Page 13 - MONECO Financial Training Catalogue
P. 13

REFORM OF INTEREST RATE BENCHMARKS: TRANSITION TO A WORLD WITHOUT IBORs



           –  Why does the corporate loan market         –  What is the existing market for overnight    •  Transition to RFRs for fl oating-rate
           need a ‘term’ rate, e.g. 3-month   index swaps (OIS)?                 bonds
           ESTER?                             –  How would a swap market based upon      –  What do borrowers and investors
           –  How do we develop a ‘forward-   new RFRs work?                       require from the transition and how can
           looking term rate’ for RFRs?         Swaps versus daily reset/compounding  these requirements be met?
         •  Probable corporate loan characteristics        Swaps versus term RFR rates     –  How do we price the replacement
          post-IBOR                             How would term RFR resets work?  bond coupon to make the transition
           –  Fixing sources for term RFRs       Basis trading versus IBOR swaps  fair to both sides?
           –  Rate and settlement calculations     –  Hedging using RFR-linked swaps   •  Transition to RFRs for corporate loans
           –  Pricing versus IBOR-linked equivalent       RFR-linked ‘new issue swaps’     –  What do companies and banks require
         •  Pricing corporate loans             Asset swaps (fi xed to RFR)      from the transition and how can these
           –  Replacing the credit and liquidity        RFR-linked corporate loan hedging  requirements be met?
           information from IBOR                                                   –  Dealing with the choice of term RFR
                                             30
           –  Using RFRs to determine FTP rates  12 –13 30                         and reset rate source
                                            Lunch                                  –  How do we price the replacement loan
                                             30
          Derivatives referencing the new   13 –17 00                              margin to make the transition fair to
         RFRs                               Migrating legacy IBOR deals            both sides?
         •  Why is IBOR used in derivatives    •  The case for migrating legacy IBOR deals     •  Derivatives transition
          contracts?                        to the new RFRs                        –  The latest on the ISDA consultations
         •  Replacing IBOR in FRA, Futures and      –  Complications in fl oating-rate bonds and      –  The likely look of a fallback rate
          IRS trades                          corporate loans                        Backward- versus forward-looking
           –  Existing market for overnight index      –  Does current documentation contain fall-       Historically calculated or market
           futures                            back provisions to deal with the end of   implied
             Fed Funds, EONIA, SONIA       IBOR?                                  Details: Mean versus median,
             Contract descriptions           What are the common fall-back    lookback periods, weighting the
           –  New RFR futures contracts        provisions?                          average
             SOFR, ESTER, SARON                                                   Implications of using the fallback
             Contract descriptions                                               language on legacy deal P/L







            Lecturer: Mark Taylor
            Mark spent 10 years as an FX and interest rate derivatives trader in London, HK
            and New York before moving into fi nancial training, where he has spent the last
            9 years.  His trading experience spans vanilla and exotic products having run
            profi table businesses across the derivatives product spectrum.
            Mark graduated from the University of Bristol with a  fi rst-class degree in
            Aeronautical Engineering.  He had a brief stint as an aerodynamicist working on
            military aircraft design for BAe Systems, before moving into fi nance, fi rst with
            Deutsche Bank and then RBS.
            After leaving fi nance Mark bought, ran and subsequently sold a retail business;
            in the process developing a  fi rst-hand understanding of company valuation,
            accounting, as well as company fi nancing and risk management.
            Mark uses his experience in fi nancial markets and the corporate world to run engaging training courses
            across both the markets and corporate fi nance disciplines.


















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