Overnight Indices
Overnight indices\index{Index!Overnight} are indices related to lending (collateralised or not) on a one day horizon. The rates are typically computed as a weighted average or median of actual transactions. The standard overnight indices for some currencies and their characteristics are summarised in the table below.
| Currency | Name | Reference | Convention | Calendar | Pub. lag | Col. |
|---|---|---|---|---|---|---|
| CAD | CORRA | ON | ACT/365 | CATO | 1 | Yes |
| CHF | SARON | ON | ACT/360 | CHZU | 0 | Yes |
| DKK | DESTR | ON | ACT/360 | DKCO | 1 | No |
| EUR | ESTR | ON | ACT/360 | EUTA | 1 | No |
| EUR | EONIA | ON | ACT/360 | EUTA | 1 | No |
| GBP | SONIA | ON | ACT/365 | GBLO | 1 | No |
| JPY | TONAR | ON | ACT/365 | JPTO | 1 | No |
| PLN | WIRON | ON | ACT/365 | PLWA | 0 | No |
| SEK | SWESTR | ON | ACT/360 | SEST | 1 | No |
| USD | EFFR | ON | ACT/360 | USNY | 1 | No |
| USD | SOFR | ON | ACT/360 | USGS | 1 | Yes |
The most common usage of those indices in interest rate derivatives is in overnight indexed swaps and in collateral interest payment.
CAD-CORRA
CORRA is the acronym of Canadian Overnight Repo Rate Average. It measures the cost of overnight general collateral funding in Canadian dollars using Government of Canada treasury bills and bonds as collateral for repurchase transactions. It is published by the Bank of Canada. The Bank of Canada took over the calculation and publication of CORRA 15 June 2020 with a changed methodology.
Reference: https://www.bankofcanada.ca/rates/interest-rates/corra/
CHF-SARON
SARON is the acronym of Swiss Average Rate Overnight. It is based on overnight interest rate of the secured money market for CHF. The underlying quotes are transactions and quotes posted in the Swiss repo market. Its administrator is SIX Swiss Exchange. The index was introduced on 25 August 2009 (historical data available from 30 June 1999).
DKK-DESTR
DESTR is the acronym of Denmark Short-Term Rate. It is a transaction-based reference rate based on unsecured overnight deposit transactions. Danmarks Nationalbank calculates DESTR on all Danish banking days based on the specific transactions made in the Danish krone market the previous banking day. The benchmark was launched on 1 April 2022.
EUR-ESTR
ESTR is the acronym of Euro short-term rate. It is published by the ECB on each TARGET2 business day based on transactions conducted and settled on the previous business day. The benchmark is published since 1 October 2019.
EUR-EONIA
EONIA is the acronym of Euro OverNight Index Average. It is listed here for completeness and its relevance to the benchmark transition (Chapter~\ref{ChapTransition}). The benchmark was discontinued on 1 October 2019. It was computed as a weighted average of all overnight unsecured lending transactions undertaken in the interbank market, initiated within the euro area by the contributing banks. It was calculated by the European Central Bank\index{European Central Bank}\index{Central bank!Europe|seeonly{European Central Bank}}. The rate was published in the evening (around 19:00) of the period start date.
GBP-SONIA
SONIA is the acronym of Sterling OverNight Index Average. SONIA was introduced in March 1997. The Bank of England became its administrator in 2016. It has been reformed in 2018. The data used to calculate it to includes overnight unsecured transactions negotiated bilaterally, as well as those arranged through brokers. It is calculate as a volume-weighted trimmed mean. It is now published at 9:00 on the following business day instead of 18:00 on the same day.
Reference: https://www.bankofengland.co.uk/markets/sonia-benchmark
JPY-TONAR
TONAR is the acronym of Tokyo OverNight Average Rate. It is the weighted average rate of all unsecured overnight cash transactions between financial institutions. The rate is published by the Bank of Japan (BOJ). The day count convention is ACT/365. A provisional result is publish on the evening (at 17:15 JST except on the last business day of the month where it is 18:15 JST) of the period start. The final result is published in the morning (10:00 JST) of the end date.
Reference: http://www.boj.or.jp/en/statistics/market/short/mutan/
PLN-WIRON
WIRON is the acronym of Warsaw Interest Rate Overnight. Index based on actual deposit transactions that banks having the role of data contributors make with financial institutions and large companies.
Reference: https://www.gpwbenchmark.pl/indices-details
SEK-SWESTR
SWESTR is the acronym of Swedish krona Short Term Rate. It is a reference rate calculated and published by the Riksbank. SWESTR is a transaction-based reference rate based on transactions executed on the money market from one banking day to the next in Swedish kronor.
Reference: https://www.riksbank.se/en-gb/statistics/swestr/
USD-EFFR
EFFR is the acronym of Effective Federal Funds Rate. It is calculated as a volume-weighted median of overnight transactions reported in the FR 2420 Report of Selected Money Market Rates. It is calculated by the Federal Reserve Bank of New York. The rate is published daily since 1 July 1954. The rate is published in the morning (around 9:00 am) of the period end date.
Reference: https://www.newyorkfed.org/markets/reference-rates/effr
USD-SOFR
SOFR is the acronym of Secured Overnight Financing Rate. It is a broad measure of the cost of borrowing cash overnight collateralized by US Treasury. The SOFR includes all trades in the Broad General Collateral Rate plus bilateral Treasury repurchase agreement (repo) transactions cleared through the Delivery-versus-Payment (DVP) service offered by the Fixed Income Clearing Corporation (FICC), which is filtered to remove a portion of transactions considered “specials”. The SOFR is calculated as a volume-weighted median. The rate is published daily -- for good business days in the USGS calendar -- since 2 April 2018. It is published in the morning (around 8:00) of the period end date.
Reference: https://www.newyorkfed.org/markets/reference-rates/sofr
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