November 1, 2020 - January 29, 2021

The transition from LIBOR to alternative risk-free rates is approaching fast. With over $300 trillion in loans and derivative contracts globally tied to LIBOR, its sunset will affect borrowers, lenders and intermediaries alike – including banks, insurers, asset managers, investors, corporations and mortgage borrowers. Across all organizations LIBOR transition will impact front office, risk management, information technology, middleand back-office functions. Managements will have to address the impact of new risk-free interest rate benchmarks and re-negotiate existing contracts and commitments.

Yet, much of industry stakeholders are not well-prepared. This program is designed to fill the knowledge gap regarding the LIBOR transition and prepare participants to address the multitude of challenges they are likely to face over the next year.

Program Structure and Key Aspects

  • Flexible and self-paced based on participant knowledge, functional area and time availability.
  • 30+ sessions of 30-minute duration with adaptive concept checks – total instruction 15 hours.
  • Live discussions and Q&A sessions with program experts and industry leaders.
  • Real quantitative and operational case studies.
  • Completion certificate at the end of the program.

Program can be completed in two weeks (intensive structure) or up to 12 weeks (extended structure).

Schedule and Duration

Sessions are self-paced with 15-minute supplemental concept checks and case studies.

Module 1: FOUNDATION – 8 Optional Sessions

Module 2: CORE – 16 Sessions

Module 3: Q&A with industry leaders

Module 4: MASTERCLASS – 8 Advanced Analytical Sessions (additional fee)

Who Should Attend

Traders • Front, Middle, and Back‑Office Professionals • Risk Managers • Financial Controllers • Investment and Portfolio Managers • Consultants • Project Managers

Program Coverage

Trading New Benchmarks and Market Liquidity
  • Trading and hedging strategies for new benchmarks and instruments
  • Tackling the volume logjam of cash vs. derivatives
  • Managing key dates and impact: FRBNY, ISDA protocol, CCP migration to SOFR
Operational Readiness
  • LIBOR transition project management
  • P&L and cash impact tracking
  • Internal and external communication
  • Real case study of successful issuer transition
Quantitative Challenges
  • Negotiating with derivative and other counterparts
  • Real-time quantitative impact estimates for negotiations
  • What-if analyses for planning and prioritization
  • Dynamic re-hedging of broken hedges with asymmetric counterparty redocumentation
Redocumentation Issues
  • Litigation risk assessment, prioritization, and mitigation
  • Addressing sector specific challenges and solutions for loans, residential and commercial mortgages and related instruments
Program Expert Faculty

Sanjay Sharma, PhD
Founder and Chairman, GreenPoint Global

Tim Glauner
Head of Capital Markets Global Solution Consulting for Americas, Finastra

Ann Battle
Head of Benchmark Reform, ISDA

Thomas Deas
Chairman, NACT

Expert access concludes

January 22, 2021

Session Schedule


Program Outline

Each class session will be 30-minute long supplemented with 15-minute concept check exercises.

Module 1: Concept Refresher

8 Sessions

  1. Conceptual Knowledge Assessment
  2. LIBOR Components and Current Usage
  3. LIBOR Transition Timelines and Challenges
  4. Interest Rate Fundamentals
  1. Overview of Financial Instruments, Derivatives and Impact of LIBOR Transition
  2. Dynamics of Interest Rate Swaps
  3. End-to-end Valuation Workflow for Interest Rate Swaps
  4. Construction of Interest-rate Curves
Module 2: Core Topics

16 Sessions

  1. Overview of LIBOR and How We Got Here
  2. Current State of Transition Across Fixed Income, Loans, Derivatives, MBS/ABS and Securitizations
  3. Mechanisms of ISDA Transition Fallback
  4. P&L Impact on Fallback Date and Its Implications on Collateral, Credit exposure and Tax
  5. SOFR & €STR Discounting and Price Alignment Changes for Cleared Swaps at Exchanges
  6. RFR Indices Across All Currencies Worldwide and Its Conventions
  7. Credit Component in LIBOR and SOFR Term Rates
  8. Adequacy of SOFR as a Replacement Rate and It’s Alternatives
  9. Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
  1. Management of Legacy LIBOR Swaps – Renegotiations, Re-bookings, Compressions, Fallback
  2. Impact on Interest Rate Option Products
  3. Essential Components of Impact on Risk Measures and Capital, and Regulatory Compliance
  4. Negotiation and Documentation of Legacy Contract
  5. LIBOR Transition Project Management and Keys to Success
  6. Avoiding and Managing Quantitative Risks of LIBOR Transition
  7. 10 Common Misconceptions in LIBOR Transition and Addressing them
Module 3: Q&A with Industry Leaders

8 Sessions

Module 4: Quantitative Master Class

8 Sessions (additional fee)

  1. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  2. Build the Short End of the RFR Curve and Cross-Currency Basis
  3. Build the Long End of the RFR curve and Cross-Currency Basis
  4. Smooth Interpolation with Various Interpolation Techniques
  1. Pitfalls of Flat Daily One Day Forward Rates and FOMC Meeting Dates
  2. Convexity Adjustments for RFR Futures and Swaps to Adjust for Averaging and Compounding
  3. Accounting Implications of Transition of Bonds and Swaps
  4. Performance Considerations in the Overall Systems Landscape

Program Expert Faculty

Sanjay Sharma
Sanjay Sharma, PhD

Sanjay is the Founder and Chairman of GreenPoint Global – a risk advisory, education, and technology services firm headquartered in New York. Founded in 2006, GreenPoint has grown to over 380 employees with a global footprint and production and management teams located here in the U.S, India and Israel.

During 2007-16 Sanjay was the Chief Risk Officer of Global Arbitrage and Trading Group and Managing Director in Fixed Income and Currencies Risk Management at RBC Capital Markets in New York. His career in the financial services industry spans over two decades during which he has held investment banking and risk management positions at Goldman Sachs, Merrill Lynch, Citigroup, Moody’s and Natixis. Sanjay is the author of “Risk Transparency” (Risk Books, 2013), Data Privacy and GDPR Handbook (Wiley, 2019) and co-author of “The Fundamental Review of Trading Book (or FRTB) – Impact and Implementation” (RiskBooks, 2018).

Sanjay was the Founding Director of the RBC/Hass Fellowship Program at the University of California at Berkeley and is an Adjunct Professor at EDHEC, Nice in France. Sanjay is also Adjunct Professor at Fordham University where he teaches a similar master’s capstone course and at Columbia University. He has served as an advisor and a member of the Board of Directors of UPS Capital (a Division of UPS) and is a frequent speaker at industry conferences and at universities. He served on the Global Board of Directors for Professional Risk International Association (PRMIA).

He holds a PhD in Finance and International Business from New York University and an MBA from the Wharton School of Business and has undergraduate degrees in Physics and Marine Engineering. Sanjay acquired his appreciation for risk firsthand as a merchant marine officer at sea where he served for seven years and received the Chief Engineer’s certificate of competency for ocean-going merchant ships.

Tim Glauner
Tim Glauner

Tim leads the Americas' Capital Markets practice as a Principal Global Solution Consultant at Finastra (formerly Misys) specializing in front-office, risk and quantitative areas in capital markets for broad asset class coverage including interest rate/inflation/FX/hybrid derivatives, fixed income including corporate and ABS/MBS securities.

Over the last 25 years Tim has worked as a developer for Summit, quant developer for a Tier-1 investment bank and a large hedge fund. For Finastra, he led the technical consulting team and oversaw over 20 implementation projects. His current engagements comprise functional areas for front-office and risk in Finastra’s Fusion Capital and Fusion Risk platforms. His client coverage includes over 100 financial institutions including Deutsche Bank, HSBC, The Worldbank, Citibank, State Street, BB&T, Fannie Mae, and Bank of America.

He has implemented one of the earliest explanatory P&L analytics for rates along with implementing one- and two-factor interest rate models using lattice and Monte-Carlo models, prepayment models, relative value analytics and firm-wide risk management analytics. He was instrumental in designing and writing the pricing and curve API library for Summit.

Tim holds a B.S. from the Technical University in Karlsruhe, Germany, and a dual M.S. in Computer Science and Mathematics from the Courant Institute at New York University. He has deep experience in financial markets as well as advanced technologies including High-performance Computing, and Open APIs.

Tim is an adjunct professor at Fordham University’s Gabelli School of Business and has taught courses covering capital markets and FRTB. He is also an Associate at Columbia University in the Enterprise Risk Management program.

Ann Battle
Ann Battle

Ann M. Battle is Head of Benchmark Reform at ISDA where she leads ISDA’s global efforts related to the transition away from LIBOR and other benchmark reform initiatives. Ann represents ISDA on the Alternative Reference Rates Committee (ARRC) and the Interest Rate Benchmark Reform Subcommittee of the CFTC Market Risk Advisory Committee. She also leads ISDA’s global work with the FSB Official Sector Steering Group (OSSG) to implement more robust fallbacks for derivative contracts. At ISDA Ann also covers derivatives clearing and CCP-related issues, bank resolution, and netting and collateral opinions for cleared and uncleared derivatives.

Prior to joining ISDA, she was a counsel in the Legal Division, Complex Financial Institutions Section of the Federal Deposit Insurance Corporation (FDIC). Her work at the FDIC focused on resolution of systemically important financial institutions and, specifically, on domestic and cross-border issues related to derivatives and financial market infrastructures. Prior to joining the FDIC, Ms. Battle was an attorney with the law firm of Sutherland Asbill & Brennan LLP in Washington, DC, where her practice focused on derivatives and structured products (including regulation of such products), secured and unsecured lending, and capital markets transactions. Ms. Battle received her undergraduate B.S. Business Management from Georgia Tech and her J.D. from William & Mary Law School.

Thomas Deas
Thomas Deas

Thomas C. Deas, Jr. is the Chairman of the National Association of Corporate Treasurers (, having also served a previous term as its Chairman from 2011 through 2013. From 2001 until his retirement in 2016, he served as Vice President and Treasurer of FMC Corporation (NYSE: FMC). Prior to joining FMC, he served as Vice President, Treasurer and CFO of Applied Tech Products Corp., of Airgas, Inc. (NYSE: ARG) and of Maritrans Inc. (NYSE: TUG). Prior to these positions, Mr. Deas was employed for 18 years at Scott Paper Company (NYSE: SPP), where he served in various capacities in finance and treasury.

Mr. Deas received a BS in Physics from the University of South Carolina. Following service as a destroyer officer in the U.S. Navy, he received an MBA from the Wharton School of the University of Pennsylvania. He is the past Chairman of the International Group of Treasury Associations and is a director of the University of South Carolina Educational Foundation and its Investment Policy Committee. He has served as a member of the Financial Stability Board’s Market Participants Group and is a current representative to the Federal Reserve’s Alternative Reference Rates Committee. Both these efforts focus on changes in how LIBOR and other interest rate indexes are determined. Mr. Deas is a member of the steering committee of the Coalition for Derivatives End-Users. He is a frequent speaker at investor conferences and professional forums and has testified on financial and derivatives reform before several Congressional committees.


Concept Refresher (8 sessions) + Core Modules (16 sessions) + Industry Leaders Q&A (8 sessions)


Quantitative Master Class

(8 sessions)


CORE + Quantitative Master Class

Concept Refresher + Core Modules + Industry Leaders Q&A + Quantitative Master Class