Supporting Risk-Free Rate transition through the provision of compounded SONIA

Discussion Paper

Latest updates

Updated on 15 July 2020

Update to presentation of data

We are announcing a minor presentational adjustment to how the SONIA Compounded Index will be published. The index will have a starting value of 100 on 23 April 2018, with subsequent data rounded to 8 decimal places, rather than beginning at 1 with data rounded to 10 decimal places.

The methodology to calculate the SONIA Compounded Index is unaffected by this change, as is the methodology to calculate compounded SONIA rates using the SONIA Compounded Index. Neither does this change impact the precision of the SONIA Compounded Index, as it will be calculated and published to the same number of significant figures as before.

The decision to implement this change was taken in order to ensure all of our authorised redistributors of SONIA data were able to publish the Index in a consistent way. During the period of external testing with licensees prior to publication commencing, we were made aware that some infrastructure providers’ systems were unable to hold data with 10 decimal places.

This change has been reflected in an updated response to the February Discussion Paper and in the illustrative series of SONIA Compounded Index data.

For any questions or concerns regarding this change, or regarding the SONIA Compounded Index more generally, please contact


Updated on 6 July 2020

SONIA Compounded Index to be published from 3 August

As outlined in the response to the Discussion Paper on Supporting Risk-Free Rate transition through the provision of compounded SONIA, we will publish the SONIA Compounded Index for the first time on 3 August 2020. 

Each day’s SONIA Compounded Index will be made freely available on our Interactive Statistical Database by 10:00 on the business day after it is first published. The full series of the SONIA Compounded Index back to 23 April 2018 will be on the IADB from 3 August 2020.

Summary and responses to Discussion Paper

Published on 11 June 2020

Having reviewed feedback to the February discussion paper we have set out our position:

  • Given near universal support from respondents, we confirm that we will publish a daily SONIA Compounded Index. We anticipate that publication of the SONIA Compounded Index will commence in early August. The precise date will be confirmed in due course.
  • Given a lack of consensus on both the usefulness of SONIA “period averages” and the conventions underpinning such rates, in line with the position set out in the February discussion paper, we will not be producing them at this time.

Discussion Paper published on 26 February 2020

In order to accelerate the adoption of SONIA as a reference rate in sterling markets, we are seeking views from sterling market participants on:

  • our intention to publish a daily SONIA Compounded Index. This is intended to support the use of SONIA in a wide range of financial products by simplifying the calculation of compounded interest rates; and
  • the usefulness of publishing a simple set of compounded SONIA Period Averages, which would give users easy access to SONIA interest rates compounded over a range of set time periods. As the set periods used to generate such averages cannot always align with those currently applied in products referencing SONIA, we are seeking to establish whether there is market consensus on how to define the relevant time periods. We are inviting comment on the options presented in this paper, after which it will decide whether it would be helpful to publish such averages.