Transition from LIBOR to SONIA
The principles and market sizes detailed within the TP ICAP benchmark methodologies apply to both SONIA and LIBOR interest rate swaps (IRS). From 27th October 2020, if SONIA IRS and LIBOR IRS prices cannot be maintained because of prices on the basis curves, the SONIA IRS will take precedence. The primary curve will be SONIA IRS with LIBOR IRS priced by reference to SONIA IRS, adjusted by the 6v3 and s/l basis.
If after five working days liquidity is not consistently over 50% in favour of SONIA IRS, ICAP reserves the right to switch the primary pricing curve back to LIBOR IRS.
As the broader market transitions from LIBOR to SONIA Moorgate Benchmarks will actively monitor and review the relevant benchmarks in this regard. The descriptors and economic rational elements contained within the methodology documentation will be updated as soon as the LIBOR to SONIA transition is concluded.
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