2007-03-26: Replacement of the South African Overnight Interbank Average (Saonia) rate with improved benchmark overnight rates
Last Modified Date:
2020-10-08, 08:11 PM
Media > Media Releases
2007-03-26: Media statement issued by the SARB: Replacement of the South African Overnight Interbank Average (Saonia) rate with improved benchmark overnight rates With effect from 28 March 2007, the South African Reserve Bank (SARB) will replace the overnight interbank rates that are published daily on its website, on Reuters and on I-Net with new benchmark call rates. The rates that will be discontinued are:1) South African Overnight Interbank Average (Saonia) rate;2) Saonia+;3) FX Forwards rate, and4) Carry Rates These rates will be replaced by two new rates, namely:1) South African Benchmark Overnight Rate on deposits (Sabor,)and2) Implied rate on one-day rand funding in the foreign exchange swap market (the Overnight FX rate). The replacement of the four existing rates with two new rates is the result of a process of consultation with the main participants in the money market and other stakeholders, under the auspices of the Money Market Liaison Group. (The Money Market liaison Group is a committee comprising members from the SARB and money-market participants from the commercial banks, which meets three times per year to discuss issues of mutual interest.) A number of deficiencies with the previous rates have been identified, which had prevented these rates from becoming true benchmarks for pricing in the overnight portion of the money market, as had originally been intended. The new rates are an attempt to address these shortcomings. The main changes that have been made relate to the broadening of the calculation bases of the rates to include not only interbank funding, but also some wholesale funding. Also, the definition of “overnight” has been extended to include any funding available on call. In addition, measures have been put in place to increase the credibility of the rates. These measures have increased the reliability of the rates, and decreased the ability of a single institution to influence the rates, whether intentionally or by coincidence. Providing an improved and credible benchmark for funding available on demand is seen as a step forward in improving the efficiency of and transparency in the very short end of the money market. The SARB and the MMLG are committed to continuing improving the functioning of the domestic money market. For more detail on the new rates, please refer to the implementation document, entitled Overnight funding rates published by the South African Reserve Bank, available on the SARB website under Financial Markets/Market Research. Any further queries in this regard can be referred to Dr Roelf du Plooy, Head: Financial Markets Department at tel. +27 12 313 4213/fax +27 12 313 3969/ e-mail Roelf.DuPlooy@resbank.co.za. Alternatively, please contact Ms Trudie Coode at tel. +27 12 313 3355/ fax +27 12 313 3969/ e-mail Trudie.Coode@resbank.co.za.