Bank of England lays out plans to publish compounded Sonia averages and index

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By Burhan Khadbai, Ross Lancaster
26 Feb 2020

The Bank of England has said it intends to publish compounded Sonia averages and a Sonia index using a ‘shift’ calculation method by the end of July, subject to feedback on a series of questions it has asked sterling market participants. This follows the first deal using that method from the European Bank for Reconstruction and Development Bank last week.

That deal marked a notable departure from the 'lag' calculation method for Sonia-linked notes pioneered at the EIB, which has come to be the accepted market standard so far. But in planning its deal, the EBRD had said it was futureproofing the bonds, in case Sonia indices came ...

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