SONIA in WTMS®

Version 3.0.1.0 of WTMS®, released in July this year, heralded the full support for SONIA compounding interest in response to the increasing number of financial organisations moving away from LIBOR-linked products to those linked to SONIA.

For a Treasury system to fully support SONIA-linked instruments it must satisfy the following requirements:

  • The compounding of SONIA-linked interest is applied on working days only
  • The ability to specify a number of decimal places that rates are to rounded to
  • The ability to reference historic SONIA rates when resets are executed – also known as ‘Days Lag’
  • The application of any margin over and above the SONIA base rate as simple interest
  • The ability to precisely calculate interim accrued interest throughout an interest period to support the secondary SONIA-linked security market

Working in close collaboration with our WTMS® customers, these requirements have been fully delivered leading to a system in which users can be confident that their SONIA-linked instruments can be completely and accurately administered.  The new SONIA functionality has since been fully tested and confirmed in a live deployment for SONIA-linked derivatives, both primary and secondary SONIA-linked bonds,  and against NatWest Markets’ online SONIA interest calculator.

Stuart Clarke, Head of Treasury at the Monmouthshire Building Society had this to say about Whistlebrook’s Treasury Management System (WTMS®).

“The work done by the Whistlebrook to provide a TMS solution that accurately calculates compounded rates and cashflows on SONIA instruments has been very impressive.

Monmouthshire Building Society were keen to transition high quality liquid assets and interest rate swaps from LIBOR to SONIA but were unwilling to use spreadsheets as a work around to deal with the complexities of SONIA compounding.

Whistlebrook have delivered a high quality TMS product that has given the Society confidence to move away from LIBOR for its high quality liquid assets and new interest rate swaps, knowing that the calculation of rates and cashflows are accurate and are captured automatically in one system.”