Follows launch of ICE SONIA Indexes in April 2021
Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today 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 lending 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 published today, all ICE RFR Indexes use the same underlying calculation methodology.
“The EBRD is very pleased to see the introduction of the different indices by ICE Benchmark Administration. We have made indices a core part of the design of our new loan product for clients from the start as we believe they greatly simplify the compounding calculation and reduce reconciliation risks between parties”, said Axel van Nederveen, Treasurer of the European Bank of Reconstruction and Development. “What we are particularly pleased about is that ICE Benchmark Administration will also publish values for non-business days, which will help solve the remaining hurdles for the correct implementation of the compounding in arrears methodology with observation shift.”
“Expanding the ICE Indexes to cover GBP, USD, EUR and JPY RFRs provides lenders and borrowers around the world with an expanded set of resources to assist their transition to RFR-based lending,” said Tim Bowler, President of ICE Benchmark Administration. “By engaging closely with the market, we are working hard to ensure that the lending and borrowing community has the economic and operational tools they need to transition to RFRs in their financial contracts across currencies.”
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.
ICE RFR Indexes are published daily. Prospective licensees should contact IBA-CommercialTeam-Info@ice.com for further information.
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