What is TSSR?

Since the identification of RFRs in 2017, liquidity in SONIA, SOFR et al. has grown and continues to grow steadily and significantly across most markets. Even so, demand remains for a forward-looking rate from some participants in cash markets where usage of forward-looking rates has historically been common, and potentially also to support transition of certain legacy contracts.

This new rate has been dubbed “TSRR” – the term SONIA reference rate. In December 2018, the RFRWG invited interested benchmark administrators to think about TSRR, and three of them (including ICE) gave presentations to the RFRWG on 14th May 2019. In September 2019, the RFRWG announced that it was accelerating the introduction of TSSR, while encouraging the market not to delay preparations to do new business on SONIA.