U.S. Dollar ICE Bank Yield Index Test Rates
ICE Benchmark Administration (IBA), a leading provider of global interest rate and other financial benchmarks, introduced a preliminary methodology for the U.S. Dollar ICE Bank Yield Index (the Index) in a white paper in January 2019. The Index is designed to measure the average yields at which investors are willing to invest unsecured 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 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 incorporates some of the key properties of LIBOR that cash market participants have informed IBA they value in a U.S. dollar lending benchmark, such as forward-looking term settings, credit sensitivity, and an average unsecured bank rate across a collection of internationally active banks.
The Index will be based entirely on unsecured transactions in the obligations of banks and uses two types of fully-transactional input data representing wholesale, unsecured bank investment yields: (i) primary market funding transactions; and (ii) secondary market bond transactions. Importantly, there will be no requirement for data contributors to use expert judgement when providing input data.
Since the original white paper, IBA has published three further updates in April, July and October 2019, 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 has also published a fourth update in May 2020, in order to provide information on further refinements to the methodology and to provide updated testing results. Recalculated test results using this further updated methodology through April 2020 are provided 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 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 a 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, for misrepresentation or under antitrust laws or otherwise, for the information contained in the papers, updates 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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