Featured Product

    BoE Seeks Feedback on SONIA Compounded Index and Period Averages

    February 26, 2020

    BoE published a discussion paper on the risk-free rate transition through the provision of compounded Sterling Overnight Index Average or SONIA. To support and accelerate the widespread adoption of SONIA as a reference rate for products such as loans, BoE intends to provide simple means for users to work out the compound interest due on products without performing calculations using the underlying SONIA rate of each day. Responses to the questions posed in the discussion paper are invited by April 09, 2020. BoE also published a speech by Andrew Hauser, the Executive Director for Markets, on the BoE initiatives aimed at further supporting risk-free rate transition.

    BoE and FCA are working closely with market participants to support use of SONIA as the predominant interest rate benchmark in sterling financial markets as markets transition away from LIBOR. To accelerate the adoption of SONIA as a reference rate in sterling markets, BoE is seeking views from sterling market participants on the:

    • Intention of BoE to publish a daily SONIA Compounded Index to support the use of SONIA in a wide range of financial products by simplifying the calculation of compounded interest rates. SONIA Compounded Index, which is a number representing the returns from a rolling investment earning interest each day at the SONIA rate. The change in this index between any two dates could be used to calculate the interest rate payable on a SONIA product over that period. Subject to feedback, publication of the SONIA Compounded Index is anticipated to commence by the end of July 2020, with a more precise date to be communicated in the second quarter of 2020.
    • Usefulness of BoE publishing a simple set of compounded SONIA Period Averages, which would give users easy access to SONIA interest rates compounded over a range of set time periods. As the set periods used to generate such averages cannot always align with those currently applied in products referencing SONIA, BoE is seeking to establish whether there is market consensus on how to define the relevant time periods. BoE is inviting comments on the options presented in this paper, after which it will decide whether publishing such averages would be helpful.

     

    Related Links

    Keywords: Europe, UK, Banking, Insurance, Securities, SONIA, LIBOR, Interest Rate Benchmarks, Reference Rates, Risk-free Rates, BoE

    Related Articles
    News

    EBA Clarifies Use of COVID-19-Impacted Data for IRB Credit Risk Models

    The European Banking Authority (EBA) published four draft principles to support supervisory efforts in assessing the representativeness of COVID-19-impacted data for banks using the internal ratings based (IRB) credit risk models.

    June 21, 2022 WebPage Regulatory News
    News

    EP Reaches Agreement on Corporate Sustainability Reporting Directive

    The European Council and the European Parliament (EP) reached a provisional political agreement on the Corporate Sustainability Reporting Directive (CSRD).

    June 21, 2022 WebPage Regulatory News
    News

    PRA Consults on Model Risk Management Principles for Banks

    The Prudential Regulation Authority (PRA) launched a consultation (CP6/22) that sets out proposal for a new Supervisory Statement on expectations for management of model risk by banks.

    June 21, 2022 WebPage Regulatory News
    News

    EC Regulation Amends Standards for Calculating Credit Risk Adjustments

    The European Commission (EC) published the Delegated Regulation 2022/954, which amends regulatory technical standards on specification of the calculation of specific and general credit risk adjustments.

    June 21, 2022 WebPage Regulatory News
    News

    BIS Hub Updates Work Program for 2022, Announces New Projects

    The Bank for International Settlements (BIS) Innovation Hub updated its work program, announcing a set of projects across various centers.

    June 17, 2022 WebPage Regulatory News
    News

    EIOPA Issues Cyber Underwriting Proposal, Statement on Open Insurance

    The European Insurance and Occupational Pensions Authority (EIOPA) published two consultation papers—one on the supervisory statement on exclusions related to systemic events and the other on the supervisory statement on the management of non-affirmative cyber exposures.

    June 17, 2022 WebPage Regulatory News
    News

    US Senate Members Seek Details on SEC Proposed Climate Disclosure Rule

    Certain members of the U.S. Senate Committee on Banking, Housing, and Urban Affairs issued a letter to the Securities and Exchange Commission (SEC)

    June 16, 2022 WebPage Regulatory News
    News

    EIOPA Consults on Review of Securitization Framework in Solvency II

    The European Insurance and Occupational Pensions Authority (EIOPA) published a consultation paper on the advice on the review of the securitization prudential framework in Solvency II.

    June 16, 2022 WebPage Regulatory News
    News

    UK Authorities Issue Regulatory and Reporting Updates for Banks

    The Prudential Regulation Authority (PRA) issued a statement on PRA buffer adjustment while the Bank of England (BoE) published a notice on the statistical reporting requirements for banks.

    June 15, 2022 WebPage Regulatory News
    News

    BCBS Issues Climate Risk Principles while HKMA Expresses Its Support

    The Basel Committee on Banking Supervision (BCBS) issued principles for the effective management and supervision of climate-related financial risks.

    June 15, 2022 WebPage Regulatory News
    RESULTS 1 - 10 OF 8280