LIBOR Alternative Rates - The Transition and the Future of OTC Derivatives Pricing and Curve Construction

The development of new references rates alternative to LIBOR are expected to have direct consequences for derivatives contracts, particularly for those that do not mature until after 2021.

Important steps are already being taken to address this change, but some questions still remain, such as what happens to LIBOR-based products should LIBOR no longer be available? And how will LIBOR alternative rates impact derivatives valuations and curve construction practices going forward?

This white paper discusses these issues and the preparations derivatives market participants should consider to ensure a smooth transition.