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Clifford Chance

Briefings

OIS and RFR Futures Conventions: Lessons for LIBOR replacement term rates

26 October 2018

The development of term benchmarks based on risk-free rates (RFRs) is an important aspect of the work to facilitate a successful transition from LIBOR, particularly for corporate lending and other cash products. This briefing considers how conventions used in Overnight Index Swaps (OIS) and RFR futures markets are relevant to the development of RFR-based term rates.

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OIS and RFR Futures Conventions: Lessons for LIBOR replacement term rates

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