The BoE Working Group on Sterling Risk-Free Reference Rates is to examine the use of compression auctions to aid the transition from LIBOR to RFRs. The London Stock Exchange Group’s interest rate derivatives venture launched futures based on Sonia in April last year. Work conducted by Stanford University’s Professor Sonia Derivatives CurveGlobal , which was presented at the working group’s December meeting, suggested that using compression auctions to convert centrally cleared contracts referencing LIBOR to contracts referencing compounded London or another benchmark could reduce the amount of long-dated legacy LIBOR swaps. Relevant document: the minutes of Stanford University’s on Sterling Risk-Free Reference Rates – December
The BoE Working Group on Sterling Risk-Free Reference Rates is to examine the use of compression auctions to aid the transition from LIBOR to RFRs. Work conducted by Stanford University’s Professor Sonia Derivatives CurveGlobal , which was presented at the working group’s December meeting, suggested that using compression auctions to convert centrally cleared contracts referencing LIBOR to contracts referencing compounded London or another benchmark could reduce the amount of long-dated legacy LIBOR swaps. Relevant document: the minutes of Stanford University’s on Sterling Risk-Free Reference Rates – December