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- Title
Interest rate expectations from overnight swap rates.
- Abstract
The article provides information about the sterling overnight index average (SONIA) swaps. A SONIA interest rate swap contract is an agreement between two counterparties to replace fixed interest rate payments for floating interest rate payments. SONIA swaps are used to speculate on against the future level of overnight interest rates. Over the past year, a market contacts report shows that turnover in SONIA swap markets has grown rapidly. Forward rates derived from SONIA swaps offer a more reliable read on market expectations of future official rates.
- Subjects
INTEREST rate swaps; FIXED interest rates; SWAPS (Finance); MONETARY policy; VARIABLE interest rates; PAYMENT
- Publication
Bank of England Quarterly Bulletin, 2005, Vol 45, Issue 4, p410
- ISSN
0005-5166
- Publication type
Article