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Alternative to BoE index includes 0% floors and support for both lag and shift conventions
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Ice Benchmark Administration (IBA) has begun publishing a series of Sonia indexes aimed at loan issuers seeking an alternative to an official version launched by the Bank of England in August.
The indexes are designed to simplify the calculation of compounded-in-arrears rates and should be available for use in loan contracts from April 1, when sterling Libor lending is due to cease.
The market had been expected to coalesce around the BoE’s index, but conventions for calculating interest
Risk.net
Libor to Sonia – If not now, when?
10 Feb 2021
By Andy Ross, chief executive, CurveGlobal Markets
At the end of this year, Libor will cease to exist. It is no longer about getting ready – it’s about
being ready. If we think of Libor as an ‘approaching storm’, the potential for disruption is great. If you heard a large storm coming, would you wait until you were in the centre of it to take precautions? It’s no different for futures market participants and their derivatives portfolios with the end of Libor already clearly on the horizon.
While it may make sense to hold on to your current positions tied with the old benchmark at the moment – whether they’re yielding a profit or to minimise losses – you run serious risks to your business model by not transitioning to new risk-free reference rates (RFRs). The markets that underpin Libor are no longer liquid, which has led to the reliance on so-called ‘expert judgement’ rather than actual transacti
Bloomberg, IHS Markit join race for SOFR credit add-on
BSBY index seen as ‘easy option’ add-on for regulator-preferred RFR; Markit preps for Q2 launch Print this page
Participants demanding a credit spread add-on for the secured overnight financing rate may now be spoilt for choice. Four firms are vying to be the go-to provider of a bank funding spread, which could be layered onto the Federal Reserve-backed Libor successor in US lending markets.
The newest entrants, Bloomberg and IHS Markit, have devised methodologies which broadly resemble a blueprint from Ice Benchmark Administration (IBA) for its Ice Bank Yield Index (BYI). All three have primary bank