IBOR Reform & Risk-Free Rates

Keeping our clients informed

Interbank Offered Rates (IBORs) are expected to be replaced by new Risk-Free Rates (RFRs) across the global financial markets. Based on statements by the FCA, the expectation is that the London Interbank Offered Rate (LIBOR) will no longer be a credible lending rate after the end of 2021. Work is also underway for the replacement of other global IBORs.

We are committed to the IBOR reforms and we are working with clients to ensure they are aware of the potential impacts for them. As part of our efforts to keep clients well informed we publish regular insight pieces. We have also prepared the calculator below to show how to use daily realised rates to construct a compounded rate over time.

See also the Bank of England website for more information on the transition to sterling risk-free rates from LIBOR.

Link to LIBOR Risk Disclosure page.

How can I calculate a compounded rate for an RFR?

Our online 'calculator' shows you what the annualised compounded interest rate is for any defined period since the Bank of England started publishing the SONIA (Sterling Overnight Index Average) interest rate benchmark. Other RFR benchmarks such as SOFR and €STR are also supported within the tool.

Contact us

If you want more information please email RFR@natwestmarkets.com or speak to your usual contact.

This calculator is provided for educational and informational purposes only.

NatWest Markets accepts no liability whatsoever for any direct, indirect or consequential losses arising from the use of this tool or the figures and formulae used in connection with this tool.