RFR Portal

ICE Benchmark Administration (IBA) has created the ICE Term Risk Free Rates (RFR) Portal which is designed to be a comprehensive RFR data source for market participants.

The RFR Portal includes the ICE Risk Free Rates (RFR) Calculator, published and realised average RFR data for SOFR, SONIA, TONA and €STR, and the ICE Term SONIA Reference Rates.

The data provided on the ICE Term RFR Portal is provided for information purposes only and may not be used as a benchmark in financial instruments.

ICE Term SONIA Reference Rates

Overview

The ICE Term SONIA Reference Rates ("ICE TSRR") — Beta Version1 — are designed to measure average expected (i.e. forward-looking) SONIA rates2 over specified tenor periods. The beta rates are available on the RFR Portal

Methodology

Each published ICE TSRR is calculated using eligible prices and volumes for specified SONIA-linked interest rate derivative products, provided by trading venues in accordance with a Waterfall Calculation Methodology.

The first level of the Waterfall ("Level 1") uses eligible, executable prices and volumes provided by regulated, electronic, trading venues to derive the ICE TSRR. If these trading venues do not provide sufficient eligible input data to calculate an ICE TSRR in accordance with Level 1 of the Waterfall, then the second level of the Waterfall ("Level 2") uses the previous trading day's SONIA-linked futures settlement price, published on an electronic trading venue, SONIA rates published by the Bank of England, and scheduled MPC meeting dates, to derive the ICE TSRR.

ICE TSRR are provided for information purposes only and may not be used as a benchmark in financial instruments.

The "SONIA" mark is used under licence from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. "Bank of England" and "SONIA" are registered trade marks of the Bank of England.

Data Providers

IBA sources input data for use at Level 1 of the Waterfall from the following regulated, electronic trading venues:

IBA sources input data for use at Level 2 of the Waterfall from the following electronic trading venue:

Publication Days and Holiday Schedules

The ICE Term Risk Free Rates (RFR) Holiday Calendar is provided here.

Publications

IBA Term Risk Free Rates Paper - October 2018

IBA Presentation to the GBP RFR Working Group - May 2019

IBA Term €STR presentation to the Euro RFR Working Group - October 2019


Disclaimers

None of ICE Benchmark Administration Limited (IBA), ICE, or any of its or their affiliates, or any third party that provides input data to IBA to calculate or determine the data on the ICE Term RFR Portal, accepts any responsibility or liability arising out of on in connection with the data herein or any use that you may make of it and, all implied terms, conditions and warranties and liabilities in relation to the data and its publication on the ICE Term RFR Portal are hereby excluded to the fullest extent permitted by law. "ICE" is a trademark of ICE and/or its affiliates.


1. Beta version in line with the UK Working Group on Sterling Risk-Free Reference Rates' priority roadmap for 2020

2. SONIA is the Sterling Overnight Index Average rate administered and published by the Bank of England