This training is provided by MORS Software partner Bearning.

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?

Content:

• Original interest rate benchmarks: EURIBOR, EONIA, LIBOR, other xIBOR. History, conventions and usage, development before and after global financial crisis 2008.
• New IR benchmarks – risk-free rates (RFR): regulatory standards, differences, major currencies benchmarks (ESTER, SOFR, SARON, SONIA, TONAR)
• RFR application on different financial products: standard banking products (loans with variable rate), usage in FTP system, bonds with variable rate, derivatives (swaps, futures, options)
• Transition from xIBOR to RFR
• Alternatives how to apply O/N RFR fixings on longer maturities:
  • backward-looking rate (in-arrears): averaging and compounding
  • forward-looking rate
• 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….)