INTERNATIONAL: ICE Benchmark Administration Launches ICE Risk Free Rate Indexes

Thursday September 23 2021

On 21^st September 2021, Intercontinental Exchange, Inc. (NYSE:ICE) announced that ICE Benchmark Administration Limited (“IBA”) has launched ICE Risk Free Rate (RFR) Indexes in U.S. Dollar (SOFR), Euro (€STR) and Japanese Yen (TONA), following the launch of ICE SONIA Indexes for GBP Sterling in April 2021.

ICE RFR Indexes have been developed to support the needs of the market as it transitions to RFRs by standardizing the calculation of interest for financial contracts and providing pre-calculated compound interest values for each business day. The Indexes are designed to provide parties with a simple method to calculate compound interest between two dates and agree on their associated interest accruals. As described in the whitepaper all ICE RFR Indexes use the same underlying calculation methodology.

The Indexes include the option for a lookback where parties can agree to use a time-shifted view of the underlying RFR. Lookbacks help lenders and borrowers manage cash flows and address operational issues associated with determining the total interest due on a loan before the end of the accrual period. To facilitate accounting for loan accruals on reporting dates that are not business days, ICE RFR Indexes provide values for every calendar day.

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