ICE Launches Beta Version of SONIA Reference Rates

ICE Benchmark Administration has launched the initial beta version of the ICE term SONIA reference rates (ICE TSRR), which measure average expected SONIA rates over one month, three months, and six-month tenor periods on a daily basis. Calculated via a waterfall methodology, ICE said the reference rates use tradeable bid and offer prices and volumes for eligible SONIA-linked overnight interest rate swaps on the central limit order books of BGC, TP ICAP and Tradition’s Trad-X. If the venues do not provide eligible input data for the first level of the waterfall calculation, the second level will use SONIA-linked futures data published on electronic venues. The exchange group is publishing beta rates for testing purposes in line with the UK working group on sterling risk-free reference rates (RFRWG). ICE will confirm in due course when the TSRR will be made available as a benchmark for financial instruments.