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

Discussion Paper

Published 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, the Bank 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 the Bank’s 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.

Published on 11 June 2020

Having reviewed feedback to the February discussion paper the Bank has set out its position:

  • Given near universal support from respondents, the Bank has confirmed it will publish a daily SONIA Compounded Index. It anticipates 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, the Bank 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, the Bank is seeking views from sterling market participants on:

  • the Bank’s 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 the Bank 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, the Bank is seeking to establish whether there is market consensus on how to define the relevant time periods. The Bank is inviting comment on the options presented in this paper, after which it will decide whether it would be helpful to publish such averages.
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