替代无风险率(ARFRS),脱模
LIBOR(伦敦银行银行过夜率)由全球银行使用,以参考现金和衍生产品的浮动率。但是,用于设置LIBOR的方法是有缺陷的并且十年前造成了一个主要的丑闻。随着银行间贷款的下降,增加流动性风险,区域监管机构已选择替代无风险参考率(RFRS)来取代LIBOR。英国监管机构已建议金融机构在2021年底到2021年底,使用英镑过夜指数平均(索尼亚)RFR。
The transition is not straightforward: LIBOR is quoted across several tenors, while SONIA is only published as an overnight rate; and LIBOR incorporates a credit risk spread, but SONIA does not. Expleo has developed extensive expertise in the use of the complex calculation methodologies required to complete the transition into an adjusted form of SONIA. This white paper outlines why banks should work with an experienced partner like Expleo, to ensure the most cost-effective, successful transition, with all associated impacts and risks identified, tested and managed appropriately.
Banks will benefit from using Expleo’s specialist expertise to manage the transition from Sterling LIBOR to SONIA.