Course description
IBOR Transition
Money market interest rates are at the very core of financial markets – they are highly important to all market participants as well as private individuals, companies and governments.
This hands-on workshop will equip you to understand how money market rates (IBOR in particular) are used to price derivatives, as well as giving you insights into their related problems and the transition process to new indices.
The programme begins by providing a brief overview of the history and problems of LIBOR, and moves on to explaining the roles of money market indices, yield curves and discount curves. The latter part of the programme focuses on how to manage the IBOR transition process – starting with the first transition process around the time of the financial crisis – and explores the next phase of movements away from IBOR (including SOFR). The impact on funding, trading books and risk management, and documentation and execution issues are also covered.
Upcoming start dates
Suitability - Who should attend?
This course is designed for anyone who is involved either in funding (borrowing or lending) or in using, pricing or managing the risk of money market instruments or derivatives, in particular:
- Interest-rate/derivatives sales, traders, structurers and quants
- Bank Treasury and other Asset Liability Management executives
- Corporate treasury executives and investment managers
- Central Bank and Government Treasury Funding managers
- Risk managers, finance, IPV professionals, auditors and accountants
Outcome / Qualification etc.
This course is eligible for CE/CPD credit hours from CFA and GARP Institutes.
Training Course Content
Day One
A brief history of XIBOR money market indices
- The fixing process
- LIBOR/EURIBOR through the financial crisis
- The ‘LIBOR fixing’ scandal and fall-out
- The Wheatley report and recommendations
Case Study: Analysis of the LIBOR manipulation and ‘lowballing’ scandal
LIBOR transition #1 – the rise of OIS
- Why OIS is the right choice for the discount curve
- Why OIS and LIBOR co-exist as a two-track system
LIBOR transition #2 – the new RFRs
- What is wrong with the existing RFRs (EONIA, Fed Funds, etc.)?
- Why replacing LIBOR will be a major challenge
- Secured vs. unsecured
- Desirable features of a ‘better’ RFR
Introducing SOFR
- Calculation process for the daily fixing
- Fallback/replacement language for legacy LIBOR-linked transactions
- Creating synthetic term rates
Introducing ESTER
- How it differs from EONIA, EONIA-ESTER spread
- Likely MTM impact of the transition for end-users
RFR transition plans in other currencies (GBP, JPY, CHF)
Building market acceptance of the new indices
- SOFR-linked new issues
Case Study: Analysis of recent EIB SOFR-linked FRN
SOFR futures and swaps
- SOFR Futures on CME (3mo and 1mo contracts)
- Settlement calculation at expiry
- SOFR swaps (outrights and basis swaps)
- Fallback provisions for floating-rate fixings and reference curves
Case Study: Settlement calculation for 3mo SOFR contract
Course delivery details
Courses are delivered in the London classroom and live online via LFS Live in London, New York, and Singapore time zones.
Please contact LFS for more details.
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