SONIA: Difference between revisions
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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. | |||
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* [[Euro Overnight Index Average ]] | * [[Euro Overnight Index Average ]] | ||
* [[EURONIA]] | * [[EURONIA]] | ||
* [[European Venues and Intermediaries Association]] | * [[European Venues and Intermediaries Association]] (EVIA) | ||
* [[Financial Stability Board]] | * [[Financial Stability Board]] | ||
* [[HONIA]] | |||
* [[Interest determination date]] | * [[Interest determination date]] | ||
* [[LIBOR]] | * [[LIBOR]] | ||
| Line 33: | Line 31: | ||
* [[Risk-free rates]] | * [[Risk-free rates]] | ||
* [[SARON]] | * [[SARON]] | ||
* [[SOFR]] | |||
* [[Sterling overnight index average]] | * [[Sterling overnight index average]] | ||
* [[The Working Group on Sterling Risk-Free Reference Rates]] | |||
* [[TONAR]] | * [[TONAR]] | ||
* [[ | * [[Transition risk]] | ||
==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] | |||
[[Media:Slaughter and May interest rate benchmarks.pdf| 2021: A Benchmark Odyssey, Practical Guidance for Treasurers on interest rate benchmarks, Slaughter and May]] | *[[Media:Slaughter and May interest rate benchmarks.pdf| 2021: A Benchmark Odyssey, Practical Guidance for Treasurers on interest rate benchmarks, Slaughter and May]] | ||
[ | *[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] | ||
[https://www.evia.org.uk/ European Venues and Intermediaries Association - EVIA] | [https://www.evia.org.uk/ European Venues and Intermediaries Association - EVIA] | ||
[[Category:Corporate_financial_management]] | [[Category:Corporate_financial_management]] | ||
Revision as of 04:32, 16 January 2022
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
- Benchmark
- Euro Overnight Index Average
- EURONIA
- European Venues and Intermediaries Association (EVIA)
- Financial Stability Board
- HONIA
- Interest determination date
- LIBOR
- Over night index average rate
- Overnight indexed swap
- RFR WG
- Risk-free rates
- SARON
- SOFR
- Sterling overnight index average
- The Working Group on Sterling Risk-Free Reference Rates
- TONAR
- Transition risk
