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Learning Objectives

  1. LIBOR components and its current usage.
  2. Mechanisms of ISDA transition fallback.
  3. P&L impact on fallback date and its implications on collateral, credit exposure and tax.
  4. SOFR & €STR discounting and price alignment changes for cleared swaps at exchanges.
  5. RFR indices across all currencies worldwide and its conventions.
  6. Credit component in LIBOR and SOFR term rates.
  7. Adequacy of SOFR as a replacement rate and it’s alternatives.
  8. Current state of transition across fixed income, loans, derivatives, MBS/ABS and securitizations.
  9. Redocumentation risk, broken hedges and hedge cashflow mismatches.
  10. Management of legacy LIBOR swaps – renegotiations, re-bookings, compressions, fallback.
  11. Curve building for existing indices and new RFR indices.
  12. Impact on interest rate option products.
  13. Essential components of impact on risk measures and capital, and regulatory compliance.
  14. Model validation from accruals and payments to curves and option pricing models.
  15. Negotiation and documentation of legacy contracts.
  16. LIBOR transition project management and keys to success.

Program Structure and Key Aspects

  • Flexible and self-paced online learning program.
  • 68 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

• Traders • Investment and Portfolio Managers • Loan and Credit Officers • Risk Managers • Quants and Quant Developers • Front and Middle-Office Analysts • Back-office and Operations Analyst • Financial Controller and Analyst • Legal and Compliance Officers • Project Managers • LIBOR Program Manager • Model Validation Analysts • Business Analysts and Quality Assurance • Software Developers and Technical IT Analysts • Management Consultants • Business and Technical Consultants • Students and University Faculty

Course Structure

  1. LIBOR Transition Overview and Program Introduction
  2. Conceptual Knowledge Assessment
  3. LIBOR Components and Current Usage
  4. LIBOR Transition Timelines and Challenges
  5. Interest Rate Fundamentals
  6. Overview of Cash Instruments and Derivatives and the Impact of LIBOR Transition
  7. Dynamics of Interest Rate Swaps
  8. Market calendars and business day conventions
  9. End-to-end Valuation Workflow for Interest Rate Swaps
  10. Construction of Interest-rate Curves
  11. Overview of LIBOR and How We Got Here
  12. Choice of RFR Benchmarks
  13. LIBOR Transition Timelines and Challenges
  14. RFR Indices Across All Currencies Worldwide and Its Conventions
  15. Mechanisms of the Transition Fallback and its ISDA Adjustment
  16. Cash Instruments
  17. Derivatives – New Payment and Accrual Conventions
  18. LIBOR Transition Management – Structure
  19. LIBOR Transition Management – Execution
  20. Curve Construction of new RFR Indices
  21. Quantitiative and Modeling Topics
  22. Risk Management
  23. Model Validation
  24. Regulatory and Legislative Initiatives
  25. Accounting Implications of Transition of bonds and swaps
  26. Overview of Cash Instruments and LIBOR transition
  27. Consent Solicitation
  28. Fallback Language and Waterfall
  29. Syndicated, Bi-lateral Loans and Hedged Loan Approach
  30. Fannie Mae and Freddie Mac LIBOR Transition Playbook
  31. SOFR & ESTR Discounting and Price Alignment Changes for Cleared Swaps at Exchanges
  32. RFR Payment and Accrual Conventions
  33. P&L Impact on Fallback Date and Its Implications
  34. Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
  35. Impact on Interest Rate Option Products
  36. LIBOR Market Model Introduction and FMM
  1. Performance Considerations for Term and Overnight Rates
  2. Repricing perfectly CME, LCH and Bi-lateral swaps despite basis
  3. Overview of Project Management Challenges
  4. Organizational and management structure
  5. ARRC Practical Implementation Checklist for SOFR Adoption – I
  6. ARRC Practical Implementation Checklist for SOFR Adoption – II
  7. Establishing LIBOR Project Management Framework
  8. Risk Management for Fixed Income Instuments
  9. LIBOR Transition Impact on Financial and Non-Financial Principal Risks
  10. Incorporating Replacement RFRs/Fallback Characteristics and Behavior
  11. Impact on Existing Model Libraries
  12. Risk management workflow and impact of LIBOR replacement
  13. Regulatory Reporting and Guidance on Model Risk Management
  14. Principles of Quantitative Model Validation and Model Risk Management
  15. LIBOR Transition Impact on Curves, Option Models, Cashflows and Accruals
  16. New Model Risk Contributing Factors
  17. Model Users and their Expectations
  18. Vanilla/Static, Dynamic and Credit Models
  19. LIBOR Usage and Major Components of Required Model Changes
  20. Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
  21. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  22. Build the Short End of the RFR Curve and Cross-Currency Basis
  23. Build the Long End of the RFR Curve and Cross-Currency Basis
  24. Deriving Volatilities for A Proxy Index
  25. Impact of small SOFR convention discrepancies to discount factors
  26. Smooth Interpolation with Various Interpolation Techniques
  27. Pitfalls of Flat Daily One Day Forward Rates and FOMC Meeting Dates
  28. LIBOR single period in depth
  29. LIBOR swap schedule
  30. New accrual, reset, cashflow conventions
  31. USD SOFR single period in depth
  32. SOFR swap schedule
  • Genesis of LIBOR, its composition and mechanics
  • IBOR as a global benchmark and foundational challenges
  • 2008 Global Financial Crisis and necessity of LIBOR replacement
  • Overview of the LIBOR BOOTCAMP program
  • Why are RFRs critical for capital markets
  • Time value of money and compounding methodologies
  • Introduction to bootstrapping and curve construction
  • Relationship between spot rates, forward rates and discount factors
  • Widely used RFRs around the world
  • Mechanics of interest rate swap
  • Analysis of typical term sheets
  • Swaps and derivatives markets governance – ISDA’s guideline framework
  • Business and Calendar Days
  • Holiday Calendar and Combinations
  • Roll Conventions such as Modified Following or Preceding
  • Resets, Interest Rate Periods and Payments
  • Collateral and Credit Support Annex
  • How to discount taking collateral into account
  • End-to-end valuation workflow for interest rate swaps
  • Mapping from original LIBOR indices to the new RFR indices and how accrual and cashflow calculations are defined for RFR indices
  • Conversions for USD, EUR and GBP and what we can expect from the current OIS rates
  • Detailed description of new vanilla trade conventions for all currencies and indices
  • Detailed description of fallback trade conventions for all currencies and indices
  • Relationship among pre-cessation, announcement, and trigger dates
  • Detailed fallback calculation algorithm
  • Routes for banks to transform current LIBOR portfolios
  • Scope and size of cash instruments and markets
  • Challenges specific to cash markets
  • Definitional Overview
  • Consent Solicitation
  • ARRC Recommended Fallback Language for all types of instruments
    • Floating Rate Notes
    • Bilateral Business Loans
    • Syndicated Loans
    • Securitization
    • Adjustable-rate Mortgages (ARMs)
  • Differences among 1M SOFR, 3M SOFR, Eurodollar and Fed Fund future
  • Reasons for calculation differences
  • Differences of payment and accrual conventions among fixed income, lending and derivatives
  • Listing of reliable rate calculation engines for reconciliation of payments
  • Detailed examples of payment gap, lockout, observation shift and observation period shift
  • Reset in Advance SOFR option products
  • Futures Conventions and Convexity Adjustments
  • Average vs Compounding Swaps
  • Introduction to FMM as an extension of LMM
  • New cap/floor conventions to hedge student loans
  • Volatility decay during RFR term rate period
  • Approximate volatilities using a proxy
  • Managing Model Risk for LIBOR Transition
  • Impact of Incorporating LIBOR Fallback on Models
  • Understand the Impact of Discounting Switch
  • Incorporating SOFR and other Overnight Rate Characteristics and Behavior
  • RFR Curve Construction Blind Spots and Challenges
  • Instruments to define LIBOR, RFR, OIS curves and their relationships
  • Interest rate parity for FX forwards and if RFR will have an impact on FX projections
  • Impact of RFR on the cross-currency basis in the short end of the curve
  • Implementation of the short end of the curve and implied likelihood of Fed Fund rate
  • changes
  • Multiple different overlapping futures contracts in a single curve
  • SOFR term rate and futures
  • Many alternatives to build the long end of the curve
  • Removal of LIBOR dependency on the SOFR curve
  • Long end discussion with SOFR outright vs basis to OIS or LIBOR
  • Necessity for multi-curve bootstrapping when SOFR swap discounts on SOFR
  • Generalized dynamic model of Mercurio
  • Deriving SOFR volatilities from LIBOR volatilities
  • Numerical examples of shifted lognormal
  • Numerical examples of SABR replication
  • Curve dependency examples and how it affects errors in zero rates
  • Pricing examples for swaps and it’s curves and reconciliation impact
  • Payment and accrual convention impact on zero rates
  • Pricing examples for swaps and it’s curves and reconciliation impact
  • Desirable features of any interpolation techniques
  • Quite comprehensive view of interpolation techniques
  • Different interpolation methodologies on zero, forward rates and discounting factors
  • Can linear methods have continuity in forward rates?
  • Spline methods and mentioning of Hermite interpolation as well as Hagan’s monotone convex method
  • Implied jumps in forwards due to FOMC meeting and future expiration dates
  • Curve generation algorithm in detail combining overlapping futures
  • Can you build a good forward rate curve with bootstrapping or do you need an optimization across instruments
  • Large spikes in forwards close to FOMC meeting dates


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 - LIBOR Bootcamp

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 - LIBOR Bootcamp

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…