Benchmark Income Return of USD 6 Month LIBOR Benchmark (Legacy Benchmark)

Submitted by Admin on Thu, 07/15/2021 - 16:17

The project finance, trade finance and money market benchmarks used for Fund I are fixed spreads above the USD 6 Month LIBOR (Bloomberg ticker: US0006M Index), as follows:
- Project Finance: USD 6 Month LIBOR + 250 bps
- Trade Finance: USD 6 Month LIBOR + 200 bps
- Money Market: USD 6 Month LIBOR + 20 bps

The choice of using the above benchmarks is on the basis of the benchmarks being specified in the Sep 2013 investment policy of Fund I.

The above benchmark returns represent income return or yields which are derived from the rolling historical or trailing average of daily USD 6 Month LIBOR.

The rolling historical average of daily USD 6 Month LIBOR can be sourced as follows:

  • Manual extraction of the rolling historical average of daily LIBOR by generating it using the "Historical Price Table" Function (HP <GO>) at the Bloomberg Terminal and selecting the period for which the daily LIBOR are to be averaged (LIBOR data is sourced by Bloomberg directly from InterContinental Exchange (ICE) who administers the fixing of the benchmark)
     
  • Manual downloading of the historical daily LIBOR from the Federal Reserve Bank of St. Louis website and then calculating the rolling historical average of the downloaded daily LIBOR
     
  • Automatic downloading of the historical daily LIBOR into an Excel spreadsheet at a computer connected to the Bloomberg Terminal, specifically by using the BDH (Bloomberg Data History) Function that uses the Bloomberg ticker as the first parameter and "PX_LAST" as the second parameter; This is followed by calculating the rolling historical average of the downloaded daily LIBOR


For quarterly reporting, the periods applicable for calculating the rolling historical average of daily LIBOR are as follows:

Table 1: Derivation of Benchmark Income Return of the USD 6 Month LIBOR Benchmark

Benchmark Income Return % (p.a./annualised) % (non-annualised)
Full Year Average of daily LIBOR during the 4 quarters of Q4, Q3, Q2 and Q1 Same as the average rate on the left
Q1-Q3 Average of daily LIBOR during the 3 quarters of Q3, Q2 and Q1 Average rate on the left multiplied by 3/4
H1 Average of daily LIBOR during the 2 quarters of Q2 and Q1 Average rate on the left multiplied by 2/4
Q1 Average of daily LIBOR during Q1 Average rate on the left multiplied by 1/4