IBOR Transition

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 program 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 program 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.

The Course is For

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

Prior Knowledge

Basic knowledge of Microsoft Excel and a general understanding of financial markets and money markets are assumed.

Comprehensive teaching on fixed income markets and bond maths takes place in the LFS Fixed Income Markets & Analytics course.

More advanced topics, including pricing/managing risk of interest rate futures, swaps, options, and cross-currency derivatives, are covered in the LFS Interest Rate Derivatives and Swapscourse.