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SFI Partner Event - The Future of LIBOR: SARON as the Swiss Franc Alternative

It is our pleasure to announce the joint SIX Swiss Exchange and SFAA Swiss Bond Commission event «The Future of LIBOR - SARON as the Swiss Franc Alternative». Register now for this partner event where Swiss Finance Institute acts as knowledge partner and SFI Scientific Council Member Professor Darrell Duffie, Stanford University, talks about «The relevance of reference rates for financial markets and how to transition to new ones».

Topic 

The Future of LIBOR: SARON as the Swiss Franc Alternative
On 27 July, the UK’s Financial Conduct Authority announced that it will no longer persuade, or compel, banks to submit to LIBOR after 2021. This leaves LIBOR with a highly uncertain future. However, there are alternatives. The announcement on the future of LIBOR comes after years of intensive work in the field of nearly risk-free benchmark rates (RFRs). In Switzerland, the National Working Group on Swiss franc (CHF) Reference Rates (NWG), co-chaired by a representative of the private sector and a representative of the Swiss National Bank (SNB), is guiding the reform process. A major decision was made recently with the recommendation that the TOIS fixing (which will be discontinued at the end of 2017) be replaced by SARON, an overnight secured rate established in 2009. SARON is directly based on transactions and binding quotes. It is administered by SIX Swiss Exchange and is compliant with international standards for benchmark rates (IOSCO Principles). Now, with the LIBOR facing an uncertain future after 2021, SARON is even more in the focus of CHF financial markets. This event is targeted at a broad audience. The aim is to present the most recent developments in Switzerland and other major marketplaces. First-hand information will be delivered on new reference rates, their advantages, and their potential impact on current and new financial contracts. There will also be a round-up of past and expected future developments in the area of reference rates.

Speaker 

The line-up of speakers brings together some of the most prominent figures in the domestic and international discussion on reference rates:

  • Darrell Duffie is a Professor of Finance at Stanford University, a member of the SFI Scientific Council and an internationally renowned expert on financial market theory and regulation. He chairs the FSB Market Participants Group on reference rates and has published extensively on reference rates. Darrell Duffie will talk on the relevance of reference interest rates for financial markets, assess the choices made so far and discuss challenges in transitioning to new reference rates.
  • Dewet Moser is an Alternate Member of the Governing Board of the SNB. As such, he is responsible for the operational management of Department III, which includes Money Market and Foreign Exchange, Asset Management, Banking Operations, Information Technology and the Singapore branch office. He co-chaired the NWG and represented the SNB in different international bodies working on benchmark reforms. He will provide an overview of the international reform process coordinated by the FSB. He will also talk about the importance of benchmarks for monetary policy.
  • Martin Bardenhewer is Head of Financial Institutions & Multinationals at Zürcher Kantonalbank and co-chair of the NWG. He will provide some background on the adoption of SARON as the CHF RFR. He will set out the advantages and opportunities offered by the new market-based reference rate, and explore the remaining challenges in establishing the relevant instruments and markets.

Date

Friday, 22 September 2017

Program

10:45      Registration                                                                            
11:00
 
Opening Remarks
Representative of SFAA Swiss Bond Commission
11:05

 
Introduction
Martin Bardenhewer, Co-chair National Working Group on Reference Rates
11:15

 
The international reform process so far and the importance of benchmarks for monetary policy
Dewet Moser, Alternate Member of the Governing Board of SNB
11:35

 
The relevance of reference rates for financial markets and how to transition to new ones
Darrell Duffie, Professor of Finance, Stanford University
11:55


 
The adoption of SARON as the major CHF risk free benchmark rate: background and challenges
Martin Bardenhewer, Co-chair National Working Group on Reference Rates
12:15Q&A
12:30
 
Closing remarks
Representative of SIX Swiss Exchange
12:35Light Lunch


Location

SIX Swiss Exchange, ConventionPoint, Pfingstweidstrasse 110, 8005 Zurich

Registration

**Please note that this event is fully booked. You are welcome to register for the waiting list via the following link. You will be contacted if there are free places available.**

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