January 30, 2020

GBP LIBOR Ending on March 2nd – Did Anyone Notice?

An announcement from the FCA and Bank of England puts forward a date for the GBP market to switch to SONIA

Perhaps you noticed this and maybe this is common knowledge but the FCA and Bank of England have recommended that trading in GBP LIBOR comes to an end on the 2nd of March 2020 – yes, this year.

Their statement (over here) says:

Following FCA discussions with market makers, the authorities have identified 2 March 2020 as an appropriate date for this change to happen.

The market for SONIA derivatives is already well-established. Average cleared over-the-counter SONIA swaps exceeded £4.5trillion per month over the past six months, and the traded monthly notional value is now broadly equivalent to Sterling LIBOR.

To support this analysis ClarusFT have used data from US SDRs to analyse the two benchmarks. You can read their analysis over here. ClarusFT are planning to live blog March 2nd to try and observe the switch over happening.

Commenting on this initiative, Edwin Schooling Latter, Director of Markets and Wholesale Policy at the FCA, said:

’We have seen great progress in the development of the SONIA derivatives market. I encourage all market participants to join the initiative to put SONIA first over LIBOR from 2 March. This should help make SONIA the market standard in sterling swaps as is already the case in the bond market.’

Andrew Hauser, Executive Director for Markets, Bank of England, said:

‘This move toward a much greater use of SONIA in the sterling derivatives market builds on the strong foundations established in recent years and demonstrates a strong continuing partnership between UK authorities and market participants to bring about a decisive shift away from use of LIBOR ahead of end-2021.’


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