SONIA (interest rate)

SONIA (Sterling Over Night Index Average) is the effective reference for overnight indexed swaps for unsecured transactions in the Sterling market.[1]

History

It was launched in March 1997 by the WMBA, and is endorsed by the British Bankers Association (BBA).

The Bank of England took on administration of rate in April 2016. Two years later, in April 2018, the rate underwent a number of reforms.[1] In the same year efforts to promote SONIA as the standard Sterling interest rate benchmark for loans, derivatives and bonds were stepped up.[2][3]

Technical details

Each London business day the SONIA fixing is calculated as the weighted average rate of all unsecured overnight sterling transactions brokered in London by Wholesale Markets Brokers' Association (WMBA) members between 00:00 and 15.15 GMT in a minimum deal size of 25 million GBP with counterparties listed under Section 43 of the UK Financial Services Act 1986.

The rate conventions are: annualised rate, act/365, four decimal places.

See also

References

  1. 1 2 https://www.bankofengland.co.uk/markets/sonia-benchmark
  2. ↑ https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor
  3. ↑ https://www.reuters.com/article/us-china-economy-cenbank/china-discusses-ways-to-stabilize-market-expectations-central-bank-idUSKCN1LJ14P
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.