SONIA Futures EDSP Calculation


SONIA Futures EDSP Rate Calculation

The EDSP shall be calculated by reference to the Sterling Overnight Index (SONIA) Average rate as calculated and published by the Bank of England in respect of each London Banking Day (on a T+1 basis) during the Accrual Period.

EDSP = 100 - R
Where R is calculated as:
Where
d= the total number of days in the accrual period
X= the total number of SONIA fixings that are determined in the accrual period, i.e. the number of London Banking Days in the accrual period
i= is a series of whole numbers 1 to X, each representing the relevant London Banking Days in chronological order from, and including, the first London Banking Day in the accrual period
Fi= the overnight factor of return that applies to the ith SONIA rate of the accrual period determined as:
(rounded to 8 decimal places)
Where                                 SONIAi= the SONIA reference rate published by the Bank of England which applies to any day i in the accrual period and will be published on the next Banking Day
ni= the SONIA number of calendar days that the SONIAi rate applies to. It represents the number of days between one SONIA fixing and the next. On dates which are not London Banking Days, the SONIA rate that corresponds to the most recent prior London Banking Day will also apply over the following sequence of consecutive non-London Banking Days.


e.g. Friday's rate (published on the Monday) will apply to Friday, Saturday and Sunday in this calculation