Sterling swap traders brace for new Sonia switch deadline

Covid delays force regulators to set new date for interdealer swap market to price off RFR

Sonia deadline

UK regulators are preparing to issue a second deadline for the interdealer sterling swaps market to move off its Libor foundation, after coronavirus-related disruption upended the initial timeline.

After initially setting a date of March 2, the Financial Conduct Authority and the Bank of England will now encourage interdealer market participants to price swaps transactions off a curve reflecting the Sterling Overnight Index Average, or Sonia, from late October or early November, market

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