Progress to produce erm SONIA hindered by market disruption

A trial to trial term SONIA fixings proposals provided by LSEG, ICE, Refinitiv and Markit has stalled due to lack of derivative input date during the trial period as dealers pull swap prices from screens, according to Risk.net. Three of the four benchmark administrators have been unable to gather enough input date and although the fourth has produced a rate, there are questions over its methodology, Risk.net reported.

 

Relevant document:

Review of TSRR proposals – Clarus Financial Technology – November 2019https://www.clarusft.com/sonia-term-rates-which-is-best/

A trial period for four rival benchmark administrators to stake their claim as the go-to provider for forward-looking term Sonia rates is proving to be a more arduous assessment than envisaged, as Covid-19 volatility wreaks havoc with underlying markets.

Three of the hopefuls have struggled with a lack of derivatives input data for their versions of the rate; the fourth has produced a rate, but there are questions over its methodology.

The UK financial regulator has signalled it doesn’t intend