Page 12 - MONECO Financial Training Catalogue
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REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs
        DATES: October 14  – 15, 2020 • PRICES: € 1,295 In-class, € 971 Online • LOCATION: Prague and Online

        This 2-day course offers an insight into the journey from IBOR rates to their new replacement benchmarks,
        from the perspective of banks, companies and investors.
        Attend this 2-day training course and   The future of interest rate benchmarks is uncertain except for one thing: IBOR rates will be coming
        learn about:                        to an end in the next two years; and banks, companies and investors need to be ready. Rocked by a
                                            rate-rigging scandal and latterly by the absence of an underlying market, regulators have called time
        •  What has gone wrong with IBOR    on IBOR rates and are pushing the world towards more robust alternatives.
          rates and why a replacement is    This course examines the role IBOR rates have played in  fi nance, growing from almost nothing
          needed?                           40 years ago to one of the most important numbers in world markets; a number that underpins 100s
                                            of trillions of USD of cash and derivative contracts.
        •  The chosen the replacements – the
          new ‘risk-free rates (RFRs)’      On day one we look at the role of IBOR rates and what requirements their replacements need to
                                            satisfy, before examining the details of the regulatory-approved replacements – ‘the risk-free rates
        •  The differences between IBOR rates   (RFRs)’. We then consider the transition process that must be undertaken by banks, companies and
          and the new RFRs                  investors to meet the regulators deadlines to be ready for the end of IBOR. Day one fi nishes with a
        •  The transition process from IBOR   look at the new RFR-linked bonds – how the bonds work and how they have been received by the
                                            market.
          to RFRs for banks, companies and   Day two starts by looking at the role of IBOR in corporate lending, and how the transition to RFR-
          investors                         linked loans might work. We consider the tricky subject of a forward-looking RFR rate and how one
        •  How RFR-linked bonds work and the   might be determined. We then progress to the world of derivatives and the details, and pricing, of the
          market for them?                  new RFR-linked futures and swaps markets.
        •  The change in the world of corporate   We fi nish the course by considering the process of migrating legacy IBOR deals to RFR-linked terms
                                            – the contractual considerations and how we agree a fair transition price. We examine the latest ISDA
          lending towards RFR-linked fl oating   consultation results and discuss the likely calculation process for fallback rates for legacy interest
          rate loans                        rate derivatives, as well as the P/L consequences.
        •  The new RFR-linked derivative    Who should attend?
          products and their pricing             •  Corporate bankers – relationship managers and treasury managers
                                                 •  Bank money market, bond and derivative traders and salespeople
        •  The process of migrating legacy       •  Investors – institutional investors, fund managers, private traders
          IBOR deals on to RFR terms             •  Company treasury managers and staff, accountants, risk managers
        •  The latest ISDA consultation     Course methodology
          results on fallback rate calculation  The course consists of classroom-based training which combines formal teaching of concepts and
                                            technical content, with individual and group exercises to reinforce learning points.
                                              30
        WEDNESDAY, OCTOBER 14               12 –13 30                            •  In the post-IBOR world, what have we
          00
        09 – 09 10                           Lunch                               gained (or lost)?
                                              30
         Welcome and Introduction           13 –17 00
          10
        09 –12 30                            The transition from IBOR to RFR     Issuing bonds linked to the new RFRs
          IBOR and its replacement ‘Risk-Free    •  Banks                        •  The market place for RFR-linked fl oating
         Rates’ (RFRs)                         –  What role does IBOR play within a bank?  rate bonds
         •  IBOR                                 Baseline funding rate          –  What do investors want?
           –  What was the original purpose of IBOR?       Input to funds transfer rate (FTP)     –  What is the process of issuing bonds
           –  How is it set?                     Key pricing benchmark for corporate   linked to the new RFRs?
           –  What went wrong?                  lending                            –  Issuance to date by currency and issuer
             Rigging scandal                  Key variable in interest rate derivative   type
             Transaction drought             products                           –  Investor reaction to RFR-linked fl oating
         •  The necessity for replacement      –  The transition from IBOR         rate bonds
           –  Would a synthetic IBOR work?       Identifying what the future under RFRs    •  Pricing of RFR-linked bonds
                                                will look like for all bank departments
             How might it be calculated?                                        –  In theory, how should the RFR spread
                                                 The important transition decisions and
           –  What problems should a replacement                                   be priced?
                                                operational requirements
           rate fi x?                                                               –  The IBOR/RFR basis
                                                 Communicating the effects of the
           –  The regulatory pressure for replacement                                What is the basis?
                                                transition to clients
             UK FCA position on LIBOR                                             How is observed/traded?
                                               –  What will drive liquidity in the RFR
             European Benchmarks Regulation                                     –  How has the market priced and
                                               bank-funding market?
             (BMR)                                                                 absorbed the bonds issued?
                                             •  Borrowers
             US Alternative Reference Rates                                   •  Bond term sheet details
                                               –  What is the impact of RFRs on fl oating-
             Committee (ARRC)                                                      –  Fixing source
                                               rate borrowers?
           –  What regulatory tests does a new                                     –  Rate and settlement calculations
                                               –  What will drive the movement from
           reference rate need to pass?
                                               IBOR-linked to RFR-linked borrowing?
           –  Can IBOR be replaced exactly?                                     THURSDAY, OCTOBER 15
                                               –  Managing the transition for a corporate
                                                                                  00
             Compromises necessary for      borrower                         09 –12 30
             replacement rate to be widely used       Market understanding and system     Corporate lending linked to the new
             What happens to the much-used   changes                         RFRs
             IBOR-OIS measure?               •  Investors                        •  Why is IBOR so popular in corporate
         •  The regulatory-favoured RFRs       –  What are the requirements of fl oating-  loans?
           –  What are the chosen RFRs in each   rate investors?                 •  How would an RFR-linked corporate loan
           major currency?                     –  How will investors become comfortable   work?
             SOFR (USD), €STER (EUR), SONIA   with the transition away from IBOR?   •  The problem with the ‘forward-looking
             (GBP), SARON (CHF), TONAR (JPY)       Market development, liquidity and   term loan’ nature of IBOR
           –  Description of each RFR           transparency, system requirements     –  How do we replace a 3-month rate with
             Differences and similarities across    •  How are regulators driving the transition   and overnight rate?
             currencies                      from IBOR to RFRs?
               12                          Now also available as an online seminar
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