Risk Considerations on the Cessation of LIBOR:

Are We Ready for December 31, 2021?

 

Webinar

 

Date: Tuesday, October 12, 2021

Webinar Time: 5:00 PM – 6:15 PM

 

 
Please join the RMA NY Chapter on Tuesday, October 12th for a discussion around the cessation of LIBOR. Topics to be addressed will include:
 
  • Regulatory Focus - SR 20-27 and reminders on the "no new LIBOR" deadline; what constitutes "new" contracts / page 2 exceptions (renewals; conditional vs. unconditional facilities; custom indices with LIBOR as a component; evidence for market making / hedging "existing" exposures)
 
  • Term SOFR - pros and cons, limitations on usage, challenges on liquidity and observability given limitations on use
 
  • Credit Sensitive Rates - pros and cons; good governance over rate selection; disclosure; fallbacks
 
  • Operational risk - including conduct risk; need to take action in the absence of a "rule"

 

 

 

Confirmed Speakers:

 

Cam Fuller, Senior Associate, Financial Markets Infrastructure Department in the Supervision Group, Federal Reserve Bank of New York

Cam Fuller has been with the Federal Reserve Bank of New York (FRBNY) for approximately 10 years, and is currently in Supervision’s Financial Market Infrastructure group overseeing the supervisory approach to the LIBOR transition across the Federal Reserve System. In addition to her work in reference rate reform, she has been involved in a variety of other financial stability projects, including the Secondary Market Corporate Credit Facility (SMCCF) in response to the COVID-19 crisis, the implementation of swap margin requirements for non-cleared derivatives and resolution and recovery planning. Before joining FRBNY, she was an associate at Skadden, Arps, Slate, Meagher & Flom, working on general corporate matters including corporate finance and M&A.

 

Cam holds a BA in Economics from the University of Virginia and a JD from Duke University School of Law.

 

Jason Granet, Chief Investment Officer, BNY Mellon

Jason is the firm’s Chief Investment Officer. Jason is responsible for managing BNY Mellon’s securities portfolio and additionally serves as the sponsor of the firm’s London Inter-bank Offered Rate (LIBOR) transition effort. 

 

Prior to joining BNY Mellon, Jason spent more than 20 year at Goldman Sachs across a variety of leadership roles. Most recently, Jason oversaw Goldman Sachs’, global LIBOR transition program and previously, served as the deputy head of Goldman Sachs Asset Management’s Liquidity Solutions Portfolio Management team. In that roll, Jason led a large investing team that managed portfolios across multicurrency money market and short-duration portfolios, and was responsible for the business strategy, portfolio positioning, fund pricing and strategic partnerships.

 

Jason was recognized by Financial News as one of the “FN 40 Under 40 Rising Stars of Asset Management” in 2013 and 2014.

 

Jason serves on the Board of Trustees of Fairy Bricks.

 

Jason earned a BA in Economics from the University of Michigan in 2000.

 

Nik Khakee, Managing Director, Criteria SME Ratings, Methodologies, Center of Excellence, S&P Global Ratings

Nik Khakee serves as a Criteria Subject Matter Expert (SME)for S&P Global Ratings. His responsibilities since 2017 cover cross-practice criteria development. Recent projects include updates to Group Rating Methodology and Alternative Investment Funds (Hedge Funds, Private Equity Funds). Nik serves as a criteria SME on cyber risk, leases, and the LIBOR transition in the Methodologies Team.

 

Nik led North America Financial Institutions and Global Funds criteria development between 2012 and 2017. In thatrole, Nik led the development and publication of global criteria covering nonbank financial institutions including securities firms and balance-sheet driven finance companies, criteria covering financial services companies including the asset manager, exchange and clearinghouse, and cash-flow driven finance companies sectors, and criteria applied to rating money market funds and fixed-income funds.

 

Between 2000 and 2009, Nik led global ratingsteams in Structured Finance focused upon derivatives trading, limited purpose investment companies, and synthetic collateralized debt obligations.

 

Prior to joining S&P Global, Nik worked in money management with a mutual fund company, a hedge fund, and a business management firm.

 

Nik received his Master’s degree in Public and Private Management from Yale University’s School of Management in May 1996. He received his Bachelor of Arts from New York University where he graduated with honors.

 

Christopher Killian, Managing Director, Securitization and Corporate Credit, SIFMA

Chris is responsible for SIFMA's securitization, housing finance, corporate credit, and LIBOR related activities. SIFMA has a special focus on agency MBS markets and maintains a collection of market standards and trading practices governing the TBA market.

 

In the 2018 Chris assumed SIFMA’s corporate credit activities in addition to his securitization responsibilities. This includes coverage of issues such as fixed income market structure, TRACE reporting, and development of SIFMA’s Insurance and Risk-Linked Securities Conference. 

 

Chris is also the lead for activities related to the LIBOR transition in the US. Chris is a member of the Federal Reserve’s Alternative Reference Rates Committee and a number of its subcommittees.

 

Chris joined the Bond Market Association (predecessor to SIFMA) in 2005 as the analyst for the MBS and Securitized Products Division. He became head of the Securitization Group in 2013.  Prior to joining SIFMA, he was an accountant in the Retail Securitization Accounting and Investor Reporting group at JPMorgan Chase & Co., where he was responsible for investor reporting and other administration of auto, student loan, and mortgage securitization transactions.

 

Chris holds Bachelor’s Degrees in Economics and Government from Franklin and Marshall College.

 

 

Moderator: 

 

Justin Keane, Principal, Consulting Solutions Practice, PwC

Justin is a Principal in PwC’s Consulting Solutions practice based in New York. He has over 20 years of experience on issues related to pricing and risk management for derivatives and complex financial instruments across our leading multinational clients in New York, London, and other leading financial services centers around the world.

 

Principal areas of focus include:

 

  • LIBOR and Reference Rate Reform efforts

 

  • Model Risk Management across global jurisdictions, and interaction of leading global standards such as SR 11-7 / OCC 2011-12 

 

  • Strategy, Risk Management and Valuation considerations related to governance and execution levels on derivative and complex financial instruments, including consideration of XVAs, business operational models cross function, and interaction between pricing, accounting and valuation.

 

 

 
**Registration can be done online by clicking here.
 

 

Thank you to S&P Global Ratings for being an RMA NY Chapter Gold Sponsor for 2021. 

S&P Global Ratings Website

 

Registration Fees:

Members of RMA-NY Chapter: $20

Non-Members or RMA-NY Chapter:  $45

DISCOUNT Join/Re-Join and Attend the Webinar: $85 (Memberships valid until 8/31/2022)

 

Policies:

Your membership category will be verified after receipt. If an adjustment is needed due to selecting an incorrect category at checkout, RMA NY Chapter is authorized to place a charge or credit on the card number supplied. All payments must be received prior to admission to meeting. THE OFFICIAL CUT-OFF DATE TO REGISTER is 5:00pm ET on Monday, October 11, 2021. Cancelations must be received 48 hours in advance to qualify for a refund; cancelations after that time and no-shows are liable for payment. 

 

Phone: 914-332-0042 

Fax: 914-332-1541

Register Online at: www.rmany.org

RMA New York Chapter

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Tarrytown, NY 10591