Functional Learning Goals
Quantitative Analyst
- 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.
Risk Management
- 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.
