01.25.2019

ICE Introduces Index To Replace Libor

Intercontinental Exchange, a leading operator of global exchanges and clearing houses and provider of data and listings services, today announced that ICE Benchmark Administration (“IBA”) has published a paper introducing the U.S. Dollar ICE Bank Yield Index for review and comment by market participants.

The fully transaction-based U.S. Dollar ICE Bank Yield Index is designed to measure the yields at which investors are willing to invest U.S. dollar funds in large, internationally active banks on a wholesale, unsecured basis over one-month, three-month and six-month periods.

The index has been developed to meet the potential needs of lenders, borrowers and other users of non-derivative or “cash” products that have historically referenced short-term interest rate benchmarks, such as LIBOR, in their contracts.

IBA has conducted a period of testing on a preliminary methodology for the index over the course of the past year. The results are published in the paper and on IBA’s website.

IBA is now inviting market participants and stakeholders to review and provide feedback on the U.S. Dollar ICE Bank Yield Index and its proposed methodology via email at IBA@theice.com by March 31, 2019.

IBA intends to consider and take account of this feedback in finalising the construction of the index before conducting a production-standard test in the second half of 2019. If the market’s response is encouraging and future testing is successful, IBA anticipates that it will launch the U.S. Dollar ICE Bank Yield Index and commence publication during the first quarter of 2020.

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 U.S. Dollar 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.

Source: Intercontinental Exchange

Related articles

  1. It may take between 10 and 15 years for DeFi to be broadly accepted across financial markets.

  2. Outlook 2016: Alexander Lehmann, LSEG

    LCH SwapAgent registered over 10,000 trades in 2021, a five fold increase.

  3. There is growing interest in actionable insights into market data.

  4. Overall trading volumes across all products fell 8% from 2020.

  5. Five banks joined tests for settling interbank, monetary policy and cross-border transactions in Swiss francs.