BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
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
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