Professional Course

IBOR Transition

London Financial Studies, In New York City (+1 locations)
1 day
1,400 USD
Next course start
14 June, 2024 (+2 start dates)
Classroom, Virtual Classroom
1 day
1,400 USD
Next course start
14 June, 2024 (+2 start dates)
Classroom, Virtual Classroom
This provider usually responds within 48 hours 👍

Course description

London Financial Studies

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.

Upcoming start dates

Choose between 2 start dates

14 June, 2024

  • Virtual Classroom
  • Online
  • English

Please contact LFS

  • Classroom
  • New York City

Who should attend?

London Financial Studies is registered with CFA and GARP Institute as an Approved Provider of continuing education programs. GARP & CFA Institute members attending this course are eligible for 16 CE/CPD credits. 

Training 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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