Interest determination date

An interest determination date is a date by reference to which an amount of interest is calculated.

There is normally a time lag between the interest determination date and the interest payment date.

Five-day lag

"In SONIA referencing bonds, we have seen the Interest Determination Date set five days in advance of the interest payment date.

This essentially creates a five-day lag between the interest period and the interest rate reference period.

For example, for a bond that is due to rollover on the 15th of the month, the final interest rate applicable in that period would be finalised on the 10th of that month, enabling market participants sufficient time for calculation of cash flow and settlement...

It is possible that over time the five-day period could shorten as the market becomes more familiar with this change in convention."

The Treasurer magazine, Cash Management Edition April 2019 p28, Lloyds Bank.

See also

• Bond
• Determination
• Settlement
• SONIA