Course Duration

A focused full-day Zoom webinar from 9am-5pm


Globally accessible using Zoom 


9th September 2020


Priced at only £250+VAT


The course is fully endorsed by the CISI and worth 6 CPD points toward professional development 


Industry Practitioners will be presenting this course.  A real focus on industry challenges and real solutions being used by the industry.


The programme is ideal to give someone the knowledge to be an effective part of an IBOR transition programme

This is an intense zoom webinar to equip the delegate with the knowledge to excel in IBOR projects!

Once the Covid-19 hangover is over, institutions will have a lot of demand for IBOR specialists

                                       Hays Recruitment



In partnership with:


Session1 - From LIBOR Scandal to RFRs



  • LIBOR, where it all began 

  • LIBOR rigging scandal

  • The lack of liquidity in LIBOR transactions

  • Regulatory responses: IOSCO principles, FCA “Dear CEO” letter,  LIBOR reform and EU Benchmark Regulation

Regulatory Backdrop:

  • The new replacement RFRs/ARRs and adoption in major currencies (SOFR, SONIA, ESTR, SARON, TONAR)

  • Regulatory response to “Dear CEO” letter


Session 2: Operational Readiness


Deeper Dive into Alternative Reference Rates:

  • Backward-looking overnight rates, and T+1 fixings

  • Coupon calculations – Compounding vs Averaging

  • Challenge of backward-looking overnight indices vs forward-looking LIBOR

  • Observation methodologies

  • Coupon Flooring

  • Term structure and how to build a curve

Client communication:

  • Conduct Risk

  • Challenge of clients acceptance of updated fallbacks

CASE STUDY – Analysis of Programme structure adopted in Tier 1 Sell-side firm

Session 3: Product Developments and Pricing


CCP Discounting Change:

  • ESTR and SOFR discounting changes

  • Net exposure amendments –margin / PAI changes

  • Compensatory swaps (basis swaps or cash equivalent)

  • Valve Adjustment


Documentation: Fallbacks:

  • Limitations of current ISDA 2006 fallback language

  • Proposed fallback changes and ARRC recommendations

  • Estimating the spread adjustment

  • Trading the fallback SOFR-LIBOR basis vs spread assumption

CASE STUDY – Transition of Loans and derivatives case studies and worked examples

Session 4: Key challenges  

Transitioning the Legacy book:

  • Effect of Fallback changes on loans and derivatives

  • Discounting, Valuation, and OCA curves

  • Transition Strategy and dealing with Tough Legacy

Programme Structure:

  • The buy-side, sell-side and corporate treasury challenge

  • Assessing the pace of adoption via MI

  • Impending milestones and expected impact


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