Program Structure/Content

Each session has class material to download, recorded live lectures and concept check exercises


10 sessions of 30 minutes each cover basic fixed-income fundamentals and overview of LIBOR/RFR transition, quantitative, and operational challenges with concept checks.
1. LIBOR Transition Overview and Program Introduction
  • LIBOR transition – what is to come
  • What is LIBOR and how is it computed
  • Foundational flaws of LIBOR
  • Pros and cons of LIBOR replacement
  • Overview of the program
  • Pedagogical framework
2. Conceptual Knowledge Assessment
  • Test description
  • Test instructions
3. LIBOR Components and Current Usage
  • Definition and mechanics of LIBOR computation
  • Components of LIBOR
  • Usage of LIBOR across instruments and asset types
  • Global LIBOR footprint
4. LIBOR Transition Timelines and Challenges
  • Overview of new RFR benchmarks
  • Chronology of regulatory statements, actions and deadlines
  • Transition timelines
  • Regulatory bodies and committees
  • Scope and challenges of LIBOR transition
5. Interest Rate Fundamentals
  • 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
6. Impact of RFR on Cash Instruments and Derivatives
  • What are the interest rate derivative instruments to build curves
  • How are these instruments used for end users and dealers
  • Specific use case for an asset swap and how it is then hedged and funded with repo
  • Example of swap fallback process and value transfer
  • Fixed Income Floating Rate Notes, Loans, MBS, ABS, CMO, CDO
7. Dynamics of Interest Rate Swaps
  • Mechanics of interest rate swap
  • Analysis of typical term sheets
  • Swaps and derivatives markets governance – ISDA’s guideline framework
  • Swap settlement and clearing including central counterparties (CCPs)
8. Market calendars and business day conventions
  • Business and Calendar Days
  • Holiday Calendar and Combinations
  • Roll Conventions such as Modified Following or Preceding
  • Resets, Interest Rate Periods and Payments
  • Examples with MM, Swaps, Interest Raye swaps and Non Deliverable Forwards
9. End-to-end Valuation Workflow for Interest Rate Swaps
  • Collateral and Credit Support Annex
  • How to discount taking collateral into account
  • End-to-end valuation workflow for interest rate swaps
10. Construction of Interest-rate Curves
  • Conceptual bootstrapping
  • Types of market data
  • Example of bootstrapping a zero curve with Money Market, Futures and Swaps
  • Interpolation routines


14 sessions of 30-45 minutes each cover all aspects of LIBOR/RFR transition including operational readiness, quantitative challenges, trading and project management.
1. Overview of LIBOR and How We Got Here
  • 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
2. Choice of RFR Benchmarks
  • The essential need for financial benchmarks
  • Components of LIBOR
  • Risk-free rate alternatives and underlying macroeconomic dynamics
  • Overview of regulatory and industry bodies
3. LIBOR Transition Timelines and Challenges
  • Overview of new RFR benchmarks
  • Chronology of regulatory statements, actions and deadlines
  • Transition timelines
  • Scope and challenges of LIBOR Transition
4. RFR Indices Across All Currencies and Its Conventions
  • Mapping from original LIBOR indices to the new RFR indices and how accrual and cashflow calculations are defined for RFR indices
  • Detailed description of new vanilla trade conventions for all currencies and indices
  • Detailed description of fallback trade conventions for all currencies and indices
5. Mechanisms of the Fallback and its ISDA Adjustment
  • Relationship among pre-cessation, announcement, and trigger dates
  • Detailed fallback calculation algorithm
  • Routes for banks to transform current LIBOR portfolios
6. Cash Instruments
  • Scope and size of cash instruments and markets
  • Challenges specific to cash markets
  • Consent Solicitation
  • ARRC Recommended Fallback Language for all types of instruments
    • Floating Rate Notes
    • Bilateral Business Loans
    • Syndicated Loans
    • Securitization
    • Adjustable-rate Mortgages
7. Derivatives - New Payment and Accrual Conventions
  • Differences among 1M SOFR, 3M SOFR, Eurodollar and Fed Fund future
  • 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
8. LIBOR Transition Management - Structure
  • Organizational and management structures of financial services organizations
  • Typical regulatory framework
  • A reflection from a great global challenge of the century
  • Institution-specific components of LIBOR transition
  • Operating models for LIBOR project management
9. LIBOR Transition Management - Execution
  • LIBOR Transition Program Framework
  • Operational and Technology Readiness
  • Communication Strategy
  • Exposure Quantification and Management
  • Contractual Remediation
10. Curve Construction of new RFR Indices
  • Recommended Curve Instruments across USD, GBP and EUR for RFR
  • Comprehensive List of New RFR Instruments for Curves
  • Which Rates to use for FX Forward Interest Rate Parity
  • Cross Currency Basis and timing in US and other Jurisdictions
  • New Mechanisms in Curve Construction for SOFR
11. Quantitative and Modeling Topics
  • Futures Conventions and Convexity Adjustments
  • Average vs Compounding Swaps
  • Introduction to FMM as an extension of LMM
  • Approximate volatilities using a proxy
12. Risk Management
  • LIBOR transition impact on system and institutional risk
  • How to identify, measure, monitor and control LIBOR transition risks
  • Principal risk factors such as rates and credit (xVA)
  • Client management and communication
  • Impact on Risk control and Finance
13. Model Validation
  • 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
14. Regulatory and Legislative Initiatives
  • Details of the involvement of specific regulatory bodies
  • List and summaries of proposals in 2020 and upcoming 2021
  • RFR Working Group Tough Legacy Task Force overview
  • OCIE Risk Alert examination on LIBOR transition
  • Impact on consumer finance related legislation and regulation

Master Classes

7 Master Classes with 2-4 hours of instruction each with specialized immersive content dedicated to specific concepts and wide-ranging job-specific functions and roles.

Cash Instruments - FRNs, Loans, MBS and ABS

Cash Instruments - FRNs, Loans, MBS and ABS
3 hours

  • Overview of Cash Instruments and LIBOR transition
  • Challenges specific to cash markets
  • Diversity of Consent Solicitation based on Asset Class
  • ARRC Recommended Fallback Language and Waterfall
  • Syndicated, Bi-lateral Loans and Hedged Loan Approach
  • Fannie Mae and Freddie Mac LIBOR Transition Playbook

Derivatives - Flow and Non Flow

Derivatives - Flow and
Non Flow
3 hours

  • SOFR & ESTR Discounting and Price Alignment Changes for Cleared Swaps at Exchanges
  • RFR Payment and Accrual Conventions
  • P&L Impact on Fallback Date and Its Implications
  • Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
  • Impact on Interest Rate Option Products
  • LIBOR Market Model Introduction and FMM

Project Management

Project Management
3 hours

  • Overview of Project Management Challenges
  • Organizational and management structures of financial services organizations
  • ARRC Practical Implementation Checklist for SOFR Adoption
  • Operating models for LIBOR project management
  • Establishing LIBOR Project Management Framework
  • Will LIBOR cessation be further postponed

Risk Management

Risk Management
3 hours

  • Risk Management for Fixed Income Instruments
  • LIBOR Transition Impact on Financial and Non-Financial Principal Risks
  • Incorporating SOFR and Fallback Characteristics and Behavior
  • Impact on Existing Model Libraries
  • Comprehensive Components of Model Documentations
  • Regulatory Guidance on Model Risk Management

Model Validation

Model Validation
3.5 hours

  • Principles of Quantitative Model Validation and Model Risk Management
  • LIBOR Transition Impact on Curves, Option Models, Cashflows and Accruals
  • New Model Risk Contributing Factors
  • Model Users and their Expectations
  • Vanilla/Static, Dynamic and Credit Models
  • LIBOR Usage and Major Components of Required Model Changes
  • Dynamic Mortgage Models with Current Coupon, Prepayment and Credit

Quantitative Topics

Quantitative Topics
3.5 hours

  • Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  • Build the Short End of the RFR Curve and Cross-Currency Basis
  • Build the Long End of the RFR Curve and Cross-Currency Basis
  • Deriving Volatilities for A Proxy Index
  • Impact of small SOFR convention discrepancies to discount factors
  • Smooth Interpolation with Various Interpolation Techniques
  • Pitfalls of Flat Daily One Day Forward Rates and FOMC Meeting Dates

Conventions for Accruals and Payments in Detail

Conventions for Accruals and Payments in Detail
2.5 hours

  • LIBOR single period in depth
  • LIBOR swap schedule
  • New conventions
  • USD SOFR single period in depth
  • SOFR swap schedule

Expert Faculty Q&A

Weekly live sessions for 16 weeks with program and expert faculty to address participant questions and challenges as well as industry/regulatory developments.
  1. Ann Battle – Head of Benchmark Reform, ISDA
  2. Tom Deas – Chairman, NACT

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