EURIBOR, SONIA, Gilt, and Swap Rates
Current rate fixings and swap rates. Need additional capital markets data to help in your underwriting? Hedging questions? Contact us.
EURIBOR
EURIBOR is an interbank lending rate that is averaged from reports by a panel of banks seeking unsecured Euro-denominated loans in the short-term money market. The EURIBOR index is the adjustable interest rate referenced on approximately EUR 150 trillion of debt and derivatives.
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SONIA
SONIA is the Sterling Overnight Index Average. It is published each London business day by the Bank of England and measures the cost of overnight, unsecured borrowing. Daily SONIA fixings are compounded to calculate an overall floating rate for an interest period. Compounded SONIA fixings provided by Chatham reflect the backward-looking rate for the designated tenors.
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Gilt
Gilts are U.K. government securities issued by HM Treasury. These are the risk-free benchmark assets used for pricing fixed-rate debt in the sterling market. Levels shown represent mid yield-to-maturity on conventional gilts which pay fixed coupons on a semiannual basis.
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3-month EURIBOR swaps
EURIBOR swaps are commonly used by borrowers to hedge floating-rate EUR debt, structured to pay this fixed rate quarterly versus receiving 3-month EURIBOR quarterly, on an Actual/360 basis without amortization. Often used as a reference rate for fixed-rate debt.
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6-month EURIBOR swaps
EURIBOR swaps are commonly used by borrowers to hedge floating-rate EUR debt, structured to pay this fixed rate quarterly versus receiving 6-month EURIBOR quarterly, on an Actual/360 basis without amortization.
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SONIA swaps
SONIA swaps are commonly used by borrowers to hedge floating-rate SONIA debt, structured to pay this fixed rate quarterly versus receiving 3-month compounding SONIA quarterly, on an Actual/365 fixed basis. Often used as a reference rate for fixed-rate debt.
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STIBOR swaps
STIBOR swaps are commonly used by borrowers to hedge floating-rate SEK debt, structured to pay this fixed rate quarterly versus receiving 3-month STIBOR quarterly, on an Actual/360 basis without amortization. Often used as a reference rate for fixed-rate debt denominated in Swedish Kronor.
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CIBOR swaps
CIBOR swaps are commonly used by borrowers to hedge floating-rate DKK debt, structured to pay this fixed rate quarterly versus receiving 3-month CIBOR quarterly, on an Actual/360 basis without amortization. Often used as a reference rate for fixed-rate debt denominated in Danish Kroner.
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NIBOR swaps
NIBOR swaps are commonly used by borrowers to hedge floating-rate NOK debt, structured to pay this fixed rate quarterly versus receiving 3-month NIBOR quarterly, on an Actual/360 basis without amortization. Often used as a reference rate for fixed-rate debt denominated in Norwegian Kroner.
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WIBOR swaps
WIBOR swaps are commonly used by borrowers to hedge floating-rate PLN debt, structured to pay this fixed rate quarterly versus receiving 3-month WIBOR quarterly, on an Actual/365 fixed basis without amortization. Often used as a reference rate for fixed-rate debt denominated in Polish Zloty.
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PRIBOR swaps
PRIBOR swaps are commonly used by borrowers to hedge floating-rate CZK debt, structured to pay this fixed rate quarterly versus receiving 3-month PRIBOR quarterly, on an Actual/360 basis without amortization. Often used as a reference rate for fixed-rate debt denominated in Czech Koruna.
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Disclaimers
Chatham Hedging Advisors, LLC (CHA) is a subsidiary of Chatham Financial Corp. and provides hedge advisory, accounting and execution services related to swap transactions in the United States. CHA is registered with the Commodity Futures Trading Commission (CFTC) as a commodity trading advisor and is a member of the National Futures Association (NFA); however, neither the CFTC nor the NFA have passed upon the merits of participating in any advisory services offered by CHA. For further information, please visit chathamfinancial.com/legal-notices.
Transactions in over-the-counter derivatives (or “swaps”) have significant risks, including, but not limited to, substantial risk of loss. You should consult your own business, legal, tax and accounting advisers with respect to proposed swap transaction and you should refrain from entering into any swap transaction unless you have fully understood the terms and risks of the transaction, including the extent of your potential risk of loss. This material has been prepared by a sales or trading employee or agent of Chatham Hedging Advisors and could be deemed a solicitation for entering into a derivatives transaction. This material is not a research report prepared by Chatham Hedging Advisors. If you are not an experienced user of the derivatives markets, capable of making independent trading decisions, then you should not rely solely on this communication in making trading decisions. All rights reserved.