IBOR TANSITION WORKSHOP
Course Duration
We can build a course around your specific requirements and deliver the course to fit your schedule
Location
Under current guidelines we are delivering all our corporate courses via online webinars
Accreditation
Our courses are accredited by the CISI. A one-day Course gives the delegate 6 CPD points
Presenters
Industry Practitioners will be presenting the course. A real focus on industry challenges and real solutions being used by the industry.
Cost
Our pricing is competitive. Please contact us to discuss futher
Programme
The contents can be tailored to your specific focus areas and address your key challenges. Example below.
Example Learning Objectives
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Understand and quantify your exposures to IBOR and establish what needs to be done to facilitate the transition
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Learn how the futures and swaps market is generating liquidity and how they can be used as the basis for a new term structure
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Learn how to structure a Programme and effectively manage risks arising from practical case studies
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Establish an IBOR project team with a clear roadmap and responsibilities to deliver a timely and organized transition
Who should IBOR training?
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C-Level Officers
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Project Managers
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Risk Managers
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Treasurers
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Asset Managers Broker/Dealers
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Insurance Companies
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Corporates
Example Programme
Session1 - From LIBOR Scandal to RFRs
Introduction:
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LIBOR, where it all began and the BBA first official fix
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GFC and Switch to OIS discounting and multi-curve pricing
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LIBOR rigging scandal
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The lack of liquidity in LIBOR transactions
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Regulatory responses: IOSCO principles, FCA “Dear CEO” letter, LIBOR reform and EU Benchmark Regulation
Regulatory Backdrop:
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Formation of benchmark committees e.g ARRC
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The new replacement RFRs/ARRs and adoption in major currencies (SOFR, SONIA, ESTR, SARON, TONAR)
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Regulatory response to “Dear CEO” letter
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Exposure analysis requests from FCA/PRA
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Managing dependencies from parallel regulations: Basel IV, FRTB, CRD5, IRRRBB.
CASE STUDY – Review of 2 Issuances in SOFR and Sonia
Session 2: Operational Readiness
Deeper Dive into Alternative Reference Rates:
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Backward-looking overnight rates, and T+1 fixings
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Coupon calculations – Compounding vs Averaging
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Challenge of backward-looking overnight indices vs forward-looking LIBOR
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Observation methodologies
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Coupon Flooring
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Term structure and how to build a curve
Client communication:
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Conduct Risk
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Challenge of clients acceptance of updated fallbacks
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Compensation procedure (margin changes, non-acceptance of fallbacks)
CASE STUDY – Analysis of Programme structure adopted in Tier 1 Sell-side firm
Session 3: Product Developments and Pricing
CCP Discounting Change:
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Proposed ESTR and SOFR discounting changes
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Net exposure amendments –margin / PAI changes
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Compensatory swaps (basis swaps or cash equivalent)
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Valve Adjustment
Documentation: Fallbacks:
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Limitations of current ISDA 2006 fallback language
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Proposed fallback changes and ARRC recommendations
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Estimating the spread adjustment
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Trading the fallback SOFR-LIBOR basis vs spread assumption
CASE STUDY – Review of Fallback language in recent issuances and securitizations
Session 4: Key challenges and next steps
Transitioning the Legacy book:
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Valuation Adjustments, XVA and the PnL impact
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Effect of Fallback changes
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Discounting, Valuation, and OCA curves
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Transition Strategy and dealing with Tough Legacy
Programme Structure:
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The buy-side, sell-side and corporate treasury challenge
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Assessing the pace of adoption via MI
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Impending milestones and expected impact
CASE STUDY – Practical demonstration of SOFR swap migration covering curve mechanics and comparison by CRZ Pricing
Closing comments:
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Recap of key points and milestones
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