The early take-up in 2019 of SONIA in the Sterling floating rate note markets was made possible because SONIA (unlike SOFR and many other risk free rates) was already in use in the well-established market of sterling denominated overnight indexed swaps (OIS).  This fortuitous fact meant that regular issuers of Sterling LIBOR-linked securities could, with some degree of confidence, consider SONIA as a “ready-baked” alternative to Sterling LIBOR that was supported by a pool of liquidity in the swaps and futures markets, priced by reference to observable transactions entered into by buyers and sellers in these markets and subject to standardised conventions for interest rate determination.

As most OIS are transacted pursuant to an ISDA Master Agreement using the 2006 ISDA Definitions, it seemed natural that, in kicking off the SONIA-linked floating rate note market in June 2018, The European Investment Bank (EIB) would employ the interest rate conventions of OIS in the terms of its notes.

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