The starting point is the well-established SONIA – OIS market. This is liquid for 3 and 6 months and OK for 1, 2 and 12, and from these you can build a yield curve. So, in a nutshell, the OIS market can give you a forward-looking RFR for up to 12 months and beyond. Then, all (ha!) you have to do is add on a margin to get from an RFR to a bank-risk rate, and you’ve got your IBOR substitute. For completeness, there is a “nascent” SONIA futures market that one day may be resilient enough to produce reliable data but for now the WG thinks the OIS market is the better place to look. The consultation runs until 30th September, and the WG reckons a term SONIA reference rate could be available by H2 of 2019.