(212) 913 0500 x 590
Functional Learning Goals
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
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.
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.
LIBOR Transition Project Management
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
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.
LIBOR Software and Tools
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.
A Division of
International Corporate Center
555 Theodore Fremd Avenue
Suite A102, Rye, NY 10580
(212) 913 0500 x 590
© 2021 All Rights Reserved.
By continuing to browse or by clicking 'Accept', you agree to the storing of cookies on your device to enhance your site experience and for analytical purposes. To learn more about how we use the cookies, please see our