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 indices.

Module 2 looks at the key features of the new benchmarks, especially SOFR, that replaced LIBOR, and how SOFR differs from LIBOR with its backward-looking approach. It also looks at different SOFR-based products, such as SOFR futures, interest rate swaps, and floating rate notes.

On completion of this course, you will be able to:
- Identify the key uses of interest rate benchmarks, namely discounting and the calculation of payments
- 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 and recall how a SOFR curve can be bootstrapped using SOFR futures
- Identify other key benchmark rates, namely €STR and SONIA, as well as credit-sensitive benchmarks
- Identify the new benchmark indices that will replace LIBOR and other IBOR rates
- Identify the main contract specifications of SOFR futures
- Define the main types of interest rate swap
- Recognize the role of credit products
- Identify the key types of SOFR-based cap and floor product

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

Module 2: Interest Rate Benchmarks - Product Applications
Topic 1: Overview of Interest Rate Benchmarks
Topic 2: STIR Futures
Topic 3: Interest Rate Swaps
Topic 4: Credit Products
Topic 5: Caps & Floors