ICAP Sterling OIS SONIA Benchmark Methodology

This document is a technical report detailing the ICAP Sterling OIS SONIA Benchmark Methodology, effective from June 25, 2026. It outlines the framework for governance, calculation, and oversight of the benchmark as defined under the relevant Benchmark Regulation. The methodology is divided into three main parts: governance, specific benchmark details, and disclosures. The governance section describes the 'Three Lines of Defence' model employed by Parameta Solutions, which includes business, compliance/risk, and audit roles. It also details the responsibilities of the Oversight Committee, which reviews the integrity of the benchmark and ensures compliance with regulatory requirements. The report further explains the processes for handling errors or omissions, the consultation process, and market disruptions. Additionally, it includes an overview of the benchmark calculation and input data, as well as ESG disclosures reflecting how environmental, social, and governance factors are integrated into the methodology.