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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

 

In part 2 of this series, Bloomberg’s David Croen considers the 2021 outlook for credit risk amid the impacts of pandemics, price wars and political friction, and asks how firms can gain a more comprehensive view of credit risk. 

In part 3, Bloomberg’s Eugene Stern assesses the 2021 outlook for the Fundamental Review of the Trading Book and explains why banks must seize the opportunity to raise their risk management capabilities in relation to market risk.

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