Are you keeping up with LIBOR/RFR transition?
This training course is designed to fill the knowledge gap for LIBOR transition and prepare participants to address the multitude of challenges they are likely to face over the next year. It is self-paced and can be started at any time after registration.
Courses for LIBOR Replacement
Quantitative Analyst
29 Sessions
- 29 RFR-related quantitative topics across all functions.
- New RFR conventions and curve building.
- Selection of RFRs, accruals and payment conventions.
- Curve simulation, calibration, and volatility adjustment.
- Futures and options pricing model changes.
- Model validation challenges and addressing them.
Treasury Business Analyst
28 Sessions
- 28 RFR topics for front, middle, and office functions.
- New RFR/instruments conventions for accruals and payments.
- New benchmarks and operational impact on fallback and new trades.
- Mechanisms of transition fallback and choices for current portfolios.
- New Fed Fund and SOFR collateral assumptions for cleared swaps.
- Accounting (IFRS9/GAAP/FAS133) for FI instruments/ derivatives.
Risk Management
38 Sessions
- LIBOR transition impact on risk management functions.
- New RFR-risk parameters for cash instruments and derivatives.
- Impact on risk limits and resetting.
- Managing model validation and front-office functions.
- Ensuring regulatory compliance.
- Internal and external communication.
- LIBOR transition project management.
Project Manager
18 Sessions
- Scoping LIBOR transition across institutional functions.
- Organizational choices for cross-functional teams.
- Setting targets, timelines, and budgets.
- Creating and managing project teams.
- Potential project hurdles and their management.
- 10 misconceptions about LIBOR transition and avoiding setbacks.
Loans and Cash Instruments
20 Sessions
- Managing LIBOR replacement challenges for cash instruments.
- ARRC recommended fallback language and consent solicitation.
- Floating Rate Notes, bilateral and syndicated loans/documentation.
- Mortgages and structured instruments.
- Quantitative impact for advance and arrears conventions.
- Impact of regulatory and legislative developments.
Software/IT
17 Sessions
- Most recent timelines across all five global jurisdictions.
- Updated RFR indices across all currencies their conventions.
- Required large scale trade and position updates over next 3 years.
- Performance considerations for term to overnight rate transition.
- Areas of focus for reconciliations and regression testing.
- Trade-off between system upgrade vs. temporary functional gaps.
All Courses
68 Sessions
- 68 sessions covering LIBOR transition across all functions.
- Flexible course selection and sequencing.
- Certification for individual functional courses.
- Suitable for cross-functional professionals and consultants.
- Continuous course updates with market and regulatory developments.
- Program flexibility is conducive for academic institutions.
Major Learning Goals
- LIBOR components and its current usage
- Mechanisms of ISDA transition fallback
- P&L impact on fallback date and its implications on collateral, credit exposure and tax
- SOFR & €STR discounting and price alignment changes for cleared swaps at exchanges
- RFR indices across all currencies worldwide and its conventions
- Credit component in LIBOR and SOFR term rates
- Adequacy of SOFR as a replacement rate and it’s alternatives
- Current state of transition across fixed income, loans, derivatives, MBS/ABS and securitizations
- Redocumentation risk, broken hedges and hedge cashflow mismatches
- Management of legacy LIBOR swaps – renegotiations, re-bookings, compressions, fallback
- Curve building for existing indices and new RFR indices
- Impact on interest rate option products
- Essential components of impact on risk measures and capital, and regulatory compliance
- Model validation from accruals and payments to curves and option pricing models
- Negotiation and documentation of legacy contracts
- LIBOR transition project management and keys to success
Program Structure and Key Aspects
- Flexible and self-paced online learning program.
- 20-40 sessions of 30-45 minute duration with adaptive concept checks.
- Weekly online live Q&A sessions with faculty.
- Real quantitative and operational case studies.
- Completion certificate at the end of the program.
- Continuous course updates with market and regulatory developments.
Who Should Attend
- Quantitative Analyst and Developers
- Risk Managers
- Loan Credit and Lending Officers
- Treasury Analysts
- Software/IT Professionals and Consultants
- Fixed Income and Credit Traders
- Corporate Treasurers
- Students and Faculty
Certification
After passing all concept checks with 80% correct answers in selected modules, participants will receive certificate of completion. They can select one certificate for all modules and selected masterclasses or individual certificates for each.
Program Expert Faculty
Sanjay Sharma, PhD
Chairman GreenPoint Financial
Former CRO, RBC Global Arbitrage and Trading and Natixis, North America
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. more…
Tim Glauner
Head of Capital Markets Global Solution Consulting For Americas, Finastra
Tim leads the Americas’ Capital Markets practice, Global Solution Consulting at Finastra, 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. more…
