Sonia-Libor basis narrows after fallback verdict

Isda picks five-year median for spread adjustment, causing benchmark gap to tighten


The basis between sterling Libor and Sonia swaps narrowed sharply on Monday, after an industry trade body clarified the methodology for calculating the final rate at which Libor swap contracts will switch to alternative risk-free rates (RFRs).

The gap between interest rate swaps referencing six-month sterling Libor and its successor overnight rate narrowed by 3.45 basis points, or 13%, at the 30-year part of the curve on November 18, while the 10-year basis tightened by 2.75 basis points, or 10

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