BoE announces SONIA implementation date

The Bank of England (BoE) has confirmed an implementation date of 23 April 2018 for reforms to the Sterling Overnight Index Average (SONIA) interest rate benchmark.

The March 2017 reforms will result in the following changes:

  • BoE taking on the end-to-end administration, including calculation and publication of SONIA;
  • the coverage of SONIA being broadened to include overnight unsecured transactions negotiated bilaterally as well as those arranged via brokers, using the Bank’s Sterling Money Market Data Collection as the data source;
  • the averaging methodology for calculating SONIA changing to a volume-weighted trimmed mean; and
  • the publication of SONIA moving to 09:00 on the business day following that to which the rate pertains.

Alongside its press release, BoE also published a Key Features and Policies document, which provides useful information on how SONIA is calculated, published, as well as its governance arrangements.