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.

$1,400

Save $400 with this code: EARLY400 Valid till August 6, 2021

LIBOR Overview and Course Highlights

  1. LIBOR Transition Overview
  2. Course Components and Highlights

Core LIBOR Topics​

  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

Treasury Business Analyst

  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

Quantitative Analyst

  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

Risk Management

  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

Loans and Cash Instruments

  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

Project 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. Executing LIBOR Transition Plan
  8. Diversity of Consent Solicitation based on Asset Class
  9. P&L Impact on Fallback Date and Its Implications

Software/IT Professional

  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

Course Structure and Key Aspects

  • Flexible and self-paced online learning program.
  • 70 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
  • 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

Certification

After passing all concept checks with 80% correct answers in selected modules, participants will receive a certificate of completion. Participants can select one certificate for all modules and selected masterclasses or individual certificates for each.

CPD Accreditation

The following course is in the process of being accredited by the CPD Certification Service, this indicates that the course meets the highest standards set by the CPD framework. Participants of the course will receive CPD Credit Points.

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…