Benchmark Strategies Forum Japan

ベンチマーク・ストラテジー・フォーラム ジャパン

Wednesday, June 9 to Thursday, June 10, 2021
Online

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Most part of this forum will be conducted in Japanese. Simultaneous translation will NOT be provided.
当コンファレンスは日本語または英語で行われます。同時通訳は入りません。(開会の挨拶のみ英語です)

 

It is now confirmed that most LIBOR settings will cease to exist or become non-representative after the end of 2021, although the most popular US dollar settings will continue until mid-2023. This ISDA Virtual Conference will explore the timetable for LIBOR cessation, regulatory expectations on new LIBOR use and the upcoming milestones for transition. The event will also set out the steps that Japanese firms need to take to shift to alternative reference rates and the implications for their legacy portfolios.

コロナウィルス感染拡大による様々な問題が認識される一方で、英国金融行為監督機構(FCA)は2021年末以降にLIBORの公表停止の可能性を繰り返し言及しました。

本フォーラムでは、本邦市場におけるLIBORからの移行の現状、そして代替リスク・フリー・レート(RFR)の利用状況についてご説明します。また、既存(レガシー)ポートフォリオの移行に関して、市場参加者が考慮すべき問題を検討するとともに、頑健なフォールバックの導入や、移行に向けたマイルストーンについて概説します。

当日は金融庁の石村リスク分析総括課長、および日本銀行金融市場局の稲村市場企画課長より基調講演にてお話をいただきます。

 

Registration for this event will close 2 hours before the live broadcast

 

This is an ISDA Virtual Conference:

  • Registration for this conference is complimentary
  • Event will be live on June 9, 2021 from 9:00 AM – 11:50 AM JST  and June 10, 2021 from 9:00 AM – 12:00 PM JST |  Timezone Converter
  • Miss part of the event or aren’t able to watch live? The recording will be available to registrants until July 10, 2021

 

  • 当コンファレンスはオンラインで、6月9日(水)午前・6月10日(木)午前の2日間に渡ってライブ放送されます。
  • 録画は一か月間ご視聴になれます。
  • 参加費:無料

 

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Wednesday, June 9, 2021

Print Agenda Benchmark Strategies Forum Japan for

Day 1: Wednesday, June 9, 2021 (Time in JST)

9:00 AM Opening Remarks | 開会の挨拶 Scott O’Malia

Scott O’Malia, Chief Executive Officer, ISDA

9:05 AM Keynote Address | 基調講演 Kozo Ishimura

A senior regulator will describe progress on IBOR transition in the region and set out regulatory expectations in 2021.

Kozo Ishimura, Director, Risk Analysis Division, Strategy Development and Management Bureau, Financial Services Agency (FSA), Japan

9:15 AM Progress towards LIBOR Cessation | LIBOR停止に向けた進捗 Motoyasu Fujita, Kenichiro Goda, Tomoko Morita

The UK Financial Conduct Authority has confirmed that all sterling, euro, Swiss franc and yen LIBOR settings and one-week and two-month US dollar LIBOR will cease or become non-representative after the end of 2021, with the remaining US dollar settings ending in mid-2023. In this session, speakers will overview outstanding issues and upcoming milestones toward the end of LIBOR. The session will also discuss the possible development of synthetic LIBOR and how does it mean for cash and derivatives market.

英国金融行為監督機構(FCA)は、英ポンド、ユーロ、スイスフラン、円LIBORの全てのテナー、および1週間と2ヶ月のドルLIBORを2021年末以降に停止または指標性が喪失し、残りのドルLIBORは2023年半ばに停止することを確認しました。本セッションでは、FCAによる公表後3か月経過した現状を確認し、今後のスケジュールや課題等について整理します。 また、シンセティックLIBOR公表の可能性と、貸出、債券、そしてデリバティブ市場への影響について検討いたします。

 

Motoyasu Fujita, Partner, Capital Markets Group (Structured Finance & Derivatives), Linklaters
Kenichiro Goda, Chair, Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks, Managing Director, Corporate Planning Division, MUFG Bank, Ltd.
Tomoko Morita, Senior Director and Head of Tokyo Office, ISDA

9:55 AM Break | 休憩

10:00 AM Trading and Liquidity | トレーディングと流動性 Taihei Okabe, Koichiro Funayama, Hiroki Tomiyasu, Tadashi Yamanaka

With less than seven months to go until most LIBOR settings will disappear, how liquid are the various risk-free rates identified as the preferred alternatives? Which RFR-linked products are proving popular, and what trading strategies are emerging in Japan? How are firms managing basis between different rates?

ドル以外のLIBORが存在しなくなくなるまで7ヶ月を切った今、代替となるリスクフリーレート(RFR)の流動性はどのようになっているのでしょうか?どのようなRFRリンク商品が人気なのでしょうか?また、日本ではどのような取引戦略がとられているのでしょうか?市場参加者は異なる金利指標間のベーシスをどのように管理しているのでしょうか?

 

Moderator: Taihei Okabe, ISDA Board Member, Managing Director, Head of Fixed Income Trading, Mizuho Securities Co., Ltd.
Koichiro Funayama, Chief Manager, Fixed Income Trading Division, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.
Hiroki Tomiyasu, Managing Director, Chief Operating Office of Japan Fixed Income Department, Morgan Stanley MUFG Securities Co., Ltd.
Tadashi Yamanaka, Managing Director, Head of Derivatives Dept, Daiwa Securities Co. Ltd.

10:50 AM Break | 休憩

11:00 AM Transitioning Cleared and Non-Cleared Derivatives | 清算集中および非清算集中デリバティブの移行 Akifumi Sakurai, Yutaka Imanishi, Takahiko Kaneko, Ken Nishimura, Shun Yanagisawa

New ISDA IBOR fallbacks have been incorporated into the vast majority of non-cleared legacy derivatives, with more than 13,800 entities globally adhering to an ISDA protocol that allows firms to include the fallbacks into existing derivatives linked to LIBOR and other key IBORs. Meanwhile, central counterparties have announced their intention to actively convert LIBOR positions to risk-free rates on or prior to the cessations. How will these active conversions work? Are dealers and end users considering similar conversions for non-cleared derivatives to avoid any potential basis risks?

LIBORやその他の主要IBORを参照する既存のデリバティブにフォールバック条項を組み込むためのISDAプロトコルに、世界中で13,800以上の市場参加者が批准をしております。それによって、新しいISDA IBORフォールバックは清算されていない大半のレガシー・デリバティブにすでに組み込まれています。一方、CCPは、LIBORのポジションを、LIBORの公表停止に先立って、積極的にRFRに変換(コンバージョン)する意向を表明しています。これらのコンバージョンはどのように行われるのでしょうか。ディーラーやエンドユーザーは、潜在的なベーシス・リスクを回避するために、非清算集中デリバティブについても同様のコンバージョンを検討しているでしょうか?

 

Moderator: Akifumi Sakurai, Executive Director, Global Markets Planning Department, Nomura Securities Co., Ltd.
Yutaka Imanishi, Head of Japan, LCH
Takahiko Kaneko, Director, Strategic Planning Division and OTC Derivatives Clearing Service, Japan Securities Clearing Corporation (JSCC)
Ken Nishimura, Head of MarkitSERV Japan, IHS Markit
Shun Yanagisawa, Director, Head of Futures, Clearing and FX Prime Brokerage, Citigroup Global Markets Japan Inc.

11:50 AM Day 1 of Forum Concludes

Day 2: Thursday, June 10, 2021 (Time in JST)

9:00 AM Welcome Remarks | 挨拶 Tomoko Morita

Tomoko Morita, Senior Director and Head of Tokyo Office, ISDA

9:05 AM Keynote Address | 基調講演 Yasunari Inamura

A senior regulator will discuss progress in benchmark transition and official sector expectations in the Japanese market.

Yasunari Inamura, Head of Market Infrastructure Division, Financial Markets Department, Bank of Japan

9:15 AM Managing Cash and Derivatives | キャッシュとデリバティブの管理 Tomoko Morita, Hajime Horiuchi, Shigeru Nonomura, Noriyuki Shibata, Yosuke Unami

While a growing volume of bonds and some loans have been issued on a global basis that reference RFRs compounded in arrears, some market participants have expressed a preference for alternatives. The forward-looking term version of TONA (TORF) has been live since April 2021, while the publication of a SOFR term rate by the end of 2021 is not guaranteed. What approaches are bond and loan issuers in Japan taking, both in terms of active transition and contractual fallbacks for LIBOR-linked cash products? What implications does this have for derivatives hedges?

複利後決めのRFRを参照する債券やローンがグローバルでの発行量が増加している一方で、一部の市場参加者は違った代替金利指標を選好しています。円のターム物RFRであるTokyo Risk Free Rate(TORF)は2021年4月から公表されていますが、ドルについては、2021年末までにSOFRのターム物が公表されることは保証されていません。日本のローンや債券の発行者は、LIBORにリンクしたキャッシュ商品の移行やフォールバックの観点から、どのようなアプローチをとっているのでしょうか?これは、ヘッジ目的で行われるデリバティブにどのような影響を与えるのでしょうか?

 

Moderator: Tomoko Morita, Senior Director and Head of Tokyo Office, ISDA
Hajime Horiuchi, Head of Treasury Team, Finance Department, Mitsubishi Corporation
Shigeru Nonomura, Managing Director, Deputy Head of Global Markets Planning Dept., Global Markets Japan, Nomura Securities Co., Ltd.
Noriyuki Shibata, Joint Project Manager, LIBOR Transition Project Team, Mizuho Financial Group, Inc.
Yosuke Unami, Managing Associate, Capital Markets Group (Structured Finance & Derivatives), Linklaters

10:05 AM Break | 休憩

10:15 AM Non-linear and Structured Products | 非線形デリバティブとストラクチャー商品 Hirofumi Fukaya, Shinichiro Itozaki, Shigeki Morita

While non-linear derivatives referencing overnight risk-free rates have been traded, LIBOR continues to dominate. What challenges does LIBOR cessation pose for non-linear and structured products, and how is the industry responding? What issues should firms consider when implementing fallbacks for swap rate benchmarks such as Tokyo Swap Reference Rates (TSR)? Are there any instances where active transition will be necessary instead of fallbacks?

翌日物RFRを参照する非線形デリバティブも取引され始めていますが、LIBORは依然として大半を占めています。非線形商品やストラクチャード商品にとって、LIBORの消滅はどのような課題をもたらし、業界はどのように対応しているのでしょうか?東京スワップリファレンスレート(TSR)のようなスワップレートのフォールバックを導入する際、市場参加者はどのような問題を考慮すべきでしょうか?フォールバックではなく、積極的な移行が必要となるケースはあるのでしょうか?

 

Hirofumi Fukaya, Executive Director, Co-Head of Non-Linear Fixed Income Trading, JP Morgan Securities Japan Co., Ltd.
Shinichiro Itozaki, Senior Manager, Global Markets Engineering Division, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.
Shigeki Morita, Managing Director, Head of Fixed Income and Currencies Japan, Deutsche Securities Inc.

11:05 AM Break | 休憩

11:15 AM Next Steps | 次のステップ Atsuya Watanabe, Kazuhiko Koshikawa, Ikuma Nagata, Seiichi Tanaka

How should firms in the region approach transition in the remaining months of 2021? What are the immediate priorities and remaining challenges related to IT infrastructure, tax and accounting treatment, regulatory requirements, client communication and litigation and conduct risk? How should firms prepare for the transition and the operation of fallbacks? What will will happen to Euroyen TIBOR ? What can Japan learn from the experience in the UK, US and elsewhere?

本邦市場参加者は、2021年末までの残り数ヶ月で如何に移行に取り組めばよいのでしょうか?ITインフラ、税務・会計処理、規制要件、顧客とのコミュニケーション、訴訟リスクやコンダクト・リスクに関する当面の優先事項と残された課題は何でしょうか?市場参加者はどのように移行とフォールバック適用に向けた準備をすべきでしょうか?ユーロ円TIBORに関してどのような準備が必要でしょうか?イギリスや米国などの経験から日本は何を学べるのでしょうか?

 

Moderator: Atsuya Watanabe, Director, Markets and Securities Services, Citigroup Global Markets Japan Inc.
Kazuhiko Koshikawa, Vice President, Derivative Business Department, The Tokyo Star Bank, Limited
Ikuma Nagata, Director, Head of JPY Flow Rates Derivatives, Fixed Income and Currencies, Deutsche Securities Inc.
Seiichi Tanaka, , General Manager, Wholesale Operations and Procedures Planning Office, Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

12:00 PM Forum Concludes | 閉会

Agenda is subject to change.

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Motoyasu Fujita

Partner, Capital Markets Group (Structured Finance & Derivatives)

Linklaters

Hirofumi Fukaya

Executive Director, Co-Head of Non-Linear Fixed Income Trading

JP Morgan Securities Japan Co., Ltd.

Koichiro Funayama

Chief Manager, Fixed Income Trading Division

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Kenichiro Goda

Chair, Cross-Industry Committee on Japanese Yen Interest Rate Benchmarks, Managing Director, Corporate Planning Division

MUFG Bank, Ltd.

Hajime Horiuchi

Head of Treasury Team, Finance Department

Mitsubishi Corporation

Yutaka Imanishi

Head of Japan

LCH

Yasunari Inamura

Head of Market Infrastructure Division, Financial Markets Department

Bank of Japan

Kozo Ishimura

Director, Risk Analysis Division, Strategy Development and Management Bureau

Financial Services Agency (FSA), Japan

Shinichiro Itozaki

Senior Manager, Global Markets Engineering Division

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Takahiko Kaneko

Director, Strategic Planning Division and OTC Derivatives Clearing Service

Japan Securities Clearing Corporation (JSCC)

Kazuhiko Koshikawa

Vice President, Derivative Business Department

The Tokyo Star Bank, Limited

Tomoko Morita

Senior Director and Head of Tokyo Office

ISDA

ISDAConferences

Shigeki Morita

Managing Director, Head of Fixed Income and Currencies Japan

Deutsche Securities Inc.

Ikuma Nagata

Director, Head of JPY Flow Rates Derivatives, Fixed Income and Currencies

Deutsche Securities Inc.

Ken Nishimura

Head of MarkitSERV Japan

IHS Markit

Shigeru Nonomura

Managing Director, Deputy Head of Global Markets Planning Dept., Global Markets Japan

Nomura Securities Co., Ltd.

Taihei Okabe

ISDA Board Member, Managing Director, Head of Fixed Income Trading

Mizuho Securities Co., Ltd.

Scott O’Malia

Chief Executive Officer

ISDA

ISDAConferences

Akifumi Sakurai

Executive Director, Global Markets Planning Department

Nomura Securities Co., Ltd.

Noriyuki Shibata

Joint Project Manager, LIBOR Transition Project Team

Mizuho Financial Group, Inc.

Seiichi Tanaka

, General Manager, Wholesale Operations and Procedures Planning Office

Mitsubishi UFJ Morgan Stanley Securities Co., Ltd.

Hiroki Tomiyasu

Managing Director, Chief Operating Office of Japan Fixed Income Department

Morgan Stanley MUFG Securities Co., Ltd.

Yosuke Unami

Managing Associate, Capital Markets Group (Structured Finance & Derivatives)

Linklaters

Atsuya Watanabe

Director, Markets and Securities Services

Citigroup Global Markets Japan Inc.

Tadashi Yamanaka

Managing Director, Head of Derivatives Dept

Daiwa Securities Co. Ltd.

Shun Yanagisawa

Director, Head of Futures, Clearing and FX Prime Brokerage

Citigroup Global Markets Japan Inc.

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