Interest Rate Swaps and the LIBOR Transformation - Beyond Basics: VIRTUAL DELIVERY

This course aims to enhance the understanding of the more sophisticated aspects of the interest rate swaps market. The course starts with the fundamentals of the LIBOR transition and the introduction of the new Risk Free Rates and their application to the interest rate swap market. Moving on to swap pricing and risk management, before covering tenor basis swaps and cross currency swaps.
- Case studies and illustrations are used to demonstrate the product applications
- A fundamental knowledge of interest rate derivatives

Course Objectives
- Identify the primary differences between LIBOR and the new Risk Free Rate benchmarks chosen as its replacement
- To provide a frame work for the intuitive valuation of swaps using PV01 sensitivities
- To provide an understanding of the properties and risk profiles of interest rate swaps and how to hedge a swaps portfolio
- To understand how tenor basis and cross currency swaps are priced and used in practice

This virtual course is one of the ICE Education LIVE programs. We provide two phases to the course:
1. Live Virtual Sessions: Trainer led live video sessions (as per the outline below). These are short focused sessions with practical activity and interaction throughout.
2. Post-course: An optional live video clinic session is scheduled for one week post course for any learning points you'd like to revisit.
All course payments must be received one day prior to the start date

Course Information

Price £895 + VAT
Duration 1 day
Location Virtual
Available Dates

Who Should Attend

This course is aimed at anyone with an interest (whether direct or indirect) in the trading of fixed income derivatives. Delegates may include not only traders but also related functions including risk management, oversight and mid-office roles.

Booking Information

Tel: +44 (0) 20 7065 7706

Course Content

Session 1: LIBOR Transformation and the New Risk Free Rates (RFR)

  • Review of the current two track system of OIS and LIBOR benchmarks
  • Introducing the new RFRs -SOFR, ESTER(EURIBOR) and SONIA

o The differences between IBORs and RFRs

o Secured vs. unsecured benchmarks

  • A look at the new US SOFR benchmark

o The calculation process for the daily fixing

o Managing the legacy LIBOR-linked transactions

  • The need for creating synthetic term rates

Session 2: Swaps Pricing and Risk Management

  • Intuitive pricing and PV01
  • Mark to market and swap portfolio valuation

o Unwinding an interest rate swap -closing out a swaps trade

o Swap terminations and assignments

o Swap deltas, risk buckets and hedging mechanics

Session 3: Overnight Index Swaps and Tenor Basis Swaps

  • Overnight index swaps

o Mechanics and calculations

o Why the market has adopted OIS as the fundamental discounting curve

  • Tenor basis swaps -liquidity premiums and decoupled LIBOR curves

o What they are, how they work

o What does the tenor basis spread tell us?

o Implications for pricing FRAs

o Applications of tenor basis swaps and trading the spread

Session 4: Cross-Currency Swaps

  • Basic mechanics, reading the screen, quotation conventions

o Common customer applications (funding arbitrage, asset swaps)

  • The pricing of cross-currency swaps

o Incorporating the market CRX spread

o Drivers of the CRX basis

o Conversion factors and how to calculate them

  • Relationship to forward FX markets