Intercontinental Exchange, Inc. has announced that ICE Benchmark Administration Limited (IBA) has launched the ICE Term RFR Portal and published a paper on potential term structures for alternative Risk Free Rates (RFRs).
The ICE Term RFR Portal is designed to provide market participants with key information on RFRs on a daily basis. Initially IBA plans to include the following in the ICE Term RFR Portal:
1. Preliminary forward-looking one, three and six month Term Rates for SONIA (the Sterling RFR), derived from futures contracts data;
2. Realised simple and compounded averages for one, three and six month periods for SONIA, SOFR (the US Dollar RFR) and TONA (the Japanese Yen RFR); and
3. The daily published rate for SONIA, SOFR and TONA.
IBA’s preliminary methodology for deriving term SONIA is set out in detail in the published paper, together with other approaches that could be used to derive forward-looking Term Rates for SONIA and the other RFRs. Over time, where market conditions permit, IBA hopes to include forward-looking Term Rates for all the RFRs on the ICE Term RFR Portal based on these approaches.
IBA is inviting feedback from market participants on the proposed methodologies to derive forward-looking Term Rates set out in the paper and displayed on the ICE Term RFR Portal.
Tim Bowler, President, ICE Benchmark Administration said: “We are pleased to launch the ICE Term RFR Portal and publish our paper today, showing how we can support the development of term structures for alternative Risk Free Rates. The portal will provide market participants with a place they can go to each day for key information relating to alternative Risk Free Rates, including Term Rates. We welcome feedback from market participants on how we can enhance our approach in order to support the development and adoption of Risk Free Rates, which is one of the most important developments in financial markets in recent years.”
The IBA paper on potential term structures for alternative Risk Free Rates (RFRs) has been posted online and can be accessed at the following link: https://www.theice.com/publicdocs/IBA_ICE_Term_Risk_Free_Rates_October_2018.pdf