NatWest Markets has today launched a website - nwm.RealisedRate.com – to help calculate compounded rates for Sterling Overnight Index Average (SONIA) as the market transitions away from the London Inter-Bank Offered Rate (LIBOR).
NatWest Markets is the first to launch a free calculator of this sort, as called for by the Bank of England’s Sterling Risk Free Rate (RFR) working group. Unlike LIBOR which uses forward looking term rates, SONIA requires the calculation of compounded rates over a look-back period. Calculating those rates is a blocker for many in the market, requiring the download of hundreds of fixings and application of compounding logic.
The website provides compounded SONIA rates in all major tenors, a SONIA calculator for bespoke start and end date calculations and a SONIA index (Realised Rate Index, or ‘RRIX’) baselined from the start of reformed SONIA on 23 April 2018. The calculation results can be embedded in applications or spreadsheets via a program interface (API).
Commenting on the launch, Oliver Cooke, MD at NatWest Markets and co-chair of the Sterling RFR Infrastructure Working Group, said:
“Helping a broad range of market participants transition away from LIBOR is a priority for NatWest Markets. I am proud that we are once again leading the way through the launch of this site which will help users of SONIA to calculate compounded rates using standard conventions. Many users do not have the systems to make such calculations easily themselves, a key blocker to transition.”
This launch builds on the standalone SONIA calculator published by NatWest Markets in June. It is based on Bank of England SONIA data and standard calculation conventions endorsed by the International Swaps and Derivatives Association (ISDA). The Sterling RFR WG published a consultation paper in March on conventions for referencing SONIA and called for a calculator to be built to support the adoption of SONIA based instruments.
Following the launch, NatWest Markets is seeking industry feedback to further refine the application. The development will be market led in order to help a wide range of end users with their transition to the new rates.
The launch of the website follows NatWest Markets’ role as the sole solicitation agent for the conversion of Associated British Ports’ LIBOR-linked bond to SONIA in May and NatWest Bank providing the first SONIA based loan product to National Express in July, both industry firsts.