Overview
The ICE Risk Free Rate (RFR) Indexes, published by ICE Benchmark Administration® Limited (IBA), provide daily values representing accrued compound interest relative to a base value of 100. These indexes are based on key overnight risk-free rates: SOFR (USD), SONIA (GBP), €STR (EUR), and TONA (JPY). Developed to assist lenders and borrowers in managing RFR-based loans, the indexes offer a straightforward method for calculating compound interest between any two dates, facilitating transparent agreement on interest accruals.
The ICE RFR Indexes incorporate features such as a zero percent floor, lookback periods of 2 or 5 business days, and values for weekends and holidays. These features address operational considerations, such as managing cash flows and calculating loan repayments before the end of an accrual period. By providing standardized and pre-calculated compound interest values, the ICE RFR Indexes simplify and standardize interest calculations for financial contracts referencing RFRs
ICE Benchmark Administration (IBA) provides transparent, fair and sustainable access to its benchmarks and other information and data for all users. IBA licenses the use or redistribution of the benchmarks and other information and data on a commercial and reasonable basis, to help set standards of fairness and transparency in benchmark and other information and data distribution and licensing.
IBA benchmark data is available on a real-time, intraday or delayed basis through redistribution partners and directly from IBA. For RFR indexes intraday data is available 4 hours after original publication time and delayed data is available 24 hours after original publication time.
Specifications
Key Features
- Lookback Periods: Offers indexes with 2 or 5 business day lookbacks to help manage cash flows and address operational issues associated with calculating loan repayments before the end of an accrual period.
- Non-Business Day Values: Provides index values for weekends and holidays, facilitating the calculation of loan accruals on reporting dates that are not business days.
- Standardized Calculation Methodology: All ICE RFR Indexes use the same underlying calculation methodology for determining index values, promoting consistency across different currencies and markets.
- Regulatory Compliance: : ICE Benchmark Administration Limited is authorised and regulated by the Financial Conduct Authority for the regulated activity of administering a benchmark.