On 19 March 2019, the Bank of England’s Working Group on Sterling Risk-Free Reference Rates published a discussion paper on conventions for referencing SONIA in new contracts. The discussion paper is intended to raise market awareness of the identified conventions for referencing SONIA.

The discussion paper has been divided into three parts:

  • Section 1 is a summary of conventions that already exist in SONIA-referencing markets;
  • Section 2 outlines considerations for new products referencing SONIA; and
  • Section 3 sets out questions for suggested feedback from market participants.

The discussion paper does not contain all conventions for using SONIA in relevant markets, only those which the Working Group considers to be most significant. It is intended to support preparations being made by market participants to reference SONIA directly; thus it does not discuss referencing Term SONIA Reference Rates in new contracts. The paper specifically discusses those existing conventions for SONIA based products and differences with LIBOR conventions; and considerations for new products referencing SONIA.

The deadline for feedback on the discussion paper is 30 April 2019.