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
- Recognise 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 new benchmark indices, such as SOFR, €STR, and SONIA, that will replace LIBOR and other IBOR rates 
- List the differences between LIBOR and SOFR 
- Recall the development of SOFR futures 
- Recognise the importance of achieving SOFR term rates
- Define the role of fallback language and identify the key fallback approaches, namely, the amendment approach and hardwired approach


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
Staff of Corporate Member: HK$480
All Member: HK$480
Non-Member: HK$720