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I am reading material reference rates calculation for SONIA by refinitiv. It says the data is calculated based on OIS Rates between 10:50AM and 11:00 AM.

https://www.refinitiv.com/content/dam/marketing/en_us/documents/methodology/refinitiv-term-sonia-benchmark-statement.pdf

I have following questions:

  1. Why do they choose that particular time window for calculation of reference rate?
  2. Where can I get OIS spread data to cross check the data from refinitiv?

This is only for educational purpose.

Regards,

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  • $\begingroup$ because Benchmarks always use a window, it is published at 11:50 (so centering it around 11 is the most natural choice). The 4pm FX fix is similar. Choice of window size depends on liquidity. Why replicate? Benchmarks are inherently difficult to replicate (otherwise they would be easy to manipulate which makes it useless to use as a Benchmark). $\endgroup$
    – AKdemy
    Feb 7, 2022 at 22:39
  • $\begingroup$ @AKdemy : Thanks. I am interested in seeing OIS rates for SOFR. Is there any free data source available online. I checked ICE but couldn't retrieve the data. $\endgroup$ Feb 8, 2022 at 12:54

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