Ground rules

January 2023

Refinitiv Benchmark Services (UK) Limited

FTSE Term SONIA
Benchmark Statement
Effective Date: 23 December 2021
Last Review Date: 31 January 2023
Document Classification: Public

lseg.com/en/ftse-russell

Contents

Section 1 Introduction ......................................................................................................................................................... 3
Section 2 Overview of methodology ................................................................................................................................... 4
Section 3 Potential limitations of the benchmark ................................................................................................................ 6
Section 4 Methodology changes and benchmark cessation .............................................................................................. 7
Section 5 Further information ............................................................................................................................................. 8
Annex 1 Climate related disclosures .................................................................................................................................. 9

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Section 1

Introduction
FTSE Term SONIA (the “Benchmark”) is a daily benchmark for risk-free interest rates for Sterling over the relevant
forward-looking tenors as implied by Overnight Index Swap contracts that reference SONIA (“SONIA OIS”).
LSEG tested the Benchmark using a Prototype methodology from July 2020 and launched the Benchmark in January
2021 as a regulated benchmark that can be referenced in financial contracts, financial instruments and by funds. As of 11
January 2021, Refinitiv Benchmark Services (UK) Limited (“RBSL” or “the Administrator”) became the administrator of
FTSE Term SONIA.
FTSE Term SONIA is a readily available data benchmark subject to the UK Benchmark Regulation 1 (“BMR”). RBSL
has adopted policies and procedures to comply with this Regulation. The Benchmark is a “non-significant” benchmark
for the purposes of the BMR. The Benchmark is not determined using contributions of input data. The Benchmark does
not have an ISIN. The Benchmark does not have any geographical boundaries.
FTSE Term SONIA is calculated using a waterfall Methodology comprised of two levels (“Level 1” and “Level 2”) and a
final integrated fallback level. Input data for the calculation of Level 1 and Level 2 are committed (i.e. executable)
quotes for spot starting SONIA OIS taken from, respectively, dealer-to-dealer Multilateral Trading Facilities (“MTFs”)
and a dealer-to-client trading platform. Input data for the integrated fallback level is compounded overnight SONIA
published by the Bank of England and historical Benchmark values published by RBSL.
FTSE Term SONIA comprises four tenors: 1 month, 3 months, 6 months and 12 months. The Benchmark is considered
to be reliable provided that:– there is sufficient activity on the underlying MTFs and dealer-to-client platform to allow RBSL to establish a
representative market level for risk-free Sterling interest rates when determining the Benchmark in accordance with
Level 1 or Level 2 of the waterfall Methodology; and– the underlying MTFs and dealer-to-client platform are sufficiently representative of overall market activity in SONIAOIS.
Both conditions should be satisfied in order for FTSE Term SONIA to be a reliable term benchmark for risk-free Sterlinginterest rates. The underlying MTFs and dealer-to-client platform are representative of wider market activity in SONIAOIS.
This benchmark statement shall be reviewed at least every two years, or whenever there is a material change to either
the type of the Benchmark or to the Methodology used in the determination of the Benchmark.

1

Following the UK’s withdrawal from the EU and the end of the transition period, the BMR has been onshored and brought into UK law (UK BMR). The BMR isRegulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016.

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Section 2

Overview of methodology
FTSE Term SONIA is calculated using a waterfall Methodology comprising two levels (“Level 1” and “Level 2”), eachsubject to a threshold, and a final integrated fallback. If the threshold for Level 1 is not reached, the Benchmark is
calculated using Level 2 of the Methodology subject to a second threshold. If the second threshold is not met, theBenchmark is calculated using the integrated fallback. The Level 1 and Level 2 thresholds have been calibrated toensure a sufficient quantity of eligible input data. Any use of the integrated fallback level is indicated when the resulting
Benchmark value is published.
Input data for each tenor for the calculation of Level 1 and Level 2 are committed (i.e. executable) quotes for spot
starting SONIA OIS contracts taken from, respectively, dealer-to-dealer Multilateral Trading Facilities (“MTFs”) and a
dealer-to-client trading platform. Input data for the integrated fallback level is overnight SONIA published by the Bank ofEngland and historical Benchmark values published by RBSL.
For Level 1, committed (i.e. executable) quotes from each MTF are captured every 30 seconds over a 20 minutewindow from 10:50am to 11:10am London time. The precise time of capture within each 30 second period varies.
Quotes are captured 40 times for each MTF over the 20 minute window. Quotes are captured for spot starting SONIAOIS in respect of the relevant tenors for the FTSE Term SONIA benchmark.
For each set of captured quotes, volume weighted bid and volume weighted offer rates are calculated using a standard
clearing notional amount that is specified for each tenor. A mid-rate is calculated using the volume weighted bid andoffer rates, resulting in up to 40 mid-rates for each of the two MTFs. FTSE Term SONIA is then determined as themedian rate of the mid-rates.
In order for a mid-rate to be valid, the volumes of the captured quotes must exceed the standard clearing notionalamount on both the bid side and the offer side, and the spread between the volume weighted bid and volume weighted
offer rates must be less than or equal to a maximum spread that is specified for each tenor.
The threshold for use of Level 1 in the determination of FTSE Term SONIA is that at least 36 valid mid-rates areavailable.
For Level 2, quotes from each dealer captured every 30 seconds over a 20 minute window from 10:50am to 11:10am
London time. The precise time of capture within each 30 second period varies. Quotes are captured 40 times over the
20 minute window. Quotes are captured for spot starting SONIA OIS in respect of the relevant tenors for the FTSE
Term SONIA benchmark.
In order to be valid, each bid rate to offer rate must be less than or equal to a maximum spread that is specified foreach tenor, and the volume on the bid and offer rate must be greater than or equal to a minimum notional amount.
A mid-rate is calculated using each valid bid rate and offer rate pair. FTSE Term SONIA is then determined as themedian rate of the mid-rates.
The threshold for use of Level 2 in the determination of FTSE Term SONIA is that at least 100 valid mid-rates areavailable and that these rates comprise at least a minimum number of valid mid-rates from each of a minimum numberof separate dealers.

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If the thresholds for use of Level 1 and Level 2 of the waterfall are not reached, FTSE Term SONIA is determined inaccordance with the integrated fallback. Under the integrated fallback, the spread between the FTSE Term SONIA
benchmark on the previous business day and overnight SONIA compounded to the previous business day is applied to
SONIA compounded to the day of the benchmark determination.
FTSE Term SONIA is published at 11:50am London time on each Business Day. The benchmark is published to
4 decimal places. Any use of the integrated fallback level is indicated when the resulting FTSE Term SONIA
benchmark value is published. If following publication, a material error is identified in the input data or the determinationof the Benchmark before 12:50pm London time, the administrator, RBSL, will refix the Benchmark. A material error is
one that results in a change of + or – 0.1 basis points to the published value of the benchmark.
No models or method of extrapolation or interpolation are used by RBSL when determining the Benchmark inaccordance with Level 1 or Level 2 of the waterfall. The compound return of SONIA over 30 calendars days is
calculated when the Benchmark is determined in accordance with the integrated fallback. The Benchmark is notdetermined by means of a portfolio of constituents. No expert judgment or discretion is exercised by RBSL in thedetermination of FTSE Term SONIA.

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Section 3

Potential limitations of the benchmark

Determination of FTSE Term SONIA is dependent on receiving sufficient input data from the MTFs and the dealer-toclient trading platform for each Benchmark tenor. Technical problems or extreme market events may lead to insufficient
input data as defined by the thresholds for Level 1 and Level 2 of the waterfall, resulting in the determination of the
Benchmark in accordance with the integrated fallback. RBSL considers that the MTFs and the dealer-to-client trading
platform provide input data that is representative of market activity among a wide range of market participants and thatthe input data avoids any concentration in sources of input data.
The Methodology of FTSE Term SONIA is therefore resilient in the event of a lack of liquidity in the underlying market
for SONIA OIS. However, an extreme market event may lead to a loss of liquidity on the platforms that supply input
data, preventing the determination of the Benchmark in accordance with Level 1 or Level 2 of the waterfall andresulting in the use of the integrated fallback in its determination.

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Section 4

Methodology changes and benchmark
cessation

The Methodology of FTSE Term SONIA has been adopted as being a reliable and resilient means for providing abenchmark that accurately represents risk-free interest rates for Sterling over the relevant forward-looking tenors.
The Benchmark Methodology is subject to a review in order to assess its ongoing fitness for purpose on at least anannual basis. In the event that the review leads RBSL to believe that a change to the Methodology is required and thatthe change is material in its effect on the benchmark, a market consultation will be conducted in accordance with the
RBSL Benchmark Methodology Change Policy in order to seek feedback from a representative range of stakeholders.
RBSL will review all feedback and, if following such review it resolves to proceed with the proposed change orchanges, will provide sufficient notice to users of the benchmark before implementing such change or changes.
Circumstances beyond the control of RBSL may necessitate an immediate change to or the cessation of thebenchmark. Such circumstances include without limitation a loss of liquidity in the underlying SONIA OIS markets.
In the event that an immediate change is required, RBSL will provide as much notice as is practicable and following
such change will conduct an internal review of the Methodology.
If it becomes necessary to cease calculation and distribution of the benchmark, RBSL will implement the RBSL
Benchmark Cessation Policy. This includes conducting an analysis of the estimated usage of the benchmark and,
where feasible, the selection of a credible alternative benchmark. In all cases, RBSL will take all reasonable steps toensure that all users and other stakeholders are made aware as soon as possible of any intention or possible necessity
to cease the benchmark.
Any material change to the Methodology or cessation of the benchmark may have an impact on any financial contract
or financial instrument that references the benchmark or on the measurement of the performance of an investment
fund that uses or refers to the benchmark. A material change to the Methodology may lead to a change in theeconomic reality represented by the benchmark and therefore to the economic exposure of any financial contract orfinancial instrument that references the benchmark. A cessation of the benchmark would require the selection of analternative benchmark or the implementation of any fallback procedures for financial contracts or financial instrumentsthat reference the benchmark.

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Section 5

Further information

The Methodology of FTSE Term SONIA provides additional information and definitions of key terms and is available on
the FTSE Term SONIA website.
For further information about FTSE Term SONIA, please contact RBSL at index_queries@LSEG.com.

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Annex 1

Climate related disclosures

Section 1 – Consideration of ESG factors
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Other

Choose the relevant underlying asset from the list provided in Annex II.
Item 3. Name of the benchmark or family of benchmarks.

FTSE Term SONIA

Item 4. Are there in the portfolio of the benchmark administrator any EU Climate
Transition Benchmarks, EU Paris-aligned Benchmarks, benchmarks that pursue ESG
objectives or benchmarks that take into account ESG factors?

☐ Yes ☒ No

Item 5. Does the benchmark or family of benchmarks pursue ESG objectives?

☐ Yes ☒ No

Section 3 – Disclosure of the alignment with the objectives of the Paris agreement
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate Transition Benchmarks
and EU Paris-aligned Benchmarks, benchmark administrators shall also disclose the following information.
By 31 December 2021, benchmark administrators shall, for each benchmark or, where applicable, each family of benchmarks, disclose
the following information:i.

Does the benchmark align with the target of reducing carbon emissions or theattainment of the objectives of the Paris Agreement;

Date on which information has last been updated and reason for the update:☐ Yes ☒ No
31 January 2023
Date of last benchmark statement review

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Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). LSEG includes (1) FTSE International Limited (“FTSE”), (2) Frank Russell Company(“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI
Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”) (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv Limited (“RL”)
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marks owned or licensed by the applicable member of LSEG or their respective licensors and are owned, or used under licence, by FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI
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or rate was officially launched. However, back-tested data may reflect the application of the index or rate methodology with the benefit of hindsight, and the historic calculations of anindex or rate may change from month to month based on revisions to the underlying economic data used in the calculation of the index or rate.
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