Bank of England: SONIA reform to be implemented on 23 April 2018

16 October 2017

The Bank of England has today confirmed that its reforms to the SONIA interest rate benchmark will take effect on Monday 23 April 2018.

The reforms, details of which were confirmed in March 2017, will result in:

• the Bank taking on the end-to-end administration, including the 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.

Friday 20 April 2018 will be the final day for which SONIA will be calculated and published by the WMBA using the current methodology.  For the rate pertaining to Monday 23 April, SONIA will be calculated by the Bank using the reformed methodology and published at 9am on Tuesday 24 April; no data will be published on Monday 23 April.

The Bank has also published the SONIA Key Features and Policies document.  This provides users of SONIA with a consolidated summary of how SONIA will be calculated and administered, including the governance arrangements, following the implementation of the reforms.

The SONIA Key Features and Polices document also includes an update of the indicative statistical properties of reformed SONIA. 

Press release

Key features and policies

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