IBOR TRANSITION

VIRTUAL WORKSHOP

Choice of Date: 

 

16th / 17th / 18th October 2020 

Course Duration

A focused one-day Zoom webinar from 9am-12pm

Location

Globally accessible using Zoom 

Cost

Priced at only £250+VAT

Accreditation

The course is fully endorsed by the CISI and worth 3 CPD points toward professional development 

Presenters

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

Program

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

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In partnership with:

Programme

SESSION 1

IBOR – What went wrong and can it be fixed?

 

IBOR

  • What was the original purpose of IBOR?

  • What went wrong?

    • Rigging scandal

    • Transaction drought

The necessity for replacement

  • Would a synthetic IBOR work?

    • How might it be calculated?

  • What problems should a replacement rate fix?

  • The regulatory pressure for replacement

  •  What regulatory tests does an ARR need to pass?

  • Can IBOR be replaced exactly?

    • Compromises necessary for the replacement rate

    • What happens to the much-used IBOR-OIS measure?

  

SESSION 2

The replacement ARR rates

 

The regulatory - favoured RFRs

  • What are the chosen RFRs in each major currency?

    • SOFR (USD),

    • €STER (EUR),

    • SONIA (GBP),

    • SARON (CHF)

    • TONAR (JPY)

  • Description of each RFR

  • Differences and similarities across currencies

SESSION 3

Transition to RFRs for banks, borrowers, and investors

Banks

  • What role does IBOR play within a bank?

    • Baseline funding rate

    • Input to funds transfer rate (FTP/SDC/OCA)

    • Key pricing benchmark for corporate lending

    • Key variable in interest rate derivative products

    • The transition from IBOR

    • Identifying what the future under RFRs will look like for all bank departments

  • The important transition decisions and operational

  • requirements

  • Communicating the effects of the transition to clients

  •  What will drive liquidity in the RFR bank-funding market?

Borrowers

  • What is the impact of RFRs on floating-rate borrowers?

  • What will drive the movement from IBOR-linked to

  • RFR-linked borrowing?

  • Managing the transition for a corporate borrower

  • Market understanding and system changes

Investors

  • What are the requirements of floating-rate investors?

  • How will investors become comfortable with the transition away from IBOR?

  • Market development, liquidity and transparency, system requirements

  • How are regulators driving the transition from IBOR to RFRs?

  • In the post - IBOR world, what have we gained (or lost)?

SESSION 4

Issuing bonds linked to RFRs

The marketplace for RFR-linked floating-rate bonds

  • What do investors want?

  • What is the process of issuing bonds linked to the new RFRs?

  • Issuance to date by currency and issuer type

  • Investor reaction to RFR-linked floating-rate bonds

 

Pricing of RFR - linked bonds

  • In theory, how should the RFR spread be priced?

  • The IBOR/RFR basis

  • What is the basis?

  • How is observed/traded?

  • How has the market priced and absorbed the bonds issued?

 

Bond term sheet details

  • Fixing source

  • Rate and settlement calculations

SESSION 5

Corporate lending linked to RFRs

 

Why is IBOR so popular in corporate loans?

  • How would an RFR-linked corporate loan work?

  • The problem with the ‘forward-looking term loan nature of IBOR

  • How do we replace a 3-month rate with and overnight rate?

  • Why does the corporate loan market need a ‘term’ rate,e.g. 3-month ESTER?

  •  How do we develop a ‘forward-looking term rate’ for RFRs?

 

Probable corporate loan characteristics post - IBOR

  • Fixing sources for term RFRs

  • Rate and settlement calculations

  • Pricing versus IBOR-linked equivalent

 

Pricing corporate loans

  • Replacing the credit and liquidity information from IBOR

  • Using RFRs to determine FTP rates

SESSION 6

RFR - linked derivatives

Why is IBOR used in derivatives contracts?

  • Replacing IBOR in FRA, Futures and IRS trades

  • The existing market for overnight index futures

    • Fed Funds, EONIA, SONIA

    • Contract descriptions

  • New RFR futures contracts

    • SOFR, ESTER, SARON

    • Contract descriptions

  • What is the existing market for overnight index swaps (OIS)?

  

How would a swap market based upon new RFRs work?

  • Swaps versus daily reset/compounding

  • Swaps versus term RFR rates

  • How would term RFR resets work?

  • Basis trading versus IBOR swaps

Hedging using RFR - linked swaps

  • RFR-linked ‘new issue swaps’

  • Asset swaps (fixed to RFR)

  • RFR-linked corporate loan hedging

SESSION 7

Migrating legacy IBOR deals

The case for migrating legacy IBOR deals to the new RFRs

  • Complications in floating-rate bonds and corporate loans

  • Does current documentation contain fall-back provisions to deal with the end of IBOR?

  • What are the common fall-back provisions?

Transition to RFRs for floating - rate bonds

  • What do borrowers and investors require from the transition and how can these requirements be met?

  • How do we price the replacement bond coupon to make the transition fair to both sides?

Transition to RFRs for corporate loans

  • What do companies and banks require from the transition and

  • how can these requirements be met?

  • Dealing with the choice of term RFR and reset rate source

  • How do we price the replacement loan margin to make the

  • transition fair to both sides?

Derivatives transition

  • The latest on the ISDA consultations

  • The likely look of a fallback rate

  • Backward- versus forward-looking

  • Historically calculated or market implied

  • Details: Mean versus median, lookback periods, weighting the average

  • Implications of using the fallback language on legacy deal P/L

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