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Course Calendar Course Calendar

IBOR Transition

Day One

A Brief History of XIBOR Money Market Indices

  • The fixing process
  • LIBOR/EURIBOR through the financial crisis
  • The ‘LIBOR fixing’ scandal and fall-out
  • The Wheatley report and recommendations

Case Study: Analysis of the LIBOR manipulation and ‘lowballing’ scandal

LIBOR Transition #1 – The Rise of OIS

  • Why OIS is the right choice for the discount curve
  • Why OIS and LIBOR co-exist as a two-track system

LIBOR Transition #2 – The New RFRs

  • What is wrong with the existing RFRs (EONIA, Fed Funds, etc.)?
  • Why replacing LIBOR will be a major challenge
  • Secured vs. unsecured
  • Desirable features of a ‘better’ RFR

Introducing SOFR

  • Calculation process for the daily fixing
  • Fallback/replacement language for legacy LIBOR-linked transactions
  • Creating synthetic term rates

Introducing ESTER

  • How it differs from EONIA, EONIA-ESTER spread
  • Likely MTM impact of the transition for end-users

RFR Transition Plans in Other Currencies (GBP, JPY, CHF)

Building Market Acceptance of the New Indices

  • SOFR-linked new issues

Case Study: Analysis of recent EIB SOFR-linked FRN

SOFR Futures and Swaps

  • SOFR Futures on CME (3mo and 1mo contracts)
  • Settlement calculation at expiry
  • SOFR swaps (outrights and basis swaps)
  • Fallback provisions for floating-rate fixings and reference curves

Case Study: Settlement calculation for 3mo SOFR contract



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