While coals heats, mix the mayonnaise, sour cream and coriander together. Stir until combined and set aside.
Grate the feta cheese in another bowl.
When grill is hot, place corn directly over hot side of grill and cook, occasionally rotating, until cooked through and charred in spots on all sides, about 8 minutes total.
Remove the corn from the grill and set aside. While the corn is still warm smear with mayonnaise mix.
Coat with crumbled Feta cheese and chilli powder and serve immediately with lime wedges.