Zochova 6-8, Bratislava 811 03, Slovakia

IR Benchmark Reform

The change in reference interest rates affects many financial products. New risk-free rates (RFR) replace the original Interbank offered rates (xIBOR). What impact does the use of the new RFR have on investors, banks, and their customers? What are the legal, technical, and mathematical aspects of the transition to new interest benchmarks?

Length:	1/2 day (13 October 2021 public on-line)
Difficulty:	Expert
Price:	290EUR + VAT, or individual (in-house)
Place:	In-house (On-line / On-site)

Content

New IR benchmarks - risk-free rates (RFR): regulatory standards, differences, major currencies benchmarks (ESTER, SOFR, SARON, SONIA, TONA), days calculations conventions.
Comparison to originally used benchmarks EURIBOR, EONIA, LIBOR, other xIBORs and their conventions
Recommended standards by central banks (ECB RFR working group, BoE SONIA working group, FED ARRC) and associations (LMA, ISDA)
Transition from xIBOR to new RFR, multiple-rate approach or using existing O/N rate
Calculation alternatives and how to apply O/N RFR fixings on longer maturities:
- backward-looking rate (in-arrears): averaging and compounding, with or without observation shift
- forward-looking rate
New RFR application:
- usage with various asset classes: standard banking products (various types of loans, loans hedged with swap), bonds with variable rate, derivatives (swaps, futures, options)
- FTP models with the new benchmarks
Basis swap in-arrears, case studies & calculation examples
Legal issues with new IR benchmarks, ISDA fallback protocol

Target group

Treasury and financial market experts
Corporate bankers
ALM, risk managers and risk controllers
Financial professionals and experts from related areas (audit, back-office, compliance, accounting....)

Preparation or additional learning (optional)

Bearning E-learning in the form of script and/or texts, questions, multi-level tests, solutions and explanations. Large discounts for workshop participants (30-50%)!