The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

ICE Benchmark Administration Adds ICE Risk Free Rate Indexes for US Dollar, Euro and Japanese Yen

ICE Benchmark Administration has introduced ICE Risk Free Rate (RFR) Indexes in US Dollar (SOFR), Euro (€STR) and Japanese Yen (TONA). The indexes will be used to replace LIBOR rates and include ICE SONIA Indexes for GBP Sterling that the company released in April 2021.

“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 [from LIBOR] to RFR-based lending,” says Tim Bowler, president of ICE Benchmark Administration. “By engaging with the market, we are working to ensure that the lending and borrowing community has the economic and operational tools it needs to transition to RFRs in financial contracts across currencies.”

ICE RFR Indexes are published daily and designed to provide parties with a simple method to calculate compound interest between two dates and agree on associated interest accruals. They use the same underlying calculation methodology to standardise the calculation of interest for financial contracts and provide pre-calculated compound interest values for each business day.

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.

Related content

WEBINAR

Recorded Webinar: Sanctions – The new pre-trade challenge for the buy-side

Sanctions screening at the security level is a relatively recent requirement for the buy-side. It dives deeper than traditional KYC and AML screening and is immensely challenging as firms must monitor frequently changing sanctions lists, source up-to-date sanctions data and beneficial ownership data, and integrate these to screen growing lists of potentially sanctioned securities. As...

BLOG

DTCC Data Services Aggregates Back-Office Data to Provide Front-Office Market Insight

DTCC Data Services is tapping the vast quantities of post-trade data that flow through DTCC on a daily basis to deliver back-office data to front-office data products offering market insight into areas such as liquidity, risk, momentum, sentiment and correlation. Early users of the historical data products include hedge funds and quant traders looking for...

EVENT

TradingTech Summit London

TradingTech Summit London will explore how trading firms are innovating in today’s cloud and digital based environment to create flexible, scalable trading platforms to support speed to market and business agility. Leveraging the cloud, AI and ML technologies to get an edge, automate processes and simplify operations in a cost effective way is the name of the game and will share practical insight from practitioners and technology leaders who are innovating and driving forward change in trading operations.

GUIDE

Entity Data Management Handbook – Seventh Edition

Sourcing entity data and ensuring efficient and effective entity data management is a challenge for many financial institutions as volumes of data rise, more regulations require entity data in reporting, and the fight again financial crime is escalated by bad actors using increasingly sophisticated techniques to attack processes and systems. That said, based on best...