The transition to risk free rates is disrupting the trading industry and financial firms should be attentive in being aware of how the market is evolving around possible solutions. Considering the limited liquidity around the main RFRs and current efforts to limit the global exposure to LIBOR, it is imperative that all type of banks stay up-to-date with recent developments in the marketplace, in order to strategically manage the legacy books and properly model challenging products. On one hand, ongoing discussions around practices for the legacy trades and how to deal with broken hedges will have an impact on the portfolio exposure. On the other hand, there is still a lot of uncertainty on effective modelling and valuation of trades, given the limited data available. Firms should ensure keeping pace to ensure a smooth transition in line with tight deadlines.
With that in mind, this marcus evans event will address how global efforts to reform the benchmark rate and end LIBOR will impact derivatives valuations and legacy trades.
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