The swaps market has made progress in its bid to replace the Libor family of rates benchmarks with something more robust – new risk-free rates that are derived from liquid, reliable markets. But one of its next steps is to come up with term versions of those overnight rates, and sceptics believe the two obvious solutions both suffer from Libor-like flaws.

Using futures prices as the basis for a term RFR would require subjective modelling decisions on how to fill the gaps between the listed