LIBOR TRANSITION BOOTCAMP COURSE
Learning Objectives
- LIBOR components and its current usage.
- Mechanisms of ISDA transition fallback.
- P&L impact on fallback date and its implications on collateral, credit exposure and tax.
- SOFR & €STR discounting and price alignment changes for cleared swaps at exchanges.
- RFR indices across all currencies worldwide and its conventions.
- Credit component in LIBOR and SOFR term rates.
- Adequacy of SOFR as a replacement rate and it’s alternatives.
- Current state of transition across fixed income, loans, derivatives, MBS/ABS and securitizations.
- Redocumentation risk, broken hedges and hedge cashflow mismatches.
- Management of legacy LIBOR swaps – renegotiations, re-bookings, compressions, fallback.
- Curve building for existing indices and new RFR indices.
- Impact on interest rate option products.
- Essential components of impact on risk measures and capital, and regulatory compliance.
- Model validation from accruals and payments to curves and option pricing models.
- Negotiation and documentation of legacy contracts.
- LIBOR transition project management and keys to success.
- 60-munites highlights
- Overview of LIBOR and How We Got Here
- LIBOR Transition Timelines and Challenges
- Interest Rate Fundamentals
- Dynamics of Interest Rate Swaps
- Choice of RFR Benchmarks
- RFR Indices Across All Currencies Worldwide and Its Conventions
- Mechanisms of the Transition Fallback and its ISDA Adjustment
- Market calendars and business day conventions
- End-to-end Valuation Workflow for Interest Rate Swaps
- Impact on Cash Instruments
- Impact on Derivatives
- LIBOR Transition Management – Structure
- LIBOR Transition Management – Execution
- Curve Construction of new RFR Indices
- Quantitiative and Modeling Topics
- Risk Management
- Model Validation Overview
- Regulatory and Legislative Initiatives
- Accounting Implications of Transition of Bonds and Swaps
- P&L Impact on Fallback Date and Its Implications
- LIBOR Market Model Introduction and FMM
- Impact on Existing Model Libraries
- Comprehensive Components of Model Documentations
- Regulatory Guidance on Model Risk Management
- Principles of Quantitative Model Validation and Model Risk Management
- 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
- 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
- ARRC Recommended Fallback Language and Waterfall
- Diversity of Consent Solicitation based on Asset Class
- P&L Impact on Fallback Date and Its Implications
- Redocumentation Risk, Broken Hedges and Hedge Cashflow Mismatches
- Repricing perfectly CME, LCH and Bi-lateral swaps despite basis
- New Model Risk Contributing Factors
- Vanilla/Static, Dynamic and Credit Models
- LIBOR Usage and Major Components of Required Model Changes
- 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
- Impact of small SOFR convention discrepancies to discount factors
- LIBOR single period in depth
- LIBOR swap schedule
- New accrual, reset, cashflow conventions
- USD SOFR single period in depth
- SOFR swap schedule
- Risk Management for Fixed Income Instruments
- LIBOR Transition Impact on Financial and Non-Financial Principal Risks
- Incorporating Replacement RFRs/Fallback Characteristics and Behavior
- Impact on Existing Model Libraries
- Risk management workflow and impact of LIBOR replacement
- Fallback Language and Waterfall
- 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
- LIBOR Transition Impact on Curves, Option Models, Cashflows and Accruals
- Vanilla/Static, Dynamic and Credit Models
- 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
- Consent Solicitation
- Fannie Mae and Freddie Mac LIBOR Transition Playbook
- Principles of Quantitative Model Validation and Model Risk Management
- Model Users and their Expectations
- New Model Risk Contributing Factors
- LIBOR Usage and Major Components of Required Model Changes
- Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
- Regulatory Reporting and Guidance on Model Risk Management
- Overview of Project Management Challenges
- Organizational and management structures of financial services organizations
- ARRC Practical Implementation Checklist for SOFR Adoption
- ARRC Practical Implementation Checklist for SOFR Adoption – II
- Establishing LIBOR Project Management Framework
- Constructing a LIBOR Transition Plan
- Exexuting LIBOR Transition Plan
- Diversity of Consent Solicitation based on Asset Class
- P&L Impact on Fallback Date and Its Implications
- Overview of Cash Instruments and LIBOR transition
- New RFR Benchmarks for Loans
- Choosing the right Benchmark
- Fallback Language and Waterfall
- ARRC Practical Implementation Checklist for SOFR Adoption – I
- ARRC Practical Implementation Checklist for SOFR Adoption – II
- Syndicated, Bi-lateral Loans and Hedged Loan Approach
- P&L Impact on Fallback Date and Its Implications
- Fannie Mae and Freddie Mac LIBOR Transition Playbook
- Consent Solicitation
- LIBOR Transition Impact on Financial and Non-Financial Risk Management
- Incorporating Replacement RFRs/Fallback Characteristics and Behavior
- LIBOR Usage and Major Components of Required Model Changes
- Impact of small SOFR convention discrepancies to discount factors
- Dynamic Mortgage Models with Current Coupon, Prepayment and Credit
- Build the Short End of the RFR Curve and Cross-Currency Basis
- Build the Long End of the RFR Curve and Cross-Currency Basis
- Performance Considerations for Term and Overnight Rates
- New Model Risk Contributing Factors
- LIBOR Usage and Major Components of Required Model Changes
- Hands-on New Payment and Accrual Conventions for FRN and Swaps for Reconciliations
- LIBOR single period in depth
- USD SOFR single period in depth