Benchmarks

The Bank of England is the administrator for the SONIA benchmark. We are implementing the reform of SONIA and the development of sterling risk-free reference rates.

Sterling Overnight Index Average (SONIA) is the existing unsecured reference rate for the sterling Overnight Indexed Swap (OIS) market. As the administrator for the SONIA benchmark, we are taking steps toward reforming it. We have also started a private-sector working group to develop and implement a near risk-free rate (RFR) for sterling markets.

SONIA benchmark

Introduced in March 1997, SONIA is the Sterling Overnight Index Average.  It is a widely used benchmark, including as the reference rate for the sterling Overnight Indexed Swap (OIS) market. It reflects bank and building societies’ overnight funding rates in the sterling unsecured market.

We became the administrator of the SONIA benchmark in April 2016. We have designed our governance arrangements for administering SONIA to be consistent with intent of international best practice, as encapsulated in the IOSCO Principles for Financial Benchmarks.

IOSCO Principles for Financial Benchmarks

SONIA is currently calculated and published daily on our behalf by the Wholesale Market Brokers’ Association (WMBA). This relationship is governed by a legal agreement. The Financial Conduct Authority regulates the WMBA as the calculation and publication agent for SONIA.

Wholesale Market Brokers' Association (WMBA)

There is an advisory committee that supports us with administering the benchmark. The committee is made up of people external to the Bank. 

PDFTerms of reference

If you have queries relating to the SONIA benchmark, please email benchmarkadministration@bankofengland.co.uk

SONIA complaints and whistleblowing

Complaints about SONIA can be emailed to SONIAcomplaints@bankofengland.co.uk.

We have established a whistleblowing mechanism to facilitate early awareness of potential misconduct or irregularities relating to SONIA.

Whistleblowing is when an employee reports suspected wrongdoing at work. An employee can report things that are not right, are illegal or if anyone at work is neglecting their duties, including:

  • someone’s health and safety is in danger
  • damage to the environment
  • a criminal offence
  • a person not obeying the law
  • covering up wrongdoing.

Firms are encouraged to consider setting up appropriate internal procedures which will encourage workers with concerns in relation to the SONIA benchmark to blow the whistle.

If your employer does not have an internal whistleblowing procedure, or if you do not feel able to use it, then contact us on +44 (0) 203 461 8703 during office hours. Alternatively, you can email us at SONIAwhistleblowing@bankofengland.co.uk or write to us at: IAWB Team, PRA CCS, Bank of England, 20 Moorgate, London EC2R 6DA.

Legal protection of whistleblowers

Under UK whistleblowing legislation, workers who make ‘protected disclosures’ have certain protection against detrimental treatment by their employer. While some types of disclosure to us are automatically protected in this way, disclosures relating to SONIA are not currently automatically protected. 

However, a disclosure by a worker to a person other than their employer (such as to the Bank of England) can be a protected disclosure if it is carried out using a procedure which the worker’s employer has authorised the individual to use. If you are intending to make a disclosure to us in relation to SONIA, you should consider reviewing your employer’s whistleblowing procedures or consulting your workplace’s whistleblowing champion (if there is one) to determine whether your employer has authorised disclosure to the Bank of England. 

Whistleblowing to the Financial Conduct Authority (FCA) in relation to misconduct is treated as a protected disclosure. If you would prefer to whistleblow to the FCA, you can call 020 7066 9200 during office hours. Alternatively, you can email whistle@fca.org.uk or write to: Intelligence Department (ref PIDA), The Financial Conduct Authority, 25 The North Colonnade, Canary Wharf, London E14 5HS.

Note that the above is not a comprehensive statement of the law on whistleblowing. If you are in doubt as to your legal position, consider obtaining independent legal advice. Further guidance on whistleblowing is also available from the UK Government.

SONIA reform

We are currently in the process of reforming the SONIA benchmark. These reforms will become effective on 23 April 2018.

The changes are:

  • The Bank will produce SONIA, including the calculation and publication as well as being the SONIA administrator.
  • SONIA will be broadened to include overnight unsecured transactions negotiated bilaterally as well as those arranged via brokers. We will collect this data using our Sterling Money Market data collection.
  • The averaging methodology for calculating SONIA will change to a volume-weighted trimmed mean.
  • SONIA will be published at 9am on the business day following the day the rate relates to, allowing us the time to process the larger volume of transactions it will capture.

The Bank has undertaken several rounds of consultation on the reforms of SONIA.  The SONIA Key Features and Policies document provides users of SONIA with a consolidated summary of how SONIA will be calculated and administered, including the governance arrangements, following the implementation of the reforms.

PDFSONIA Key Features and Policies

ExcelData presented in the SONIA key features and policies document

The reform of SONIA - A supplementary consultation and an update on timing

View consultation

The reform of SONIA - a consultation paper


A new sterling money market data collection and the reform of SONIA: public consultation

View consultation

View consultation feedback and the Bank's response

If you have queries relating to SONIA reform, please email benchmarkadministration@bankofengland.co.uk

Further expressions of interest in participating in Libor transition work are invited.  For more details, please contact RFR.Secretariat@bankofengland.co.uk *

Sterling risk-free reference rates

We are currently overseeing the development of sterling Risk-Free Reference Rates (RFRs). This is in response to recommendations by the Financial Stability Board (FSB), which were made to increase confidence in the reliability and integrity of interest rate benchmarks.

*From January the market-led Working Group on Sterling Risk-Free Rates will have an extended mandate and broader participation. This page will be updated to reflect these changes in due course.

  • The Working Group’s new mandate will be to catalyse a broad-based transition to SONIA over the next four years across sterling bond, loan and derivative markets, so that SONIA is established as the primary sterling interest rate benchmark by end 2021.  That reflects concerns about the sustainability of Libor beyond 2021, and follows a recent public consultation which confirmed strong support for SONIA as the preferred alternative to sterling Libor. 
  • For this next phase of work, it is clear that active engagement will be needed from participants across all relevant sectors and markets. Membership of the Working Group will therefore be broadened to include investment managers, non-financial corporates and other sterling issuers, infrastructure firms and trade associations, alongside banks and dealers.  Membership will be by invitation of the Bank and FCA, with further details to be announced in coming weeks. 

Further expressions of interest in participating in Libor transition work are invited.  For more details, please contact RFR.Secretariat@bankofengland.co.uk *

Working group on sterling risk-free reference rates

A private-sector working group made up of experts from major sterling swap dealers has been set up. The group aims to:
  • identify best practices for alternative sterling nearly risk-free reference rates
  • identify best practices for contract robustness
  • propose reforms for existing sterling nearly risk-free reference rates
  • develop an adoption plan
  • create a transition plan with metrics of success and a timeline.

PDFInitial set of criteria for selecting the sterling risk-free rate

If you have queries relating to sterling Risk-Free Rates, please email RFR.secretariat@bankofengland.co.uk

In May 2017, the working group announced SONIA as its preferred near risk-free interest rate benchmark for use in sterling derivatives and relevant financial contracts. The Group’s focus has now shifted to the broader adoption of SONIA in sterling markets as an alternative to Libor. It has published a white paper, explaining its choice, but importantly seeking feedback on approaches to adoption and a gaining a better understanding of the views of a broad set of stakeholders.

The views and outputs of the working group are not necessarily endorsed by the Bank of England.

PDFTerms of reference

PDFMembership of the working group

PDFRisk-free reference rate selection criteria

PDFFirst end-user outreach pack: June 2015

PDFSecond end-user outreach pack: December 2015

PDFDesign criteria for a sterling secured overnight money market benchmark

PDFInterim report of the working group on sterling risk-free reference rates

Open letter from the Bank of England to the risk-free rate working group

PDFA potential transition of the sterling overnight indexed swap market

PDFWhite paper: SONIA as the risk-free reference rate and approaches to adoption - June 2017

PDFSONIA reference rates sub-group terms of reference

PDFSONIA Futures sub-group terms of reference

PDFSummary White Paper responses

This page was last updated 08 December 2017
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