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The outlook for 2021 – Libor
This three-part audiocast series explores some of the key topics and evolving challenges that will shape the agenda for capital markets participants in 2021.
This first episode turns the spotlight on Libor. The deadline for the planned cessation of Libor at the end of 2021 looms large for market participants, who must decide their strategies and manage risk in the transition to alternative reference rates.
Steffan Tsilimos, head of interest rate derivatives products at Bloomberg, discusses the outlook for Libor derivatives, including how firms can best understand their exposure, the different approaches required for legacy transactions and the challenges of developing liquidity in risk-free rate (RFR) markets.
00:30 Libor transition – where are we now?
02:43 The differences in approach for legacy transactions in the bond and derivatives markets
05:34 Understanding and analysing Ibor exposure
08:22 Trading activity in newer RFR markets such as the secured overnight financing rate (SOFR) and the euro short-term rate (€STR)
10:31 The outlook for 2021
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