SONIA: Difference between revisions

From ACT Wiki
Jump to navigationJump to search
imported>Doug Williamson
(Note Bank of England becoming administrator with effect from 23 April 2018. Source: Bank of England webpage https://www.bankofengland.co.uk/markets/benchmarks)
(Layout.)
 
(24 intermediate revisions by 2 users not shown)
Line 1: Line 1:
''Interest rate benchmarks''.
Sterling Overnight Index Average.   
Sterling Overnight Index Average.   


Line 7: Line 9:




It is published by WMBA Ltd (part of European Venues and Intermediaries Association - EVIA) in London at 5pm each day.  
It is defined and calculated as the weighted average rate (to four decimal places) of all unsecured sterling overnight cash transactions brokered in London by EVIA* member firms between midnight and 4.15pm London time with all counterparties in a minimum deal size of £25 million.




It is defined and calculated as the weighted average rate (to four decimal places) of all unsecured sterling overnight cash transactions brokered in London by EVIA member firms between midnight and 4.15pm London time with all counterparties in a minimum deal size of £25 million.
The Bank of England assumed responsibility as the administrator of a revised SONIA with effect from April 2018.


 
Among other changes, SONIA was broadened to include overnight unsecured transactions negotiated bilaterally, as well as those arranged via brokers.
The Bank of England will become the administrator of SONIA with effect from 23 April 2018.




Line 20: Line 21:
* [[Euro Overnight Index Average ]]
* [[Euro Overnight Index Average ]]
* [[EURONIA]]
* [[EURONIA]]
* [[European Venues and Intermediaries Association]]
* [[European Venues and Intermediaries Association]] (EVIA)
* [[Financial Stability Board]]
* [[HONIA]]
* [[Interest determination date]]
* [[LIBOR]]
* [[LIBOR]]
* [[Over night index average rate]]
* [[Over night index average rate]]
* [[Overnight indexed swap]]
* [[Overnight indexed swap]]
* [[RFR WG]]
* [[Risk-free rates]]
* [[SARON]]
* [[SARON]]
* [[SOFR]]
* [[Sterling overnight index average]]
* [[Sterling overnight index average]]
* [[TONAR]]
* [[TONAR]]
* [[Transition risk]]
* [[Working Group on Sterling Risk-Free Reference Rates]]
==Other links==
*[https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor/working-group-on-sterling-risk-free-reference-rates Working Group of Sterling Risk-Free Reference Rates - latest announcements & publications]
*[https://www.treasurers.org/hub/technical/practical-guide-libor A Practical Guide to LIBOR transition - Slaughter & May - Association of Corporate Treasurers]


*[https://www.bankofengland.co.uk/markets/sonia-benchmark SONIA and other benchmarks]


*[https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report ARRC: Second Report]


===Other links===
*[https://www.evia.org.uk/ European Venues and Intermediaries Association - EVIA]


[http://www.wmba.org.uk/pages/index.cfm?page_id=31 Wholesale Markets Brokers' Association (WMBA)]
[[Category:Corporate_financial_management]]

Latest revision as of 14:55, 27 September 2023

Interest rate benchmarks.

Sterling Overnight Index Average.


Tracks actual average market sterling funding rates each day:

  • for settlement that day
  • where repayment is made on the following business day.


It is defined and calculated as the weighted average rate (to four decimal places) of all unsecured sterling overnight cash transactions brokered in London by EVIA* member firms between midnight and 4.15pm London time with all counterparties in a minimum deal size of £25 million.


The Bank of England assumed responsibility as the administrator of a revised SONIA with effect from April 2018.

Among other changes, SONIA was broadened to include overnight unsecured transactions negotiated bilaterally, as well as those arranged via brokers.


See also


Other links