U.S. Dollar ICE Bank Yield Index Test Rates
In January 2019, ICE Benchmark Administration Limited (IBA) published a white 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 U.S. Dollar ICE Bank Yield Index is a forward-looking, credit-sensitive benchmark designed specifically as a potential replacement for LIBOR for U.S. dollar lending activity. The Index incorporates some of the key properties of LIBOR that cash market participants have informed IBA they would like to retain in a U.S. dollar lending benchmark. These include: measuring unsecured bank funding costs in U.S. dollars; averaging these funding costs across a collection of large, internationally active banks; and providing the most widely-used forward-looking term settings. The white paper included the results of a preliminary period of testing the index during 2018, which IBA also published separately on this webpage below.
IBA published an update to the January white paper in April 2019, and a second update in July 2019. These updates provided further information on some proposed updates to the preliminary index methodology, a summary of the feedback IBA had received and updated testing results to the end of June 2019, which IBA again published on this webpage below.
IBA published a third update to the white paper in October 2019, describing an updated preliminary index methodology and providing recalculated testing results from December 2017 to the end of September 2019 using this updated methodology, which are also published below.
IBA continues to invite feedback from market participants on all aspects of the development of the U.S. Dollar ICE Bank Yield Index, including the input data and the preliminary index methodology. Respondents are requested to provide their feedback by email to IBA at [email protected].
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 license 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 may 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 in the papers and 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.
Furthermore, you acknowledge that you have read and agree to all terms presented in the following document: U.S. Dollar ICE Bank Yield Index Test Rates Website Terms and Conditions.
Please click on the link above to read the U.S. Dollar ICE Bank Yield Index Test Rates Website Terms and Conditions and click on the “Click here to Accept and Download the Data File” links below to access the data files. By accessing the data, you accept and agree to all the above terms.