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SONIA is the abbreviation for the Bank Of England’s Sterling Overnight Index Average and was first introduced in March 1997. SONIA is a widely used interest rate benchmark and the reference rate for sterling Overnight Indexed Swaps (OIS). The Bank of England became its administrator in April 2016, and introduced a series of reforms of the benchmark in April 2018. Data for the previous London business day is published by authorised distributors at 9am.

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According to the Bank of England, the definition of SONIA has two elements:

(i) Statement of underlying interest

  • SONIA is a measure of the rate at which interest is paid on sterling short-term wholesale funds in circumstances where credit, liquidity and other risks are minimal.

(ii) Statement of methodology

  • On each London business day, SONIA is measured as the trimmed mean, rounded to four decimal places, of interest rates paid on eligible sterling denominated deposit transactions.
  • The trimmed mean is calculated as the volume-weighted mean rate, based on the central 50% of the volume-weighted distribution of rates.

Eligible transactions are:

  • reported to the Bank’s Sterling Money Market daily data collection, in accordance with the effective version of the ‘Reporting Instructions for Form SMMD’
  • unsecured and of one business day maturity
  • executed between 00:00 hours and 18:00 hours UK time and settled that same-day
  • greater than or equal to £25 million in value.

The statement of the underlying interest is intended to be an enduring statement of the economic concept that SONIA seeks to measure. The statement of the methodology describes how the specified underlying interest is currently to be measured.

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