This page provides a comprehensive overview of all of ICE Benchmark Administration’s (IBA) solutions designed to help stakeholders prepare for transition to new U.S. Dollar interest rate benchmarks. It reviews test settings for the ICE Bank Yield Index (IBYI), designed to be a credit sensitive interest rate benchmark for use in commercial lending markets, and for IBA’s forward-looking Term SOFR settings and the Tradeweb ICE Constant Maturity Treasury Rates (CMT), both of which are designed to provide term risk free rate settings in U.S. Dollars.

TenorUSD LIBOR®ICE Bank Yield Index (IBYI) RatesICE Term SOFR RatesIBYI Spreads to Term SOFRTradeweb ICE CMT RatesIBYI Spreads to Tradeweb ICE CMT Rates
1 Month0.0850.0950.0550.0400.0410.054
3 Months0.1320.1310.0580.0730.0270.104
6 Months0.1550.1570.0560.1010.0430.114
12 Months0.2300.1970.0640.1330.0750.122
       
Publication Date24-Sep-2124-Sep-2124-Sep-21 23-Sep-21 
Publication time (ET)6:55AM9:00AM9:00AM 4:05PM 

None of IBA, Intercontinental Exchange, Inc. (ICE), Tradeweb Markets LLC (Tradeweb), or any third party that provides input data to IBA to calculate or determine the data herein, or any of its or their affiliates, accepts any responsibility or liability arising out of on in connection with the data herein or any use that you may make of it and all implied terms, conditions and warranties and liabilities in relation to the data are hereby excluded to the fullest extent permitted by law. "ICE", "ICE LIBOR", "LIBOR" and "ICE Benchmark Administration" are trademarks of ICE and/or its affiliates. "Tradeweb" is a trademark of Tradeweb and/or its affiliates. All rates in the table above are rounded to 3 decimal places.

The daily data available on this page 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.

ICE Bank Yield Index

The ICE Bank Yield Index (The Bank Yield Index) is designed to measure the average yields and spreads at which investors are willing to invest U.S. dollar funds over certain periods (e.g. three months) on a wholesale unsecured basis in banks active in the capital and money markets. The primary purpose of the Index is to serve as a potential reference rate for commercial lending.

The Index is based entirely on two types of transactional input data:

  • unsecured, wholesale, primary money market funding transaction data provided by banks and
  • certain secondary market transaction data in unsecured bonds issued by banks active in the capital markets.

As a result, the Index is constructed on a transaction only basis.

Documentation

To date, IBA has published a white paper and four updates on the development of the Index methodology and provides daily testing results which are available here.

ICE Bank Yield Index Calculation Methodology

Bank Yield Index Presentation at the Federal Reserve Bank of New York November 2020

ICE Term SOFR Rates

The ICE forward-looking SOFR Term Rates – beta version - are designed to measure the average expected (i.e. forward-looking) SOFR rates1 over unspecified tenor periods. The methodology estimates the future path of SOFR using prices for SOFR-linked futures and Overnight Index Swaps (OIS). It has built-in protections to manage low liquidity and high volatility scenarios and so is designed to be stable across all market circumstances.

Documentation

Statement of Compliance with the IOSCO Principles for Financial Benchmarks

1. SOFR is the Secured Overnight Financing Rate - SOFR is published by the Federal Reserve Bank of New York (New York Fed) and is subject to New York Fed's Terms of Use for Select Rate Data. New York Fed has no liability for your use of the data.

Tradeweb ICE CMT Rates

Tradeweb and ICE Benchmark Administration Limited (IBA) have published a paper introducing daily Tradeweb ICE Constant Maturity Treasury Rates (Tradeweb ICE CMT Rates) for review and comment by market participants (see press release). The Tradeweb ICE CMT Rates have been designed to provide market participants with a daily overview of U.S. Treasury yields for standard maturities.

Documentation

Methodology Paper


Disclaimer and Terms of Use

The proprietary data, information and outputs from this webpage, including files or URLs, must not be disclosed, transmitted, distributed or disseminated, either directly or indirectly through any third parties, to any person or entity without the express written consent of IBA. The market data, information and outputs contained herein constitute confidential information and valuable property owned by IBA, its affiliates, licensors and/or other relevant third parties.

Intercontinental Exchange, Inc. (ICE), ICE Benchmark Administration Limited (IBA) and Tradeweb Markets LLC (Tradeweb) reserve all rights in the methodologies (patent pending) and the data, information and outputs disclosed on this webpage, and in the copyright on this webpage. None of these rights may be used without a written license from IBA or Tradeweb, as applicable.

The data, information and outputs provided on this webpage are historical and relate to a period of testing. They may be updated and changed in their entirety as further testing data becomes available and as the methodology is changed and updated. 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, information and outputs may not be used as a benchmark within the meaning of the UK and EU Benchmarks Regulation or otherwise.

The methodologies disclosed on this webpage are subject to changes in response to feedback from market participants and other stakeholders and IBA's and Tradeweb’s further development work. These changes might produce different results that the data, information and outputs shown herein.

ICE, LIBOR, ICE LIBOR and ICE Benchmark Administration are trademarks of IBA and/or its affiliates. All rights in these trademarks are reserved and none of these rights may be used without a written license from IBA and/or its affiliates, as applicable. Tradeweb is a trademark of Tradeweb and/or its affiliates. All rights in this trademark are reserved and none of these rights may be used without a written license from Tradeweb and/or its affiliates, as applicable.

There is no guarantee that IBA will continue: to test the U.S. Dollar ICE Bank Yield Index, ICE Term SOFR Rates or the Tradeweb ICE CMT Rates (the “U.S. Dollar Reference Rates”), to be able source data to derive the U.S. Dollar Reference Rates or publish the U.S. Dollar Reference Rates in the future. Users of LIBOR should not rely on the potential publication of the U.S. Dollar Reference Rates when developing and executing transition or fallback plans.

None of IBA, ICE, Tradeweb, or any providers of data for any of the U.S. Dollar Reference Rates (“data providers”), 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 data, information and outputs contained on this webpage or any use that you may make of it.

All implied terms, conditions and warranties and liabilities in relation to the data, information and outputs are hereby excluded to the fullest extent permitted by law. None of IBA, ICE, Tradeweb, or any data providers, or any of its or their affiliates excludes or limits liability for fraud or fraudulent misrepresentation or death or personal injury caused by negligence.

Please note that U.S. Dollar LIBOR and each of the aforementioned U.S. Dollar Reference Rates are produced using different methodologies and different data sources. As a result, care should be taken when comparing U.S. Dollar LIBOR and any of the U.S. Dollar ICE Bank Yield Index, ICE Term SOFR Rates and/or Tradeweb ICE CMT Rates, on any day or for any period, including the period of testing.