IBA to publish test data for ICE LIBOR

Intercontinental Exchange said that ICE Benchmark Administration (IBA) will publish data relating to a three-month testing period during which all 20 LIBOR panel banks were required to make parallel LIBOR submissions. These parallel submissions used the evolved waterfall methodology set out in the ICE LIBOR output statement. 

In the testing period of between September 15 and December 15, 2017, IBA conducted a test during which all 20 panel banks were required to make additional LIBOR submissions using the waterfall methodology to the same production standard as, and in parallel with, their existing LIBOR submissions. IBA has calculated LIBOR using submissions made under the waterfall methodology for each of the 35 LIBOR currency and tenor pairs for every applicable London business day of the testing period, called the test rates. The calculations apply the same trimmed arithmetic mean approach used to calculate LIBOR as it is currently published.

The test rates will be published at approximately 2:00pm GMT on Saturday, March 17, 2018 on the ICE website, alongside previously published LIBOR using the existing methodology for the same period. IBA became the administrator of LIBOR in February, 2014. Since then, IBA has invested significantly and put in place new governance, oversight, technology and controls to strengthen LIBOR.

Read the full release

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