BoE plans could force change to Libor-Sonia swap payments

Reformed Sonia proposals may see floating-leg settlements delayed

Bank of England
Bank of England: proposals would shift Sonia's publication date

Proposed changes to the sterling overnight indexed average (Sonia) rate could require a change to the payment date for swaps with floating legs referencing the benchmark, but the market is divided over which date to use.

A Bank of England (BoE) consultation paper on the proposed changes to the Sonia benchmark, which the bank says is used for pricing derivatives worth a notional of £7.7 trillion ($9.5 trillion), was released last week. The BoE's proposals, which were first outlined in 2015, inclu

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 indvidual account here: