U.S. Dollar ICE Bank Yield Index Test Rates
In January 2019, ICE Benchmark Administration Limited (IBA) published a paper regarding a preliminary methodology for a new interest rate index. The U.S. Dollar ICE Bank Yield Index is designed to measure the average yields at which investors are willing to invest U.S. dollar funds in large, internationally active banks on a wholesale, senior, unsecured basis over one-month, three-month and six-month periods. The paper included the results of a preliminary period of testing of the index during 2018.
In April 2019, IBA published an update paper regarding the index. The update paper included further information on the Index and provided updated testing results to the end of March 2019.
IBA published a second update in July 2019. This provides a summary of the feedback IBA has received on the index, presents a potential update to the methodology whereby the index is determined by combining a term SOFR yield curve and a bank credit-spread curve based upon transactional data, and provides further updated testing results to the end of June 2019, which are also published below.
Terms & Conditions
In order to receive the proprietary data from this webpage, you acknowledge and agree that you shall not disclose, transmit, distribute or disseminate, either directly or indirectly through any third parties, the data and information contained herein, including files or URLs, to any person or entity without the express written consent of IBA. The market data and information contained herein constitutes confidential information and valuable property owned by IBA, its affiliates, licensors and/or other relevant third parties.
Intercontinental Exchange, Inc. (ICE) and IBA reserve all rights in the methodologies (patent pending) and outputs disclosed in the papers and on this webpage, and in the copyright in the papers and on this webpage. None of these rights may be used without a written licence from IBA.
The data provided on this webpage are historical and relate to period of testing. They are provided for information and illustration purposes only, might not be accurate or reliable and may not be used for any other purpose. In particular, they are not intended for use as, and IBA expressly prohibits their use as, an index by reference to which the amount payable under a financial instrument or a financial contract, or the value of a financial instrument, is determined, or as an index that is used to measure the performance of an investment fund with the purpose of tracking the return of such index or of defining the asset allocation of a portfolio or of computing the performance fees. Such data should not be used as a benchmark for the purposes of the EU Benchmarks Regulation or otherwise.
The methodologies disclosed in the papers are subject to changes in response to feedback from market participants and stakeholders and IBA's further development work. These changes might alter the outputs shown on this webpage. There is no guarantee that IBA will continue to test the U.S. Dollar ICE Bank Yield Index, be able to source data to derive the index or publish the index in the future. Users of LIBOR should not rely on the potential publication of the U.S. Dollar ICE Bank Yield Index when developing and executing transition or fallback plans.
None of IBA, ICE, or any of its or their affiliates accepts any responsibility or will be liable in contract or tort (including negligence), for breach of statutory duty or nuisance or under antitrust laws or otherwise for the information contained in the papers or on this webpage or any use that you may make of it. All implied terms, conditions and warranties and liabilities in relation to the information are hereby excluded to the fullest extent permitted by law. None of IBA, ICE or any of its or their affiliates excludes or limits liability for fraud or fraudulent misrepresentation or death or personal injury caused by negligence.
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