Interest Rates
Datasets
SONIA
Sterling Over Night Interbank Average Rate
Overview
SONIA is a risk-free rate (RFR) developed by The Working Group of the Bank of England as an alternative RFR for anchored transactions. SONIA was recommended by The Working Group in April 2017 as the preferred RFR and since then has been focused on how to transition to using SONIA across sterling markets.
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. 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 Bank of England (BoE) serves as the administrator for the SONIA benchmark.
website: https://www.bankofengland.co.uk/markets/sonia-benchmark
File Collection
Daily update file is collected from BOE website: https://www.bankofengland.co.uk/boeapps/database/fromshowcolumns.asp?Travel=NIxAZxSUx&FromSeries=1&ToSeries=50&DAT=RNG&FD=1&FM=Jan&FY=2010&TD=11&TM=May&TY=2025&FNY=Y&CSVF=TT&html.x=66&html.y=26&SeriesCodes=IUDSOIA&UsingCodes=Y&Filter=N&title=IUDSOIA&VPD=Y
Schedule
Daily update are processed between 10.00 AM and 12.00 GMT the following London business day.
Sample File
Sample file sample file
Type
Data is stored as #ForwardCurve
Data ID and Name
Example data id and name
| Data Id | Name |
|---|---|
| BOE_IR.SONIA.GBP.IUDSOIA.FWD.ON | Sterling Overnight Interbank Average Rate Daily |
Attributes
| Name | Value |
|---|---|
| Source | BOE |
| Source Name | Bank of England |
| Dataset | SONIA |
| Dataset Name | Sterling Overnight Interbank Average Rate |
| Market | Financial |
| Commodity | Forward Interest Rates |
| Product | IR Forwards |
| Location | United Kingdom |
| Region | Europe |
| Quote Calendar | HENG |
Validation
Data is validated for missing data points using HENG calendar for expected absences.
Licensing
Data is freely available from the BOE website and can be used by customers without permissions.
€STR
Euro Short Term Rate
Overview
Euro short-term rate (€STR) is a reference rate for the currency euro. It reflects the wholesale euro unsecured overnight borrowing costs of banks located in the euro area. The €STR is calculated by the European Central Bank (ECB) and is based on the money market statistical reporting of the Eurosystem. The euro short-term rate (€STR) is published on each TARGET2 business day based on transactions conducted and settled on the previous TARGET2 business day (the reporting date “T”) with a maturity date of T+1 which are deemed to have been executed at arm’s length and thus reflect market rates in an unbiased way.The ECB published the €STR for the first time on 2 October 2019, reflecting trading activity on 1 October 2019.The working group on euro risk-free rates has recommended €STR as a replacement for the EMMI Euro Overnight Index Average (EONIA) as the Euro risk-free rate for all products and contracts.
website: https://www.ecb.europa.eu/
Schedule
File is processed between 7:00 AM and 8:00 GMT the following target2 business day.
Sample File
Sample file sample file
Type
Data is stored as #ForwardCurve
Data ID and Name
Example data id and name:
| Data Id | Name |
|---|---|
| #ECB_IR.ESTR.EURO_SHORT_TERM_RATE.FWD | Euro Short-Term Rate,Volume-weighted Trimmed Mean Rate plus Compounded Euro Short-Term Rate Index Forward Curve |
Attributes
| Name | Value |
|---|---|
| Source | ECB |
| Source Name | European Central Bank |
| Dataset | ESTR |
| Dataset Name | Euro Short Term Rate |
| Market | Financial |
| Commodity | Forward Interest Rates |
| Product | IR Forwards |
| Location | United Kingdom |
| Region | Europe |
| Quote Calendar | HTR |
Validation
Data is validated for missing data points using HTR calendar for expected absences.
Licensing
Data is freely available from the ECB website and can be used by clients without permissions.
EFFR
Effective Federal Funds Rate
Overview
Federal funds rate is the target interest rate set by the Federal Open Market Committee (FOMC) at which commercial banks borrow and lend their excess reserves to each other overnight.
FOMC sets a target federal funds rate eight times a year, based on prevailing economic conditions. The federal funds rate can influence short-term rates on consumer loans and credit cards as well as impact the stock market.
The Effective Federal Funds Rate (EFFR) is calculated as the effective median interest rate of overnight federal funds transactions during the previous business day. It is published daily by the Federal Reserve Bank of New York.
website:
Schedule
File collection is between 17.00 and 18.00 GMT on US business day.
Sample File
Sample file sample file
Type
Data is stored as #ForwardCurve
Data ID and Name
Example data id and name
| Data Id | Name |
|---|---|
| FRB_IR.EFFR.USD.FWD.ON | Effective Federal Funds Rate Over Night by the Federal Reserve Board Daily |
Attributes
| Name | Value |
|---|---|
| Source | FRB |
| Source Name | Federal Reserve Board |
| Dataset | EFFR |
| Dataset Name | Effective Federal Funds Rate |
| Market | Financial |
| Commodity | Forward Interest Rates |
| Product | IR Forwards |
| Location | United States |
| Region | America |
| Quote Calendar | HUSA |
Validation
Data is validated for missing data points using HUSA calendar for expected absences.
Licensing
Data is freely available from the FRB website and can be used by clients without permissions.
ECB_IR
European Central Bank Refinancing Rate
Overview
Euro short-term rate (€STR) is a reference rate for the currency euro. It reflects the wholesale euro unsecured overnight borrowing costs of banks located in the euro area. The €STR is calculated by the European Central Bank (ECB) and is based on the money market statistical reporting of the Eurosystem. The euro short-term rate (€STR) is published on each TARGET2 business day based on transactions conducted and settled on the previous TARGET2 business day (the reporting date “T”) with a maturity date of T+1 which are deemed to have been executed at arm’s length and thus reflect market rates in an unbiased way.The ECB published the €STR for the first time on 2 October 2019, reflecting trading activity on 1 October 2019.The working group on euro risk-free rates has recommended €STR as a replacement for the EMMI Euro Overnight Index Average (EONIA) as the Euro risk-free rate for all products and contracts.
website: https://www.ecb.europa.eu/
File Collection
Daily update file is collected from ECB website:https://sdw.ecb.europa.eu/browseSelection.do?node=9698302
Schedule
File collection is between 7:00 AM and 8:00 GMT the following target2 business day.
Sample File
Sample file sample file
Type
Data is stored as #InterestRates
Data ID and Name
Example data id and name
| Data Id | Name |
|---|---|
| #ECB_IR.FM.B.U2.EUR.4F.KR.MRR_FR.LEV.SPOT | European Central Bank Main Refinancing Operations - Fixed Rate Tenders (Fixed Rate) (date of changes)-Leve -Daily |
| #ECB_IR.FM.B.U2.EUR.4F.KR.MRR_MBR.LEV.SPOT | European Central Bank Main Refinancing Operations - Variable Rate Tenders (Minimun Bid Rate) (Date of Changes)-Level-Daily |
Attributes
| Name | Value |
|---|---|
| Source | ECB |
| Source Name | European Central Bank |
| Dataset | ECB_IR |
| Dataset Name | European Central Bank Refinancing Rates |
| Market | Financial |
| Commodity | Interest Rates |
| Product | IR Spot |
| Location | Europe |
| Region | Europe |
| Quote Calendar | Daily |
Validation
Data is validated for missing data points.
Licensing
Data is freely available from the ECB website and can be used by clients without permissions.