LIBOR TRANSITION BOOTCAMP COURSE

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.
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  1. 60-munites highlights
  1. Overview of LIBOR and How We Got Here
  2. LIBOR Transition Timelines and Challenges
  3. Interest Rate Fundamentals
  4. Dynamics of Interest Rate Swaps
  5. Choice of RFR Benchmarks
  6. RFR Indices Across All Currencies Worldwide and Its Conventions
  7. Mechanisms of the Transition Fallback and its ISDA Adjustment
  8. Market calendars and business day conventions
  9. End-to-end Valuation Workflow for Interest Rate Swaps
  10. Impact on Cash Instruments
  11. Impact on Derivatives
  12. LIBOR Transition Management – Structure
  13. LIBOR Transition Management – Execution
  14. Curve Construction of new RFR Indices
  15. Quantitiative and Modeling Topics
  16. Risk Management
  17. Model Validation Overview
  18. Regulatory and Legislative Initiatives
  19. Accounting Implications of Transition of Bonds and Swaps
  1. P&L Impact on Fallback Date and Its Implications
  2. LIBOR Market Model Introduction and FMM
  3. Impact on Existing Model Libraries
  4. Comprehensive Components of Model Documentations
  5. Regulatory Guidance on Model Risk Management
  6. Principles of Quantitative Model Validation and Model Risk Management
  7. New Model Risk Contributing Factors
  8. Model Users and their Expectations
  9. Vanilla/Static, Dynamic and Credit Models
  10. LIBOR Usage and Major Components of Required Model Changes
  11. Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
  12. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  13. Build the Short End of the RFR Curve and Cross-Currency Basis
  14. Build the Long End of the RFR Curve and Cross-Currency Basis
  15. Deriving Volatilities for A Proxy Index
  16. Impact of small SOFR convention discrepancies to discount factors
  17. Smooth Interpolation with Various Interpolation Techniques
  18. Pitfalls of Flat Daily One Day Forward Rates and FOMC Meeting Dates
  1. ARRC Recommended Fallback Language and Waterfall
  2. Diversity of Consent Solicitation based on Asset Class
  3. P&L Impact on Fallback Date and Its Implications
  4. Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
  5. Repricing perfectly CME, LCH and Bi-lateral swaps despite basis
  6. New Model Risk Contributing Factors
  7. Vanilla/Static, Dynamic and Credit Models
  8. LIBOR Usage and Major Components of Required Model Changes
  9. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  10. Build the Short End of the RFR Curve and Cross-Currency Basis
  11. Build the Long End of the RFR Curve and Cross-Currency Basis
  12. Impact of small SOFR convention discrepancies to discount factors
  13. LIBOR single period in depth
  14. LIBOR swap schedule
  15. New accrual, reset, cashflow conventions
  16. USD SOFR single period in depth
  17. SOFR swap schedule
  1. Risk Management for Fixed Income Instruments
  2. LIBOR Transition Impact on Financial and Non-Financial Principal Risks
  3. Incorporating Replacement RFRs/Fallback Characteristics and Behavior
  4. Impact on Existing Model Libraries
  5. Risk management workflow and impact of LIBOR replacement
  6. Fallback Language and Waterfall
  7. P&L Impact on Fallback Date and Its Implications
  8. Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
  9. Impact on Interest Rate Option Products
  10. LIBOR Market Model Introduction and FMM
  11. LIBOR Transition Impact on Curves, Option Models, Cashflows and Accruals
  12. Vanilla/Static, Dynamic and Credit Models
  13. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  14. Build the Short End of the RFR Curve and Cross-Currency Basis
  15. Build the Long End of the RFR Curve and Cross-Currency Basis
  16. Deriving Volatilities for A Proxy Index
  17. Impact of small SOFR convention discrepancies to discount factors
  18. Smooth Interpolation with Various Interpolation Techniques
  19. Pitfalls of Flat Daily One Day Forward Rates and FOMC Meeting Dates
  20. Consent Solicitation
  21. Fannie Mae and Freddie Mac LIBOR Transition Playbook
  22. Principles of Quantitative Model Validation and Model Risk Management
  23. Model Users and their Expectations
  24. New Model Risk Contributing Factors
  25. LIBOR Usage and Major Components of Required Model Changes
  26. Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
  27. Regulatory Reporting and Guidance on Model Risk Management
  1. Overview of Project Management Challenges
  2. Organizational and management structures of financial services organizations
  3. ARRC Practical Implementation Checklist for SOFR Adoption
  4. ARRC Practical Implementation Checklist for SOFR Adoption – II
  5. Establishing LIBOR Project Management Framework
  6. Constructing a LIBOR Transition Plan
  7. Exexuting LIBOR Transition Plan
  8. Diversity of Consent Solicitation based on Asset Class
  9. P&L Impact on Fallback Date and Its Implications
  1. Overview of Cash Instruments and LIBOR transition
  2. New RFR Benchmarks for Loans
  3. Choosing the right Benchmark
  4. Fallback Language and Waterfall
  5. ARRC Practical Implementation Checklist for SOFR Adoption – I
  6. ARRC Practical Implementation Checklist for SOFR Adoption – II
  7. Syndicated, Bi-lateral Loans and Hedged Loan Approach
  8. P&L Impact on Fallback Date and Its Implications
  9. Fannie Mae and Freddie Mac LIBOR Transition Playbook
  10. Consent Solicitation
  11. LIBOR Transition Impact on Financial and Non-Financial Risk Management
  12. Incorporating Replacement RFRs/Fallback Characteristics and Behavior
  13. LIBOR Usage and Major Components of Required Model Changes
  14. Impact of small SOFR convention discrepancies to discount factors
  15. Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
  16. Build the Short End of the RFR Curve and Cross-Currency Basis
  17. Build the Long End of the RFR Curve and Cross-Currency Basis
  1. Performance Considerations for Term and Overnight Rates
  2. New Model Risk Contributing Factors
  3. LIBOR Usage and Major Components of Required Model Changes
  4. Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
  5. LIBOR single period in depth
  6. USD SOFR single period in depth