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Central banks should publish compounded post-Libor rates

One of the biggest, if not the biggest problems facing borrowers in the move away from Libor is a mathematical one. Everyone agrees coupons based on the new risk-free rates should be compounded. But no one can agree on how to do the compounding. Central banks could solve this at a stroke.

  • By Burhan Khadbai
  • 06 Aug 2019

Borrowers have favoured floating rate note issuance in Sonia and Sofr — the new risk-free rates in sterling and dollars — with a coupon calculation that is compounded over a quarterly payment period.

The European Investment Bank pioneered the move to Sonia-linked issuance in 2018 with a ...

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Bond Comments

All International Bonds

Rank Lead Manager Amount $m No of issues Share %
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1 JPMorgan 260,264.52 1167 8.49%
2 Citi 237,013.77 993 7.73%
3 Bank of America Merrill Lynch 202,540.22 831 6.61%
4 Barclays 188,016.56 770 6.13%
5 Goldman Sachs 147,310.58 610 4.81%

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1 BNP Paribas 31,872.91 136 7.74%
2 Credit Agricole CIB 27,567.28 117 6.69%
3 JPMorgan 23,570.89 63 5.72%
4 Bank of America Merrill Lynch 23,072.58 63 5.60%
5 UniCredit 20,250.58 112 4.91%

Bookrunners of all EMEA ECM Issuance

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1 JPMorgan 8,331.89 50 10.24%
2 Morgan Stanley 7,744.92 38 9.52%
3 Goldman Sachs 7,137.50 38 8.77%
4 Citi 5,856.44 44 7.20%
5 UBS 4,823.67 25 5.93%