contract review
•    Tagging provisions to enable decision matrices, work assignment and monitoring
•    Ensuring consistency and compliance to standard language - demo
•    Tracking communication throughout the remediation exercise

Henry Friesen, founder and CEO, IntelScout


Managing the internal and external communication challenges panel discussion

  • Client expectations

  • Contract negotiations

  • Legacy contracts 

  • Conduct and governance

    • Fiduciary duty for asset managers

    • Customer care for banks

Brian Grabenstein, managing director and head of Libor transition office, Wells Fargo
Sairah Burki,
managing director, head of policy, Structured Finance Association
Rachel Bryant,
head of Libor transition, Regions Bank
Lisa Pendergast,
executive director, CRE Finance Council


Afternoon networking break


RFR Trading Opportunities in Transition

•    Who is trading RFRs and what are the principal applications?
•    How can more broad based participation be catalysed in derivative markets?
•    Can cash markets build on success of SOFR FRN market?
•    Do sterling markets offer useful precedents for US transition?

Edward Ocampo, independent advisor
Kirsten Doody, deputy COO for fixed income and commodities, Morgan Stanley


For or against SOFR as the benchmark rate Oxford style debate
This house believes that SOFR should and will be the main benchmark rate.

Moderator: Richard Berner, clinical professor of finance, co-director, the volatility and risk institute, NYU Stern School of Business 

Gaurav Shukla, managing director, Morgan Stanley 

Blake Gwinn, US rates strategist, NatWest Markets

Ralph Axel, director in US rates research, Bank of America Merrill Lynch


Chair’s summary and closing remarks


Networking drinks