In another milestone for the sterling market’s Libor transition, at least two banks have traded Sonia-linked swaptions and a third is actively showing prices for the instruments. NatWest Markets is understood to have executed a trade last month to hedge a balance-guaranteed swap – a transaction in which the swap notional reduces at a rate linked to the amortisation of a reference security. The trade was physically settled, meaning users are left with a Sonia swap if the option is exercised at Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content. To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact [email protected] to find out more. You are currently unable to copy this content. Please contact [email protected] to find out more.
Two banks have traded SONIA-linked swaptions with a second actively showing prices for the instruments. NatWest markets executed a trade to hedge a balance-guaranteed swap last month, according to Risk.net. The swap element of the physically settled trade reduces at a rate linked to the amortisation of a referenced security, leaving users with a SONIA swap if the option is exercised. HSBC is the third bank to have traded a SONIA-linked swaption, with Barclays reportedly offering prices.