Sonia
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
Brexit, EU regulation and a new benchmark
The week on Risk.net, July 28-August 3, 2018
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
Eonia death will hit valuations and OIS market – expert
Working group hears end of Euribor by 2020 would threaten financial stability
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts
Libor expert: don’t rely on forward RFR rates for transition
Swaps users should embrace backward-looking risk-free rates instead, says chair of UK working group
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules