Please note that, although 7 April 2023 and 2 April 2021 (each a Good Friday) were not holidays under the SIFMA calendar, SOFR and the Federal Reserve Bank of New York’s SOFR Averages and Index were not published on these days. Accordingly, these days were not treated as business days for calculating and compounding the ICE SOFR Index or for the ICE Risk Free Rates Calculator, and the published values of the ICE SOFR Index continue to correspond with those of the Federal Reserve Bank of New York’s SOFR Index1. Where market participants use calculations that treat these days as business days, they may obtain different results to those provided by the ICE SOFR Index or the ICE Risk Free Rates Calculator.

1 Please note, however, that the ICE SOFR Index uses a base value of 100, and has options for a 0% floor and either a 2 or 5-day lag. The SOFR Index published by the Federal Reserve Bank of New York has a base value of 1 and offers no lag or floor options. Therefore, the ICE SOFR Index with no floor or lag for any SOFR publication day has a value that is 100 times greater than the Federal Reserve Bank of New York’s SOFR Index for that day, and will have 2 more digits of precision.