Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
Certain liability-driven investment funds are avoiding entering into interest rate swaps linked to sterling Libor and are instead adopting the new risk-free rate in the UK, the sterling overnight index average (Sonia), according to bankers and asset managers.
The move, they say, is partly being prompted by concerns over Libor’s long-term future given global regulators’ keenness to wean the industry off the embattled interest rate benchmark. In preparation for the switch to Sonia, UK authorities
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