SONIA Fixings, Accrual Dates, and OIS Conventions
Summary
The document explains how SONIA fixing dates relate to accrual dates in sterling overnight indexed swaps. Following a 2018 change to transaction-based benchmark publication, SONIA is published in arrears: the fixing dated for a day is available the next day and accrues from its date through the following business day. This explains why the index label and the date it covers can seem counterintuitive when pricing a swap.
It also describes how OIS conventions handle the resulting timing issue. A cutoff near the swap’s end can repeat the last available index value for the remaining accrual days. Overnight-index bonds may instead use a lag, which applies a fixing from another date, or a shift, which changes the accrual date range; the document notes a two-day lag for the Libor fallback. It gives a convention overview, but does not provide full trade documentation or all market-specific details.
Key ideas
- SONIA is published in arrears, with a fixing available the day after its indexed date.
- The indexed date’s rate accrues through the following business day.
- Some OIS contracts repeat the last fixing after a cutoff near the swap’s end.
- A lag shifts which fixing applies, while a shift changes the accrual date range.
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Full text
# Which date SONIA rate to apply for today's date in an OIS swap # Which date SONIA rate to apply for today's date in an OIS swap We are looking at trading a sterling OIS swap (OTC) and I can't find the specifics of the conventions anywhere. People tell me that because Sonia is an overnight rate, you use the preceding rate. So the Bank publish the SONIA for the 30th March at 9am on the 31st March, it's timestamped 30th, and the market uses that as the rate for the 31st in an OIS. Is that correct? Why isn't this clearly laid out anywhere since it seems counter intuitive? All the explanations around are about how to do loans with the libor transition, not exactly how everyone does OIS today. Really appreciate any light people can shed on this, and bonus for pointing me to any documentation! (And if that's not correct, then we don't get today's rate till tomorrow and we have a problem for our pricing timing -obviously can request a fixing lag but just trying to understand the market norms here.) ## Answer by Phil H (score 3, accepted) https://quant.stackexchange.com/a/63123 Firstly, note that this is a detail which changed in 2018. The BenchMark Regulations (applied from the EU reg) require that benchmarks are based on actual transactions, so Sonia changed from being a term rate for overnight published today for tonight, to being an in-arrears rate published tomorrow for tonight. The rate for some date (the index for that day) runs from that date to the following business day, so the index dated 30th ends on the 31st. Usually when pricing rates like Sonias, you talk about the end date of the swap rather than the start date, because the convention is that they start today. Inevitably this would cause some problems with paying people based on the index, so OIS often have a cutoff near the end of the swap where the last index value before the cutoff is repeated for the remaining days. Bonds based on overnight indices have either a lag (apply a different day's fixing) or a shift (calculate the accrual for a different date range), and the Libor fallback applies a 2 day lag.
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