FX.co ★ Bank of England to calculate SONIA interest rate benchmark since April

From April 23, 2018, the Sterling Overnight Index Average (SONIA) will be calculated and published by the Bank of England, which will be an alternative to the London Interbank Offered Rate (LIBOR).

The central bank announced the upcoming reform in March 2017.

April 20, 2018 will be the final day for which SONIA will be calculated and published by the the Wholesale Markets Brokers' Association (WMBA) using the current methodology.

On April 24 at 9 am (London time), SONIA will be calculated by the bank using the reformed methodology.

In April 2017, the central bank announced that SONIA was promoted by a group of major dealers active in sterling interest rate swap markets as a preferred interest rate benchmark for use in sterling derivatives.

This marks a key step in the interest rate benchmark reform agenda laid out by the Financial Stability Board (FSB) in 2014.

Earlier, the Financial Conduct Authority (FCA) reported that the calculation of LIBOR will be stopped at the end of 2021.