IBA launches term risk-free rates

Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data


Libor administrator Ice Benchmark Administration is launching a portal to provide users with the first forward-looking term risk-free rates (RFRs), starting with the reformed Sonia rate in the UK.

The forward-looking term rates will initially be derived from Sonia futures contracts traded on Ice’s European exchange, and eventually from overnight indexed swap (OIS) data. The term rates will be calculated using methodologies published by IBA today in a white paper issued for feedback from market

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