Term SONIA reference rate: Difference between revisions
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imported>Doug Williamson (Create page. Source - A practical guide to LIBOR transition - Slaughter and May - September 2020 - p11) |
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* [[Currency]] | * [[Currency]] | ||
* [[Risk-free rates]] (RFR) | * [[Risk-free rates]] (RFR) | ||
* [[SOFR term rate]] | |||
* [[SONIA]] | * [[SONIA]] | ||
* [[Term]] | * [[Term]] | ||
Revision as of 08:03, 12 September 2021
Interest rates - reference rates - forward-looking benchmarks - SONIA.
(TSRR).
Term SONIA refers to a forward-looking benchmark interest rate, based on the Sterling Overnight Index Average (SONIA), as published by the Bank of England.
- Term SONIA will have only limited application - UK RFRWG
- "The UK RFRWG has repeatedly emphasised their expectation that the bulk of the cash markets should transition to backward-looking RFRs and should not wait for term rates...
- The UK RFRWG believes term SONIA is likely to be appropriate only in limited instances where operational necessity precludes the use of a compounded in arrears RFR or another alternative rate."
- A practical guide to LIBOR transition - Slaughter and May - September 2020, p11
