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.

Index Types

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

Zero (0%) Floor	ICE RFR Indexes are calculated both with and without a “floor” rate of 0%. For ICE RFR Indexes with the floor, if the daily RFR value is below 0%, the index is calculated using 0% instead of the actual RFR value. This supports lenders who would like to calculate interest without including negative RFR rates.
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, in addition to the “standard” calculation which does not include a lookback.
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.

Licensing

ICE RFR Indexes benchmark settings are available under licence from IBA (including for valuation and pricing activities and for use in transactions). Prospective licensees should contact IBA’s licensing team at [email protected] for information on how to obtain a usage licence from IBA.

Please review ICE Benchmark Administration’s benchmark and other information notice and disclaimer.

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Holiday Calendar

Methodology

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

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 and the formula is used to calculate the Compounded Index where i > 1. 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

These dates correspond to the dates used by the publishers of each of the RFRs for their own RFR Index.

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

Compounded 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 0%, then 0% will be used within the index calculation instead of the negative RFR value.

Maximum(floor value,RFR_i-N-1)

Weighting

The day weighting used to account for compounding across non-business days. This is the number of calendar days over which the rate for each business day will apply. For example, when calculating ICE RFR Index values for day i, and assuming a week with no holidays:

Where day i is a business day, the weighting will typically be 1 if the previous business day was Monday through to Thursday and 3 if it was a Friday.
If day i is on a weekend, and Friday was a business day, then the weighting applied to Friday’s rate will be 1 on the Saturday and 2 on the Sunday.
Where there are holidays, the weightings used in the subsequent calculation will be adjusted accordingly.

Day Count Convention

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

The following ICE RFR Indexes are published each business day;

Floor	Lookback Period (Business Days)
No Floor	No Lookback
	2 Day Lag
	5 Day Lag
0% Floor	No Lookback
	2 Day Lag
	5 Day Lag

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:

The calculation is illustrated within the following examples. (Although examples are SONIA based the process is exactly the same for all RFR currencies):

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/ 106.12938611- 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 Annualized Interest Rate

Using example 1 and the formula:

Friday 01 September 2023 to Friday 01 December 2023 - using an interest rate rounded to 4 d.p.:

Index Value Start Date = 105.81331055

Index Value End Date = 107.19030968

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

= 0.052197

= 100* (107.19030968/105.81331055-1) * (365/91) = 5.219691502%

Rounded to 4d.p. this is 5.2197%

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

Note - In this example, rounding the interest rate before use in the calculation has resulted in a slightly different interest amount than that calculated in example 1.

ICE RFR Indexes and Official RFR Indexes

The publisher for each RFR also publish their own RFR Index. These indexes are calculated with no floor and no lookback and none of these official RFR Indexes are published for non-business days.

For all official RFR Indexes other than the SOFR Index, the value published for each business day should match the value published by corresponding ICE RFR index that is calculated with No Floor and No Lookback.

For consistency, all ICE RFR Indexes have a base of 100 and are published to 8.d.p. The SOFR Index published by the Federal Reserve Bank of New York is unusual in that it has a base value of 1. It too is published with 8 decimal places. Therefore, the ICE SOFR Index has a value that is 100 times greater than the Federal Reserve Bank of New York’s SOFR Index for the same business day, and will have 2 more digits of precision.

Publication Dates & Holidays

Holiday Calendar - 2026

Holiday Calendar - 2025

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			ECB €STR publication	10:55
RFR Indexes TONA			Bank of Japan TONA publication	10:55
RFR Indexes SOFR			Federal Reserve SOFR publication	14:30

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.

ICE Risk Free Rates (RFR) Calculator

IBA has created the ICE Risk Free Rates (RFR) Calculator, which is designed to be a comprehensive risk free rates data source for market participants. The ICE RFR portal includes the ICE Risk Free Rates (RFR) Calculator and information on the 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.

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.