Bank of England Confirms Daily Compounded SONIA Index

Following the discussion paper published on February 26, 2020, the Bank of England has announced that it will begin publishing a daily compounded Sterling Overnight Index. It is expected that this will start in early August, although the BoE will confirm the date in due course. The daily compounded index would represent the return on an investment earning daily interest at the SONIA rate; market participants could calculate the interest payable on their instruments by reference to the change in the index between two dates. The BoE has decided not to proceed with publishing the proposed SONIA period averages due to lack of industry consensus on the usefulness of such data and the underlying conventions. The BoE will consider producing this data if market participants are able to reach a more united view.

The BoE published the following documents with the announcement:
 

• A summary and response to market feedback;
• Responses to the February 2020 discussion paper; and
• An illustrative series of SONIA Compounded Index data.

The compounded SONIA rates are intended to be used as a replacement reference rate for term LIBOR-linked instruments.

View the BoE's announcement and related documentation.

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