BoE ‘turbo charges’ post-Libor transition with plans for index and ramped-up haircuts

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By Burhan Khadbai, Ross Lancaster
27 Feb 2020

The Bank of England turned up the heat on Libor this week with plans to publish a compounded Sonia index and averages in a move that will drive the transition to the new risk-free rate with a simpler coupon calculation methodology. It will also increase haircuts on Libor-linked collateral which is intended to accelerate the switch out of Libor FRNs maturing after 2021.

“These initiatives are aimed at turbo-charging sterling transition, helping the market deliver against its commitment to transition away from Libor and further derisking sterling markets,” said Andrew Hauser executive director, markets at the Bank of England, who unveiled the plans at an International Swaps and Derivatives Association (ISDA) ...

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