IBOR Transition and Risk Free Rates
A structured online course delivered live over 4 three hour modules
4 May-7 Feb 2021
Online, United States of America
- Why You Should Attend
IBOR Transition and Risk Free Rates
To ensure we meet your expectations and maximise your return on training investment, we favour a classroom/workshop style set
Benchmark rate fixings set the interest rate on trillions of derivatives and debt globally. For banks the setting of the daily benchmark creates reset risk where a few points difference can create windfall profits. The amount of money at stake encouraged traders to ‘game’ and exploit weaknesses in the fixing mechanism. Traders marked to their own book and even colluded with other banks to manufacture outcomes. Given the conduct and poor benchmark designs, IOSCO set standards for benchmarks which resulted in a fail for LIBOR. It is now expected to phase out by the end of 2021. More than $350 trillion in notional of cash and derivative securities currently track LIBOR globally, approximately $200 trillion of which is linked to USD LIBOR. Since the Federal Reserve began publishing SOFR rates in March of 2018, an infrastructure to support this evolving market has begun to take shape, but the next two years involve several critical milestones and it is imperative that financial firms prepare for this transition. The CME and ICE have begun to trade 1-month and 3-month futures contracts linked to SOFR, while both LCH and CME have provided clearing for SOFR derivatives. SOFR OIS swaps and basis swaps versus LIBOR and Fed funds have also started to transact in the customer and inter-dealer markets. The market for FRNs indexed to SOFR has also expanded to approximately $280B as of September 2019. Globally, there has also been a move towards new risk free rates; however, as in the US, this process remains onerous.
The capital markets industry started to prepare for an alternative rate to LIBOR more than three years ago, and whilst a lot of progress has been made there remains a great deal of uncertainty over this shift. This includes the pricing and valuation of swaps, and the construction of curves based on the new risk free rates. This course will review the current trends in the move away from IBOR as well as provide guidance on the transition going forward.
About your expert trainer:
Ben Watson is the CEO of Maroon Analytics, a quantitative analytics consultancy that helps banks and financial institutions with any aspect of their quant requirements. Maroon has been helping its clients with some of the more complex issues that they face today, such as the IBOR transition, FVA, CVA/DVA, and quantitative impacts of regulatory requirements.
Ben came to the Maroon business with 20+ years working for Investment Banks as a Quantitative Analyst. Up to 2012 he was the APAC regional head of the Quantitative Analytics function for RBS, and before that the local head of Quantitative Analytics at ABN AMRO Australia. He has a long track record of building real time pricing and risk management systems for traders and risk management teams. In 2012 he managed the successful OIS migration of a large derivatives trading book for a global bank.
Since starting his own consultancy he has developed a number of industry training courses that have been run in Europe, the US, Latin America, Australia, New Zealand, Singapore, and Taiwan. His courses include IBOR Transition and Risk Free Rates, OIS Discounting, Counterparty Credit and CVA, Funding, Liquidity and FVA, Interest Rate Options, and Stress Testing and VaR.
A detailed questionnaire will be sent to all course participants to establish exactly where the group training needs lie. The completed forms will be analysed by the course leader/trainer and followed by telephone if further clarification is required. As a result we can guarantee that the course is pitched at exactly the right level and that the issues that you regard as relevant are addressed. The course material will reflect these issues and will enable you to digest the subject matter after the event in your own time.
Who should attend?
From: Banks, Asset Managers, Broker/Dealers, Insurance Companies, Central Banks and Regulators, and all other Financial Institutions
- Interest Rate Derivatives Trading and Sales
- Market Risk Managers
- Fixed Income Fund Managers
- Corporate Treasury Staff
- Structured Products
- Quantitative Analysts
- Financial Engineers
- Internal & External Auditors
- C-Level Officers- including CRO’s and CFO’s
- Central Bank and Monetary Authority supervisors/regulators
- Money Markets
- Key Topics
- Understand the implications of the transition away from LIBOR to alternative risk-free rates and adapt to the relevant regulatory pressures
- Gain a detailed knowledge of the specifics of the SOFR replacement index
- Become familiar with the developments in the transition from $USD LIBOR to SOFR in derivatives markets and beyond
- • Understand how hedge accounting is impacted by the transition
- Develop a practical understanding of SOFR yield curve modeling
- Why Choose GFMI marcus evans?
marcus evans specialises in the research and development of strategic events for senior business executives. From our international network of 63 offices, marcus evans produces over 1000 event days a year on strategic issues in corporate finance, telecommunications, technology, health, transportation, capital markets, human resources and business improvement.
Above all, marcus evans provides clients with business information and knowledge which enables them to sustain a valuable competitive advantage and makes a positive contribution to their success.
- Voice of Our Customers
- “The use of online mini-games and simulations was very engaging. I have enjoyed the interaction with the rest of the learners in the sessions” European Central Bank
- Very, very helpful. Please do it again” Executive Director, Morgan Stanley
- “Insightful and well organised” ABN AMRO
- Good walkthrough covering all key important areas, offering thoughts and solutions” Erste Group Bank AG
- Join the Discussion
- Event Contact
For all enquiries regarding speaking, sponsoring and attending this conference contact:
101 Finsbury Pavement, London, EC2A 1RS
Telephone: 0044 203 002 3172