PRIMER: Sonia – what next? (part 2)

Abstract

[...]the ICE swap rate benchmark is based on live executable quotes from different multilateral trading facilities, and a snapshot of these at different times of the day is taken to establish the rate.  Associated British Ports announced in September that it was ‘exploring possible restructuring of the GBP Libor linked Floating Rate Notes…which may include but not be limited to a change in the Interest Basis from Libor to the Bank of England administered benchmark interest rate, Sonia’. “The transition needs to be market-led,” said Phil Lloyd, head of market structure & regulatory customer engagement at NatWest Markets.