EBRD: futureproofing Sonia

By Burhan Khadbai
20 Feb 2020

The European Bank for Reconstruction and Development made a bold move this week by rewriting the rulebook for how coupons of Sonia-linked floating rate notes should be structured. It annoyed some, but it’s hard to argue against the logic.

The EBRD’s argument for issuing a Sonia deal with a coupon that is calculated with a “shift” method rather than the market standard “lag” method (see cover story for more detail) is that they’re preparing for the publication of a Sonia index. That index, should it arrive, will ...

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