The IBOR Transition

06 Nov, 2020 08:00 - 17:30 @ Supranational, Supranational

Money market interest rates are at the very core of financial markets – they are highly important to all market participants as well as private individuals, companies and governments.

This hands-on workshop will equip you to understand how money market rates (IBOR in particular) are used to price derivatives, as well as giving you insights into their related problems and the transition process to new indices.

The programme begins by providing a brief overview of the history and problems of LIBOR, and moves on to explaining the roles of money market indices, yield curves and discount curves. The latter part of the programme focuses on how to manage the IBOR transition process – starting with the first transition process around the time of the financial crisis – and explores the next phase of movements away from IBOR (including SOFR). The impact on funding, trading books and risk management, and documentation and execution issues are also covered.

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