The U.S. Dollar ICE Bank Yield Index will be a forward-looking, credit-sensitive benchmark, developed specifically as a potential replacement for LIBOR for U.S. dollar lending activity.
The Index has been designed to measure the average yields at which investors are willing to invest U.S. dollar funds over one-month, three-month and six-month periods on a wholesale, senior, unsecured basis in large, internationally active banks.
The Index will be based entirely on unsecured transactions in the obligations of banks, and will use two types of fully-transactional input data representing wholesale, unsecured bank investment yields:
Importantly, there will be no requirement for data contributors to use expert judgement when providing input data.
IBA introduced the U.S. Dollar ICE Bank Yield Index in a white paper in January 2019. IBA has since published several updates to the white paper in order to update market participants on the details of the proposed Index methodology as it has evolved, to provide testing results, and to seek feedback on the Index.
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 Index methodology. Respondents are requested to provide their feedback by email to IBA at [email protected].
Provided that the outcome of testing continues to be satisfactory, IBA plans to take steps to prepare for the potential launch the Index in the latter part of 2020. Please note that the timings associated with producing the Index could be materially impacted by the COVID-19 pandemic and stakeholders’ abilities to engage with IBA on the development of the Index, in particular the banks whose data is necessary to determine the Index.
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.
IBA publishes on a weekly basis a file containing the latest ICE Bank Yield Index test results (together with U.S. dollar LIBOR data for equivalent tenors).
You can access the test results webpage here.
The following charts show the ICE Bank Yield Index test rates and ICE LIBOR USD rates for 1 month, 3 month and 6 month tenors:
Please note that U.S. dollar LIBOR and the U.S. Dollar ICE Bank Yield Index are produced using different methodologies and different data sources. As a result, care should be taken when comparing U.S. dollar LIBOR and the U.S. Dollar ICE Bank Yield Index on any day or for any period, including the period of testing.