IBOR Transition - What it Means for the Derivatives Market 2019 | Global Financial Markets Intelligence | 4 February 2019 | Hotel Maison FL, 6 Rue de la Tour, 75116 Paris, France

Ever since the ‘LIBOR scandal’ there has been pressure from regulators and central bankers to find an alternative benchmark money-market index. The first IBOR transition process in 2008-10 saw the market adopt OIS discounting as best practice in derivatives valuation; now the BoE and ECB have signaled their intention to go one step further and retire IBOR entirely.

This course looks at the reasons for the planned change, what the new benchmark rate(s) will look like, how it will impact on the pricing and risk-management of interest-rate derivatives, and the challenges that this poses for banks and dealers. We start by reviewing the first IBOR transition (the adoption of OIS as the core discount curve), and the details of the ‘LIBOR manipulation’ scandal that sowed the seeds for the upcoming second transition. The course then looks quantitatively at what this will mean for derivatives practitioners responsible for the valuation and risk-management of interest-rate sensitive derivatives. The approach is rigorous but accessible, with intuition emphasised over mathematical complexity, and illustrated throughout with real-life examples, exercises and case studies.

• Understand what is planned and how it will affect you
• Understand at a fundamental level the role that a benchmark rate plays in derivatives pricing
• Learn what this implies for collateral and margining
• Help your bank prepare itself and its clients for the transition

Who should attend?

This course is relevant for all institutions using IBORs in derivatives products, including but not limited to: commercial and investment banks, asset managers, pension funds, hedge funds and insurance companies. The course is ideally suited for anyone involved in:
• Interest rates derivatives trading
• Quantitative analysis
• Financial engineering
• Market risk management
• Model validation
• Independent price verification
• Product control
• Collateral management
• Derivatives structuring
• Derivatives sales
• Client relationship managers
• Documentation and legal drafting

2019 Speaker:

Richard Fedrick
Derivatives Product Group at Morgan Stanley