On 26 February 2020, the Bank of England (BoE) published a discussion paper ‘Supporting Risk-Free Rate transition through the provisions of compounded SONIA’. In this discussion paper the BoE requested views from sterling market participants in relation to:

  • the BoE’s intention to publish a daily SONIA Compounded Index; and
  • the usefulness of the BoE publishing a simple set of SONIA Period Averages (being the compounded rate for a specific period (e.g. 30 days or 1 month) preceding
  • the relevant day of publication) and how these periods should be defined.

The deadline for comments on the discussion paper was 9 April 2020.

On 11 June 2020, the BoE announced that having reviewed the feedback to the discussion paper its position would be as follows:

  • given near universal support from respondents, the BoE confirmed that 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; and
  • 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 discussion paper, the BoE will not be producing them at this time.

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