Fixed Income and Debt

Money Markets - Part 2 (2021)


This eCourse consists of two modules on interest rate benchmarks. Module 1 looks at the rise and fall of LIBOR as the key benchmark rate for the pricing of swaps and other financial instruments, and its replacement by SOFR and other benchmark indexes.

As the key benchmark rate LIBOR is due to be phased out in the near future. Module 2 looks at the issues involved in transitioning from LIBOR to the new benchmarks (such as SOFR and SONIA). The role of fallback language and approaches are also covered in detail.


On completion of this course, you will be able to:
- Recall the history of LIBOR
- Recognize the circumstances that gave rise to the need to replace LIBOR as a benchmark rate
- List the key characteristics of the SOFR benchmark index
- Identify other key benchmark rates, namely €STR and SONIA
- Identify the key implementation issues for new interest rate benchmarks in the post-LIBOR environment
- Recall the impact on cash and derivatives markets under the new benchmarks, including that on SOFR futures, single-period swaps, and nonlinear interest rate derivatives
- Recall the use of the ISDA Protocol with noncleared interest rate swaps
- Recognize the role of fallback language and fallback approaches, namely, the amendment and the hardwired approaches
- List other key LIBOR replacement issues, including credit-sensitive rates, synthetic LIBOR, and tough legacy


Module 1: Interest Rate Benchmarks – An Introduction
Topic 1: Overview of LIBOR
Topic 2: Replacement of LIBOR
Topic 3: SOFR
Topic 4: Other Benchmark Indexes

Module 2: Interest Rate Benchmarks - Market Developments
Topic 1: Implications of Libor Cessation
Topic 2: Interest Rate Derivatives Post - LIBOR
Topic 3: Fallback Approaches & Language
Topic 4: Other Issues


Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 3 - Leveraged foreign exchange trading
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:1.50, PWMA:1.50
All Member: HK$460
Staff of Corporate Member: HK$460
Non-Member: HK$665