Course Duration

We can build a course around your specific requirements and deliver the course to fit your schedule



Under current guidelines we are delivering all our corporate courses via online webinars



Our pricing is competitive.  Please contact us to discuss futher



Our courses are accredited by the CISI.  A one-day Course gives the delegate 6 CPD points



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



The contents can be tailored to your specific focus areas and address your key challenges.  Example below.


Example Learning Objectives


  • Understand and quantify your exposures to IBOR and establish what needs to be done to facilitate the transition

  • Learn how the futures and swaps market is generating liquidity and how they can be used as the basis for a new term structure

  • Learn how to structure a Programme and effectively manage risks arising from practical case studies

  • Establish an IBOR project team with a clear roadmap and responsibilities to deliver a timely and organized transition

Who should IBOR training?

  • C-Level Officers

  • Project Managers

  • Risk Managers

  • Treasurers

  • Asset Managers Broker/Dealers

  • Insurance Companies

  • Corporates


Example Programme

Session1 - From LIBOR Scandal to RFRs



  • LIBOR, where it all began and the BBA first official fix

  • GFC and Switch to OIS discounting and multi-curve pricing

  • 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:

  • Formation of benchmark committees e.g ARRC

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

  • Regulatory response to “Dear CEO” letter

  • Exposure analysis requests from FCA/PRA

  • Managing dependencies from parallel regulations: Basel IV, FRTB, CRD5, IRRRBB.

CASE STUDY – Review of 2 Issuances in SOFR and Sonia


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

  • Compensation procedure (margin changes, non-acceptance of fallbacks)

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

Session 3: Product Developments and Pricing


CCP Discounting Change:

  • Proposed 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 – Review of Fallback language in recent issuances and securitizations

Session 4: Key challenges and next steps


Transitioning the Legacy book:

  • Valuation Adjustments, XVA and the PnL impact

  • Effect of Fallback changes

  • 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

CASE STUDY – Practical demonstration of SOFR swap migration covering curve mechanics and comparison by CRZ Pricing


Closing comments:

  • Recap of key points and milestones

  • Feedback forms