Sonia-Libor basis narrows after fallback verdict

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

Narrowing-sterling-Libor-Sonia-basis

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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: