ICE Risk Free Rate (RFR) Indexes

About the ICE RFR Indexes

The ICE Risk Free Rate (RFR) Indexes, published by ICE Benchmark Administration Limited (IBA), are a set of RFR Indexes for SOFR, SONIA, €STR and TONA that provide daily values representing accrued compound interest relative to the first day value of 100.

Developed to help address key operational considerations of lenders and borrowers of RFR-based loans, the index values are designed to provide a simple method for calculating compound interest between any two index dates, allowing parties to agree transparently on interest accruals.

Please read ICE Benchmark Administration’s (IBA) benchmark and other information notice and disclaimer.

The following operational and economic features are included in the ICE RFR Indexes:

Zero (0%) Floor	Many lenders would like to reference an RFR Index with a minimum RFR rate of 0% (“a floor”). If the daily RFR value is below 0%, the ICE RFR index is calculated using 0% instead of the actual RFR value.
Lookbacks	To help manage cash flows and address operational issues associated with calculating loan repayments before the end of an accrual period or the loan term, the ICE RFR Indexes provide indexes published in advance using a lookback period of either 2 or 5 business days
Produced on weekends and holidays	To facilitate the calculation of loan accruals on reporting dates that are not business days, all ICE RFR Indexes provide index values for weekends and holidays. Index values for non-business days are published alongside the rates for the first following business day.

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Holiday Calendar

Methodology

All ICE RFR Indexes use the same underlying calculation Methodology for determining index values for business days.1

Where:

Compounded Index_i

The index value for day i. All published ICE RFR Index values are rounded to 8 decimal places. Compound Index₁ = 100. Day 1 for each of the ICE RFR Indexes without a lookback matches the official RFR index and is as follows:

RFR	Day 1
SOFR	Monday 2 April 2018
€STR	Tuesday 1 October 2019
SONIA	Monday 23 April 2018
TONA	Wednesday 14 June 2017

For ICE RFR Indexes with an N day lookback, Day 1 is N business days after the date shown above.

Compound Index_i-1

The index value calculated on business day i-1. While the published value of the index is always rounded to 8 decimal places, the underlying calculation uses the previous day’s index value that has been rounded to 18 decimal places.

RFR_i-N-1

Calculated and published by the relevant official body on business day i-N, where N is the number of business days lookback for the ICE RFR Index.

For indexes without any lookback, N=0, and this equates to the RFR value with an effective date of i-1, i.e. the ICE RFR Index calculation on day i uses the RFR value for the previous business day, which is published on day i.

For indexes with a lookback the ICE RFR Index calculation for day i uses the RFR value for N business days earlier.

Indexes using a Floor

For an index with a floor, if the RFR value on the relevant business day is below the floor value, then the floor value will be used within the index calculation instead of the actual RFR value. For an index with a floor the rate used in a calculation is as follows.

Maximum(floor value,RFR_i-N-1)

Weighting

For the calculation of ICE RFR Index values for business day i, the weighting to apply to the RFR level for business day i-N-1. The Weighting will equal the number of calendar days from business day i-1 to business day i, i.e. the number of calendar days between the previous business day and the current business day. For a typical week with no holidays, the weighting will be 1 where the previous business day is Monday through to Thursday and 3 where it is a Friday.

For the calculation of ICE RFR Index values for non-business day i, the weighting to apply to the RFR for business day i-N-1 is the number of calendar days from business day i-1 to day i. For example, for an index with no lookback, if Friday is a business day then the ICE RFR Index value for Saturday is calculated using the RFR rate for Friday with a weighting of 1 and the ICE RFR Index value for Sunday is calculated using the RFR rate for Friday with a weighting of 2

Day Count Convention

360 for SOFR and €STR indexes
365 for SONIA and TONA indexes

Using the ICE RFR Indexes to Calculate Interest

The interest accrued for a loan for a given period can be calculated using the index values on the start and end days of the loan using the below formula:

Interest Amount = Notional x (Index Value on End Date/Index Value on Start -1)

For example1:

1. Standard Calculation (No Floor and No Lag)

Using the ICE SONIA RFR Index for a SONIA-based loan of £50m from Friday 01 September 2023 to Friday 01 December 2023:

Index Value Start Date = 105.81331055

Index Value End Date = 107.19030968

£50,000,000 x (107.19030968/ 105.81331055-1)

Interest Amount = £ 650,673.87

2. Calculation Zero Floor 5-Day Lag

Using the ICE SONIA RFR Index with a Zero Floor 5 Day Lag, for a SONIA-based loan of £100m from Friday 29 September 2023 to Tuesday 31 October 2023:

Index Value Start Date = 106.12938611

Index Value End Date = 106.61302646

£100,000,000 x (106.61302646/ 106.12938610- 1)

Interest Amount = £ 455,708.23

3. Calculation No Floor 2 Day Lag for the accrual value of a loan on a Non- Business Day

Using the ICE SONIA RFR Index with a 2 Day Lag, for a SONIA-based loan accrual calculation of £25m from Friday 29 September 2023 to Sunday 31 December 2023:

Index Value Start Date = 106.17432882

Index Value End Date = 107.58669174

£25,000,000 x (107.58669174/ 106.17432882- 1)

Interest Amount = £ 332,557.53

Example of how to use the ICE RFR Indexes to Calculate an Interest Rate

Using example 1 and the formula:

= (Index Value End Date\ Index Value Start Date-1) * ((day basis*100) /no of days)

Friday 01 September 2023 to Friday 01 December 2023:

Index Value Start Date = 105.81331055

Index Value End Date = 107.19030968

= (107.19030968/105.81331055-1) * (365/91)

= 0.052197

= 5.2197%

Interest Amount = £50m x 5.2197% x (91/365) = £650,674.93

Note - rounding the interest rate before use in the calculation has resulted in a slightly different interest amount (+£1.06) than example 1 (which used the RFR Index values directly to calculate the interest amount).

1All examples are SONIA based however the process is exactly the same for all currencies.

The following ICE RFR Indexes are published each business day;

Floor	Lookback	Lookback Period (business days)	Values Published for non-business days
None	None		Yes
	Lag	2
	Lag	5
0%	None
	Lag	2
	Lag	5

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.

Publication Dates & Holidays

Holiday Calendar - 2024

Holiday Calendar - 2023

Benchmark	Publications	Input Data	Data Provider	Published Daily London Time
RFR Indexes SONIA	O/N, Zero floor, 2 and 5 day look back (produced weekends and bank holidays)	The O/N RFR rate from the relevant Central Bank	Bank of England SONIA publication	10:55
RFR Indexes €STR	O/N, Zero floor, 2 and 5 day look back (produced weekends and bank holidays)	The O/N RFR rate from the relevant Central Bank	ECB €STR publication	10:55
RFR Indexes TONA	O/N, Zero floor, 2 and 5 day look back (produced weekends and bank holidays)	The O/N RFR rate from the relevant Central Bank	Bank of Japan TONA publication	10:55
RFR Indexes SOFR	O/N, Zero floor, 2 and 5 day look back (produced weekends and bank holidays)	The O/N RFR rate from the relevant Central Bank	Federal Reserve SOFR publication	14:30

ICE Risk Free Rates Portal (RFR)

IBA has created the ICE Risk Free Rates (RFR) Portal, which is designed to be a comprehensive risk free rates data source for market participants. The ICE RFR Portal includes risk free rates data, the ICE Risk Free Rates (RFR) Calculator and information on the ICE Term Rates and ICE RFR Indexes. The data provided on the ICE RFR Portal is provided for information purposes only and may not be used as a benchmark in financial instruments.

Licensing

The ICE RFR Indexes are available under licence from IBA for other use cases (including for interest calculations in financial contracts, and for valuation and pricing activities). Prospective licensees should contact IBA’s licensing team at [email protected] for information on how to obtain a usage licence from IBA.

Governance

The ICE RFR Indexes Oversight Committee is responsible for monitoring the administration of the ICE RFR Indexes, including:

Regular reviews of the definition, methodology and setting of the benchmarks
Assessing the underlying market and usage of the benchmarks
Overseeing adherence to the calculation methodology and IBA policies

Oversight Committee Composition

Oversight Committee Terms of Reference

Further details on IBA’s general governance structure, including IBA’s independent Board of Directors, whistleblowing policy and other policies are available on IBA’s Governance page.

Documentation

ICE RFR Indexes Benchmark Statement

ICE RFR Indexes Calculation Methodology

ICE RFR Indexes Insufficient Data Policy

ICE RFR Indexes Error and Republication Policy

ICE RFR Indexes Change and Cessation Procedure

Recent Publications

ICE Risk Free Rate (RFR) Indexes Whitepaper

Disclaimers

The "SONIA" mark is used under licence from the Bank of England (the benchmark administrator of SONIA), and the use of such mark does not imply or express any approval or endorsement by the Bank of England. "Bank of England" and "SONIA" are registered trade marks of the Bank of England.

ICE and IBA are not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or recommend any products or services offered by ICE or IBA.

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ICE Risk Free Rate (RFR) Indexes

About the ICE RFR Indexes