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 key features of the new benchmarks, especially SOFR, that will replace LIBOR, and how SOFR differs from LIBOR with its backward-looking approach. The role of fallback language and approaches is 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 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
- Recognize 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

Content Highlight

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 – Applications
Topic 1: Benchmark Rates
Topic 2: LIBOR vs. SOFR
Topic 3: SOFR Term Rates & Spread Adjustments
Topic 4: SOFR Futures & CCPs
Topic 5: Pre-Cessation Triggers & Fallback Approaches

Administrative Details

SFC:1.50, PWMA:1.50
All Member: HKD435
Non-Member: HKD615
Staff of Corporate Member: HKD435