「店頭衍生性商品集中結算機制－LIBOR替代利率指標改革計畫之國際趨勢及證券櫃檯買賣

中心交易確認平台」專題研討會

臺灣期貨交易所

108年10月17日

活絡期貨交易服務實質經濟避險增益價格發現

議程

壹、報告事項

有關LIBOR替代利率指標改革計畫(Benchmark Regulation, BMR)之國際趨勢，

謹報請公鑒。

貳、討論事項

有關本公司規劃之交易確認登記平台，證券櫃檯買賣中心TR系統將新增確認功

能，相關規劃方案，謹提請討論。

參、臨時動議

肆、散會

1

壹、報告事項

2

有關LIBOR替代利率指標改革計畫(Benchmark

Regulation, BMR)之國際趨勢，謹報請公鑒。

3

Change is on the horizon

Benchmark Reform – Taipei Workshop

October 2019

Contents

Agenda

Sionic Introduction

Why Benchmark Reform?

Impacts, Challenges & Approach

Q&A

5© Sionic sionicglobal.com

sionicglobal.com© Sionic

At a Glance

In April 2019 Sionic Advisors and Catalyst merged to offer world-leading consulting delivery, advisory and learning and development

– specialising in financial services.

6

We offer our clients specialism at scale.

Our Company Our Team Our Clients

Professionals

300+

Average years of

industry experience

across Managing

Partners

25

Proven associates

with whom we work

50+ Of our clients have

commissioned more than

one project with us

75%Client

Relationships

in the last 10

years

300+

Assignments

in last 10 years

500+Recognised for

organisational change

2015 Queen’s Award

for Enterprise

Combined years

since company

establishment

30Office locations, with

more planned to open

in 2019

13

Active engagements

with the top 100 global

banks

75%Average years of

Industry Experience

across consulting

staff

15

sionicglobal.com© Sionic

Benefits for our ClientsOur merger has resulted in us being able to provide the best of both worlds for our clients: we have a truly global reach and expanded

capability in both sell-side and buy-side disciplines.

7

We have more senior, higher quality resource and greater delivery expertise at better value than any competitor.

Deeper domain expertise at twice

our previous scale

We now cover all key continents

and geographies

Increased breadth and depth of

expertise across Banking, Asset

Management and Wealth

Management

Proven expertise in strategic

technology, financial crime,

compliance, data and digital

transformation

Leaders in people dimensions of

change and Learning &

Development specialisms

USANew York

CANADAToronto

UNITED KINGDOMLondon

INDIAMumbai

Chennai

Bangalore

SWITZERLANDZurich

Geneva*

SINGAPORE

SPAINMadrid

SWEDENStockholm LITHUANIA

Vilnius

JERSEY

COLOMBIABogotá*

* = Office opening in 2019

HONG KONG*

LUXEMBOURG*

AUSTRALIASydney*

JAPANTokyo

…with global presence and peer group perspectivesEnhanced capabilities…

TAIWAN

Taipei

Taiwan Office Proposed 2020

sionicglobal.com© Sionic

Our Capability

We bring specialism to consulting delivery, advisory and learning & development assignments across a wide and often

connected range of disciplines.

8

Our broad, informed and connected network can accelerate change – covering the full spectrum of front-to-back

disciplines.

= where we

can help

Client Service

Product Proposition

Risk & Control

Finance & GL

Operations

Compliance & Crime

Legal & Advisory

Pre & Post-Trading

Learning & Development

Organisational Design

Technology

Mergers & Acquisitions

Target Operating Model

Distribution Strategy

Corporate &

Investment Banking

CCPs

& Exchanges

N/A

AssetManagement

WealthManagement Insurance

Why Benchmark Reform?

© Sionic sionicglobal.com

The LIBOR Scandal

10

• 2005 to 2009: evidence that Barclays tried to manipulate Libor and Euribor,

widespread collusion across London, New York and Tokyo:

“duuuude…what’s up with ur guys 34.5 3m fix…tell him to get it up!!”

• April 2008, Barclays and BBA:

“We’re clean, but we’re dirty-clean rather than clean-clean”

“no-one is clean-clean”

• November 2008 (post Lehmans), BBA issued a draft document about how Libor

should be set.

• 2011: RBS sack four people for their roles in the Libor-fixing scandal

• 2012: Deutsche, HSBC, Citi, JPM and UBS face questioning in US

• 2015: Tom Hayes ex-UBS and Citi trader jailed for 14 years

© Sionic sionicglobal.com

The LIBOR Scandal – official response

11

• 17th July 2012, Ben Bernanke Fed Reserve chairman:

“Libor system is structurally flawed”

• 10th August 2012, Martin Wheatley, the UK FSA’s managing director said trust in

Libor “needs to be repaired” and the current system is “no longer viable”.

• 18th August 2012, UK Treasury Committee, the MPs blamed bank bosses for

“disgraceful behavior”.

• 28th September 2012, report by the UK’s FSA:

o BBA would no longer administer Libor;

o Replaced by a data provider (Bloomberg / Reuters) or a regulated exchange;

o The Libor system was “broken” and suggested its complete overhaul;

o Criminal prosecutions for those who manipulate.

© Sionic sionicglobal.com

LIBOR - Fines Paid to Date

12

$2.5 Bln

$1.5 Bln

$0.5 Bln

0

$2.5 bln$2.4 bln

$1.5 bln

$1.27 bln

$1 bln

$892 Mln

$669 Mln

$205 Mln

sionicglobal.com© Sionic

Benchmark Reform - Jurisdictional Timetables

13

2013 2015 20172014 2016 2018 2019 2020 2021

July 2013IOSCO Principles for

Financial Benchmarks were published

April 2015The Study Group was established in Japan to identify the preferred JPY alternative RFR

March 2015The Working Group on

Sterling RFRs was formed to identify the preferred GBP alternative RFR

June 2017SOFR was selected as the

preferred alternative RFR for USD

April 2017SONIA was selected as the

preferred RFR for GBP

Q4 2021LIBOR looking to be

discontinued

2019-2021Phased transition of financial instruments referencing LIBORs

could begin

July 2014FSB published report

Reforming Major Interest Rate Benchmarks

November 2014ARRC convened in

the US to identify the preferred USD alternative RFR

December 2016TONAR was selected

as the preferred alternative RFR for

JPY

Q1 2018Working group expected

to be established in Canada on RFR reform

Q2 2018New rate published

Futures launched in Chicago

September 2017Working group was established in

Europe to identify the preferred EUR alternative

sionicglobal.com© Sionic

Regulatory Evolution

14

Safeguards to the financial system include mandatory clearing of OTC products

2008 2009 2010 2011 2013 2015 20172012 2014 2016 2018 2019

September 2008:

Lehman default,

Global Financial

Crisis

September 2009: G20 Commitments –

“All standardised OTC derivative

contracts should be traded on exchanges

or electronic trading platforms, where

appropriate, and cleared through central

counterparties by end-2012 at the latest.

OTC derivative contracts should be

reported to trade repositories. Non-

centrally cleared contracts should be

subject to higher capital requirements.”

July 2010:

US Dodd Frank

Act

April 2012: Global

CPMI-IOSCO Principles

for Financial Market

Infrastructures (PFMI)

October 2012:

Japanese

Clearing Mandate

September 2013:

Final stage of US

Clearing Mandate August 2016:

CPMI-IOSCO

Resilience and

Recovery of

CCPs

March 2017:

BCBS Margin

rules for non-

cleared trades

(first wave)

January 2018:

European MiFID

II

July 2019: Basel

III – large

exposures,

Interest Rate in

Banking Book etc

(Hong Kong)

August 2012: EU

proposals European

Markets Infrastructure

Regulation (EMIR)

2020 2021

Uncleared

Margin Rules

Discontinuation

of LIBORJune 2016:

EU Clearing

obligation

© Sionic sionicglobal.com 15

Regulatory or Structural Change: Why is this so different?

There are many more areas of the bank impacted, given LIBOR is hardwired into all manner of financial activity across all financial

institutions big and small

$370 trillion worth of financial contracts currently outstanding

LIBOR has played a central role in financial markets for approximately 40 years and permeates through the life cycle of millions of transactions

Systems, processes and workflows are a mixture of manual, semi-manual and automated processes as a result of legacy technologies, enhanced via a mixture of add-ons, patch work and bolt-on tools (both in-house and external)

Uncertainty as to whether LIBOR will exist post 2021, given the UK’s FCA has stated it would no longer persuade or compel (but not force) FI’s to make LIBOR submissions

The new benchmark Risk Free Rates (RFR’s) across currencies are a mixture of secured and unsecured rates which are unlike other new regulations that focus on achieving as much standardisation as possible

Market

size

Legacy

impact

Operating

model

Market reaction

Timings

© Sionic sionicglobal.com 16

Where are Participants at to Date?

• 76% have, at the very least, started internal discussions on the transition from LIBORs to alternative RFRs.

• However, there is a gap between the high level of awareness and concrete steps being taken to prepare for adoption of the

alternative RFRs

11%

12%

53%

24%

Program Mobilisation

Allocated budget & resources for the program

Developed a preliminary project plan

Initiated internal discussions

No

“87% of survey participants indicated they are concerned about their exposure to LIBORs”

SOURCE: ISDA, AFME ICMA IBOR survey June 2018

© Sionic sionicglobal.com 17

Where are Participants at to Date?

ISDA, AFME ICMA survey June 2018

1%

1%

5%

15%

32%

35%

64%

72%

72%

Tax

Governance and controls

Regulatory

Accounting

Infrastructure (data technology & operations)

Legal

Creating adequate liquidity across products

Widespread market adoption of RFR

Valuation & risk management…

Top Challenges

• How to best transition from LIBOR to RFRs and then make sure there is wide-spread adoption are top of the list for the majority

of market participants

“87% of survey participants indicated they are concerned about their exposure to LIBORs”

© Sionic sionicglobal.com 18

Where do Differences & Similarities Lie

Jurisdiction Working Group Alternative

reference rate

Rate name Administrator Collateralisation Publication

date

Description

Working group

on sterling risk

free reference

rates

SONIA

Sterling

Overnight

Index Average

BOE Unsecured

Reformed

23/04/2018

Legacy

31/03/1997

Unsecured rate that

covers overnight

wholesale deposit

transactions

Alternative

reference rates

committee

SOFR

Secured

Overnight

Financing

Rate

Federal

Reserve Bank

of New York

Secured 02/04/2018

Secured rate that

covers overnight repo

market segments

The national

working group of

CHF reference

rates

SARON

Swiss

Average Rate

Overnight

Six Exchange Secured 22/09/2009

Secured rate that

reflects interest paid

on interbank overnight

repo

Study group on

risk free

reference rates

TONAR

Tokyo

Overnight

Average Rate

Bank of Japan Unsecured 30/12/1992

Unsecured rate that

captures overnight call

rate market

Working group

on risk free

reference rates

for the Euro area

ESTER

European

Short term

Euro Rate

European

Central BankUnsecured October 2019

Unsecured rate that

captures overnight

wholesale deposit

transactions

Taipei Interbank

Bankers’

Association

TAIBOR (no

change)TAIBOR Central Bank Unsecured 2005

Unsecured rate that

captures overnight rate

market

Although new rates have been selected, harmonisation is still far from being achieved and subsequent regions are currently lagging

in the transition.

© Sionic sionicglobal.com 19

IBOR Transition - Actions to Date

Current activity

• The major currencies around the world (namely USD, GBP, CHF, YEN, EUR) via their established working groups have

selected their new Risk Free Rates (RFRs)

• The selected RFRs are at different maturity points, both in terms timelines and the levels of transactions referencing

these new rates

• But it’s important to remember that there is still heavy use of IBOR, including new contracts (e.g. there’s currently £60bn

in bond issuance that references sterling LIBOR, and matures post-2021).

• For instance: On the USD swaps side, there were 52 SOFR-linked trades in 2018 totalling $6.3 billion in notional value,

ISDA data show. There were more than 600,000 LIBOR-based trades totalling roughly $111 trillion in notional value

over the same span

From STIBOR to RFR

Proposed rate Advantage Disadvantage

Trans borrowing and lending Relatively large underlying volume – can be

viewed as a mid-price rate

Where there is a large spread between

borrowing and lending, volatility may increase

Trans. Borrowing Same structure as other RFRs More limited underlying volume

© Sionic sionicglobal.com 20

The ECB Approach

Response to ECB

CEO letter

Board-approved summary

Management level

responsibility

Questionnaire The launch of ESTER

EONIA will be calculated as the

ESTER plus a fixed spread, published T+1

On the July 3 2019, the ECB wrote to the CEOs of significant institutions regarding the imminent transition from EONIA to ESTER

to seek assurance that senior managers and boards understand the risks are taking appropriate action

© Sionic sionicglobal.com 21

UK Approach – Regulatory Checklist

A joint statement which identified a number of critical elements

Operational

Reliance

Bank Exposure

SMRC

Transition PlansRisk

Assessment

Dependencies

& Actions

Exit Strategy

Working Groups

New Business

Impacts, Challenges & Approach

© Sionic sionicglobal.com

Impact

Front Office• Determine any cut off dates after which IBOR linked products should no longer be available

• Consider new curve construction and risk management change

• Client outreach and communications

Treasury• Assess impact on cash flows settled after the reference rate changes

• Evaluate the impact of the transition on fallback provisions and existing hedge relationships undertake an impact assessment of their current economic and accounting hedges in order to assess potential exposure

Operations• Repapering is likely to be a greater challenge for cash products versus derivatives, given ISDA and industry bodies

have evolved the thinking around fallback arrangements on derivatives

• Firms holding intercompany loans & deposits that reference IBOR will need to be amended, impacting cashflows

Infrastructure

& IT

• Trade capture and booking systems will need to be updated to reflect the booking of trades which reference RFRs

• Large scale changes in legal documentation, models and curves, may introduce additional operational risk which needs to be understood and mitigated

Compliance

& Legal

• Legal input into firms needing to review and amend a wide range of contractual documentation (also under ‘Operations’). Fallback provisions across different documents especially for:

a) Issuer debt: need to address discontinuation of the rate / the replacement rate and impact investor payments

b) third party and inter company lending -provisions for interest rates will need to be reviewed and amended with accounting and funding implications assessed

c) derivatives -new/amended contracts

Risk

& Finance

• Impact on valuations & pricing on the EoD P&L from Day 1 & balance sheet impact across all affected products

• Impact on existing hedge relationships and hedge accounting. Given RFRs may not be consistently adopted across all types of contracts an economic mismatch could arise between a derivative and the underlying hedged exposure

23

It will be essential for all financial institutions to not only identify the key functions impacted, but to also identify where the key dependencies lie

© Sionic sionicglobal.com

Making the Transition: Identifiable Challenges

Market adoption

Valuation & risk

management

Liquidity

Ops & technology

change

Litigation reputation & conduct risk

Renegotiating repapering &

contracts

Accounting

Regulatory uncertainty

LIBOR

Transition

24

The transition from LIBOR to a new RFR will be a significant transformation effort for financial services firms and market participants that have extensive exposure to LIBOR-linked products and contracts

Where to Begin?

© Sionic sionicglobal.com 26

Senior Stakeholders of the Bank will be Impacted

• How confident am I that

my risk models are fit for

purpose for the new Risk

Free Rates (RFR)?

• Will our models be

sufficiently validated &

documented to the level

of detail and

standardisation now

required in the industry?

• Is my risk framework

sufficiently scalable to

identify and capture any

new risks and will this

have a impact of my

current operating model?

CRO

• Given the decades of

LIBOR use, am I aware

of all the legacy systems

impacted throughout the

bank?

• Is my current technology

scalable enough to cater

for these new RFR’s?

• If so, will I still need to

make changes to my

current architecture?

What is the time, cost

and effort required (given

I will need to cover both

LIBOR, the new RFR’s

and any basis in

between)

CTO

• Do I have a sufficient

level of time series data

to feed my models and

where within the bank is

this stored (if at all)?

• Do any of my data

processes need to

change to accommodate

the new data sets?

• Do new risk data/risk

factor mapping

processes need to be

created and if so, how

much effort is required

and where exactly?

CDO

• What are the additional

workflows being created

as a result of transitioning

to these new RFR’s?

• Are my current processes

and workflows agile

enough to handle the

large volumes of changes

in such short time

constraints?

• Do I have the skills set

and resources to be able

to document and report

on these new changes?

• Will I be able to repaper

all the outstanding

contracts en masse?

COOSionic

Solutions

• Gap analysis: Current vs

future state

• Supporting integration

programs/projects across

internal/vendor

technologies, workflows

& business processes

• Target Operating Models

(TOM) design

• Benchmarking: How am I

doing compared to my

peers

• Documenting of new

policies and procedures

• Key stakeholder mgt,

requirements gathering

and report writing

• Model risk validation &

documentation.

• Sionic Libor utility

© Sionic sionicglobal.com

27

Understand your Products

Risk Categories (rated 1 to 5) Loans Bonds Derivatives Securitisation

Product Complexity 5 3 2 2

Infrastructure challenges 4 3 3 2

Client Impact 4 3 3 1

Litigation Risk 3 5 3 3

Total 16 14 11 8

Loans

• Loans face significant infrastructure and client impact issues

• The majority of loans begin at fixed and then go to floating rate creating ‘Reversionary Rate Risk’

• There may be a whole host of unsophisticated investors who may not understand changes which could mean massive costs to banks

Bonds

• Bonds contain high levels of litigation risk

• It is often difficult for banks and issuers to know the identity of the end investor

• There are countries which are more stringent than UK law (i.e. US: Litigation funds)

Derivatives

• Derivatives are perceived to be leading the legacy charge via ISDA

• Although complexity is low-to-medium, volumes are high and models are complex – especially non-linear products

• Given the differing products and technologies, issues around workflows and processes may be challenging

Securitisation

• Securitisations have many more complexities than bonds, as there are many more parties involved

• There is also the subordination structure within securitisation itself and the credit ratings around them to consider

• Securiisations amortise, making it harder to accurately estimate outstanding's, the industry has been quick to change

Your project plan to transition from Libor to RFRs shouldn’t be purely based on the products themselves

© Sionic sionicglobal.com 28

Legacy Products Risks

Product complexity

Infrastructure

challenges

Client Impact

Litigation risk

Bonds

Derivatives

Securitisation

These four risks categories may fall into four (interlocking) categories

How complex is it to change the terms of

products to risk-free rates (RFRs)?

How difficult is it to change systems, models,

processes associated with the product?

How difficult is it not to leave the clients worse

off?

The likelihood of facing disputes and legal

challenges?

© Sionic sionicglobal.com 29

The Communication Between Banks and Clients is key

Client Transitioni

ng

Phase 1

Client outreach

Phase 2

Sampling due

diligence

Phase 3

New policies

Phase 4

Client consent

Banks must reach out to their clients to inform them

of the impending changes. This could be supported

by relevant documentation, Q&As and FAQs

Banks should work out some

sampling due diligence to

understand the particular issues

affecting them as a institution

This should in turn help the bank shape their

policies, including whether and how to perform more

extensive due diligence

Gather the necessary

consent to transfer all legacy

deals from LIBOR to the new

near Risk-Free Rate (RFR)

Banks must play a key role in communicating the Libor transition message to their clients, but also walking them through what the end of 2021 will look like

EU Benchmark Extra-territoriality

sionicglobal.com© Sionic

EU Extra-territoriality

In order for Term Reference Rates to be used by EU-based entities, authorisation is required under the EU Benchmark Regulations (BMR).

There are three possible options for this authorisation for non-EU Administrators - Equivalence, Recognition, or Endorsement:

• Equivalence – concerns about whether equivalence will be available or in place by 2021. Some countries are already proceeding (e.g. Australia);

• Recognition - requires an EU-based legal representative, none has yet successfully engaged a representative. Additionally, there are issues with identification of Member States of reference. Accordingly, it is likely that many non-EU Administrators will be unable to receive recognition by 2020; or

• Endorsement – the final option that requires non-EU Administrators to “engage” with an EU-based benchmark administrator, which would “supervise” administration of the endorsed third-country benchmark. This appears to be the most viable option and easiest to implement.

31

Conclusion

© Sionic sionicglobal.com 33

Conclusions

• Wide-ranging change impacting all financial institutions;

• Impact across many business lines and divisions, ensure full engagement;

• Client impact potentially significant;

• Coincides with other regulatory change – Uncleared margin, Basel III etc;

• Requires careful planning:

o Prioritise via risk assessment;

o P&L estimate;

o Use of tools to interrogate database;

o Client out-reach.

Q&A

© Sionic sionicglobal.com

m:

o:

m:

o:

35

Christian LeePartner

+44 (0) 7583 259 357

+44 (0) 20 7842 4800

Christian.Lee@sionicglobal.com

111 Old Broad Street

London EC2N 1AP

United Kingdom

Sean CooteDirector

+44 (0) 7776 001 926

+44 (0) 20 7842 4800

Sean.Coote@sionicglobal.com

111 Old Broad Street

London EC2N 1AP

United Kingdom

Sean has unique practical experience

covering sell side, buy side and CCP

clearing operations. His derivatives

expertise is based on over 25 years in

senior operations and project

management positions.

He has consulted extensively for

banks and CCPs including assisting a

CCP in launching an OTC service.

He has also set up clearing

operations for clearing brokers

covering harmonisation and

implementation of both SCM and

FCM models

Christian is head of Catalyst’s

Clearing, Risk and Regulatory

practice.

He has advised many clients on the

impact of regulatory change since

the 2008 crisis.

He has led and overseen multiple

assignments for many exchanges

and CCPs across the globe

providing advice on how to

implement clearing strategies.

A risk manager by training, prior to

joining Catalyst he headed up

the SwapClear risk team and was

responsible for the successful wind-

up of the Lehmans OTC portfolio in

2008.

Taifex Team Leads

Our teams consist of some of the world’s foremost clearing experts. It will be comprised of named

individuals to provide you with superior expertise and project delivery assurance.

sionicglobal.com© Sionic

Our clients

36

Over 80% of our engagements are repeat business.

Sell-Side Buy-Side

CCPs / Clearing Houses

We are trusted by over 100 clients, from both buy-side and sell-side.

Appendices

© Sionic sionicglobal.com 38

LIBOR Transition: Impact Analysis - Suggested Approach

Develop the business storyEmbed problem definition (and outcomes and benefits) to provide context, drive alignment, maintain perspective, focus our effort.

Use case based workshopsDrive out content around current state, gap analysis, target state. Develop process design criteria to set quality boundaries and any new technologies required

Define target stateDefine target state process flows & rules, identify and qualify the operating model implications, produce the roadmap / action plan

Sionic Engagement Model Methodology (EMM) is use-case led, and provides a structured framework within which to scope, analyse and define business processes

2. Initiate EMM

Identify use cases based on

LIBOR transition requirements.

Identify & detail the (processes)

to be delivered and/or

technologies to be implemented.

Identify the customers who

consume the outputs of the

processes, how they will

consume them and technologies

applied today

Identify the value levers that are

key to a successful outcome for

the consumers/the exchange e.g.

scalable technologies, control,

simplification and

standardisation.

5. Output

Document current process

delivery and any technology

implementation.

Identify high impact/high

dependency areas which require

improvements and the best

approaches

Define the process changes

required and any legacy

technology enhancements

undertaken

Call out trade offs in process

definition e.g. control vs.

efficiency.

Shape the process/technology

change to provide input for TOM

and Control Framework

requirements

1. Scope and Plan

Understand programme structure

and governance.

Socialise engagement model

methodology, process and

outcomes.

Check and validate any

dependencies with other internal

and external initiatives.

Create initial task lists and plan.

3. Define

Identify key decisions taken or

required to be taken that

influence process definition

and/or technology selection.

Define the core process delivery

(existing and new processes,

organisational units, people/roles,

technology/applications).

Identify the suppliers (internal

and external) and their roles in

the process.

Affected processes are cross

referenced to functional lines.

4. Detail

Detail how the

process/implementation is

managed.

Detail how the

process/implementation is

governed.

Detail how the

process/implementation is

regulated.

Detail how the

process/implementation is

improved.

Provide insight on how the

process and technology interacts

with other key elements of the

exchange’s portfolio.

© Sionic sionicglobal.com 39

Sionic’s LIBOR Utility

S-400 Machine learning-enabled document identification and management

OCR Proprietary-trained OCR model specific to the financial industry

Identify Search all document management systems, content and document

structures, self-learning to improve searches

Location Builds a storage “map” of your environment

Detection Structural components of document plus NLP/NLU content processing

Clause

extraction

Text and tables are stored in scalable database with map to original

document location, with one-click reference for negotiator reference

Progress

reporting

Negotiator status dashboard, original clause retained and newly

negotiated changes tracked

Document

updates

Automatic update of draft documents for review by parties

Cloud-based

or on-

premises

Cloud version is fully secured with inbound / outbound encryption. Full

on-prem version available to address data privacy concerns across

regions

IBOR reform will require replacement of

each IBOR with a new reference rate,

but the current reference rates are all-

pervading throughout a bank’s business

processes and operations.

Typical questions to be answered

about IBORs in the discovery phase:

• Which business functions use it?

• Which types of documents contain it?

• Where are these documents stored?

• Which products reference it?

• Which trading documents refer to it?

• Which client contracts reference it?

Sionic’s LIBOR utility will leverage off the Cognaize S-400 software. Summary capabilities are included in the table below.

© Sionic sionicglobal.com 40

Key Indicators for our Success

LIBOR to RFR

Operational Risk Assessments

(ORA) & Impact analysis

Technology and operations

design

Regtech/ AI vendor selection

Data mgt, process

optimisation & repapering etc

Risk analytics including Model

risk management

Vendor Implementations

Project governance &

stakeholder

management lies at

the heart of all our

engagements

• We bring together regulatory interpretation with technology & operational know-how to produce successful outcomes

• To deliver LIBOR transition efficiencies careful thought around where to centralise and standardise operational

workflows/processes will be vital

• We work with our clients to identify best fit technologies (including regtech) and TOM design across data, operations,

documentation, risk, regulations and reporting prior to optimising the implementation process

© Sionic sionicglobal.com 41

We Deliver Change by Creating Broader Synergies

Understanding your key

bank technologies data, models

and processes

Providing knowledge around the

key dependencies

of LIBOR & challenges

Delivering key due diligence,

risk technology &

SME

Market leading

programmemanagement,

change & governance

• Our staff have come from financial market and risk technology backgrounds who understand the key components that impacts a LIBOR transition and the differences between the current state and future state

• Understanding the key dependencies and impacts allows Sionic to better address the challenges when meeting our clients individual requirements

• Decades of experience has allowed Sionicto better understand our clients current frameworks while sharing the knowledge that transitional challenges will create within markets

• Sionic can identify which technology components should be best leveraged for our clients needs while making sure data, analytics, processes and workflows are correctly captured, governed & reported

• Sionic has developed a deep history and experience of running and managing complex risk, technology & operational programmes on time and on budget. Our combination of stakeholder management, governance frameworks and SME application, has enabled Sionic to consistently out deliver for our clientele

• Sionic has deep experience across

bank’s & exchange’s front-to-back

data models, workflows, processes

and technologies that should

underpin the organisation's risk and

operational framework

• We work with key stakeholders to

understand where gaps lie and the

current obstacles being experienced

We understand your current architecture, people and processes prior to positioning the right tools for change.

By working in blended, multi-disciplined teams we are able to combine experience and knowledge of financial markets & regulations with change expertise.

© Sionic sionicglobal.com 42

Why Sionic?

ProcessesOur teams put stakeholder management combined with the optimisation of key workflows at the heart of delivering critical projects

ExpertiseOur clients benefit from a wealth of expertise across the risk and regulatory space – many whom have worked in both capital markets and/or risk analytics & market vendor technology

Cost SavingsDelivering risk and regulatory projects on time and on budget without compromising the quality of standards expected

GovernanceWe apply rigor and structure across all our deliverables, setting the standards on how all projects today should be managed and delivered

Cost Savings

Processes

Governance

Expertise

At the heart of what we do is committed to delivering both technology and operational excellence through:

© Sionic sionicglobal.com 43

LIBOR - Blogs and Related Interviews

https://www.sionicglobal.com/opinion/ibor-to-rfr-transition-your-time-starts-now

https://www.sionicglobal.co.uk/opinion/from-libor-to-rfrs-avoiding-the-headache-of-herculean-change/

https://www.sionicglobal.co.uk/opinion/libor-reform-and-market-adoption-are-rfrs-friend-or-foe/

https://www.sionicglobal.co.uk/opinion/libor-reform-valuations-and-risk/

https://derivsource.com/2019/03/01/smart-contracts-what-will-drive-adoption-in-financial-derivatives-industry/?inf_contact_key=f793c107eb29bb70465a823d25d233b2680f8914173f9191b1c0223e68310bb1

貳、討論事項

44

有關本公司規劃之交易確認登記平台，證券櫃檯買賣中心TR系統將新增確認功能，相關規劃方

案，謹提請討論。

45

衍生性金融商品集中結算資訊傳輸服務

Taipei Exchange

選擇TPEx之優點一. 與TR使用相同作業平台，不需轉換作業環境

二. 申報方式與現行TR相同，不需變更作業模式

三. 一站式完成申報TR與傳送CCP作業，提升效率

四. 網頁式作業平台，可於所有電腦完成作業

五. 受主管機關規管之平台，安全性高

六. 收費合理，溝通便捷

47

適用商品

48

適用商品

49

一、陽春型利率交換(Plain Vanilla Interest Rate Swap, IRS)

資料來源：TAIFEX

(新臺幣)

50

資料來源：TAIFEX

適用商品

51

二、無本金交割遠期外匯(Non-Delivery Forward, NDF)

資料來源：TAIFEX

52

資料來源：TAIFEX

申報流程

53

54

交易方A

TPEx TR(查詢結算狀態)

交易方B

TAIFEX

CCP

❸傳送資訊(雙方同意)

❻回報結果(接受、拒絕、暫緩)

❶申報新作

❶申報新作

❷比對成功

結算會員1

結算會員2

❹檢查額度

❺回覆

❹檢查額度

❺回覆

額度不足通知

額度不足通知

自動變更交易對手為CCP

❼接受：變更對手

申報CCP流程

申報流程

55

步驟 說明

❶ 交易雙方透過TR系統申報交易資訊

❷ 經TR系統比對必要欄位後，雙方即完成TR申報

❸ 若雙方皆同意傳送CCP，本中心將傳送結算資訊至TAIFEX

❹&❺ TAIFEX接受資料後將會進行內容檢查，並回覆TR系統結算狀態

❻

TAIFEX回覆之結算狀態分為三類：接受、拒絕以及暫緩

接受：符合TAIFEX資料規範且額度充足者

拒絕：非期交所接受之商品

暫緩：額度不足或保證金不足

❼TAIFEX成功接受結算後，TR系統將雙方交易對手變更為CCP，免自行申報

註：狀態分類及原因將依期交所公告為準。

申報格式

56

申報格式一. 完全無需傳送CCP：維持原方式申報即可

1) IRS使用格式：IRS (陽春型利率交換商品)

2) NDF使用格式：FXD (匯率相關衍生性商品)

二. 部分或全部需傳送CCP：皆使用新格式方式申報

1) IRS使用格式：IRS_CCP

2) NDF使用格式：FXD_CCP

舉例：10筆IRS交易中，有5筆要送CCP，5筆不需送CCP，則此

10筆交易全部使用新格式申報即可，不需拆分不同格式申報。

57

IRS_CCP格式(暫訂)

58

CCP資訊

40 透過TR傳送交易至CCP X(1)

1：傳送至臺灣期貨交易所

【檢核】僅「商品類別」為1者可填報本欄。 Y

Z：不傳送

41 結算會員 (依TAIFEX公告)

42 浮動利率定價日 X(1)

1：各計息週期開始當日 1. 依臺灣期貨交易所公告之集中結算商品規格，

「浮動利率定價日」為「各計息週期開始當

日」或「各計息週期開始前2個營業日」。

2. 「透過TR傳送交易至CCP」為Z者免填。

Y

2：各計息週期開始前2個營業日

43浮動利率端定價日之金融中心

X(10) 依「金融中心代號一覽表」輸入1. 參照「金融中心代號一覽表」。.2. 「透過TR傳送交易至CCP」為Z者免填。

Y

44浮動利率端支付日之金融中心

X(10) 依「金融中心代號一覽表」輸入1. 參照「金融中心代號一覽表」。.2. 「透過TR傳送交易至CCP」為Z者免填。

Y

*本表僅條列CCP相關資訊，其他欄位請參考本中心公告格式。

FXD_CCP格式(暫訂)

59

CCP資訊

23 透過TR傳送交易至CCP X(1)1：傳送至臺灣期貨交易所

【檢核】僅「商品類別」為1者可填報本欄。 Y

Z：不傳送

24 結算會員 (依TAIFEX公告)

25 結算匯率 X(1)

1：台北外匯經紀公司於台北時間11:00公布之匯率 1. 依臺灣期貨交易所公告之集中結算商品規格，

「結算匯率」為「台北外匯經紀公司於台北時

間11:00公布之匯率」或「中國人民銀行(PBC)

於北京時間9:15公布之匯率」或「Seoul

Money Brokerage Service Limited(SMBS)於

首爾時間15:30公布之匯率」。

2. 「透過TR傳送交易至CCP」為Z者免填。

Y2：中國人民銀行(PBC)於北京時間9:15公布之匯率

3：Seoul Money Brokerage ServiceLimited(SMBS)於首爾時間15:30公布之匯率

26評價日是否為營業日之相關城市

X(10) 依「金融中心代號一覽表」輸入1. 參照「金融中心代號一覽表」。.

2. 「透過TR傳送交易至CCP」為Z者免填。Y

27結算日是否為營業日之相關城市

X(10) 依「金融中心代號一覽表」輸入1. 參照「金融中心代號一覽表」。.

2. 「透過TR傳送交易至CCP」為Z者免填。 Y

28 評價日與結算日間隔天數 X(1)

1：2個台北營業日 1. 依臺灣期貨交易所公告之集中結算商品規格，

「評價日與結算日間隔天數」為「2個台北營業

日」或「2個北京營業日」或「2個首爾營業

日」。

2. 「透過TR傳送交易至CCP」為Z者免填。

Y2：2個北京營業日

3：2個首爾營業日

*本表僅條列CCP相關資訊，其他欄位請參考本中心公告格式。

申報時限

60

申報時限一. 交易資料

1) 申報期限：t+1日前

2) TR開放申報時間：每日09:00~17:00

二. 集中結算資料

1) 申報期限：交易完成後1小時內(依期交所公告)

2) 期交所接收時間：每日09:00~16:00(依期交所公告)

3) TR開放申報時間：每日09:00~17:00，逾16:00之集中結算資

料將於次一營業日09:00傳送期交所。

61

申報方式

62

申報方式(單筆新增或整批匯入)

63

撤回傳送CCP

64

65

交易方A

TPEx

TR

交易方B

TAIFEX

CCP

❸傳送撤回要求

❹回報結果(成功or失敗)

❶撤回傳送CCP

❶撤回傳送CCP

❷雙方同意

撤回傳送CCP

僅限申報狀態為暫緩之交易(註)

註：相關作業流程及方式依TAIFEX公告為準

作業控管

66

功能及權限控管

67

一. 傳送CCP功能：可設定為自動或手動放行 自動放行：資料上傳至TR，經比對成功及雙方均表示傳送CCP，TR

將自動傳送資料至CCP。

手動放行：資料上傳至TR，經比對成功及雙方均表示傳送CCP ，由

放行人員逐筆放行傳送至CCP。

自動放行功能須由具權限人員設定(預設為手動)

二. 人員控管設定：可指定作業人員不同權限 TR申報權限：具申報資料至TR之作業權限

CCP放行權限：具放行交易至CCP之權限

CCP撤回權限：具撤回CCP交易之權限

感謝聆聽Q&A

68

櫃買中心債券部賴偉聖 Tel:02-2366-8003 Email:willLai@tpex.org.tw

李彥穎 Tel:02-2366-5966 Email:Kellie@tpex.org.tw

參、臨時動議

69

肆、散會

70