Benchmark Income Return of Barclays USD 3 Month LIBOR Cash Index

Submitted by Addy Suhut on Mon, 03/29/2021 - 21:49

The money market benchmark used for Fund W is the Barclays USD 3 Month LIBOR Cash Index (Bloomberg ticker: BXIIU3IC Index).

The choice of using this particular index is on the basis of the index being listed as a benchmark in the Feb 2019 investment policy of Fund W.

The income return or yield of this benchmark index is derived from the benchmark index's rolling historical or trailing rate of total return, such as the one generated using the "Total Return Analysis" Function at the Bloomberg Terminal (BBG TRA). Total return data can be used to derive income return for money market indices since there is no capital or price return component on these indices and consequently, monthly income return numbers from index providers' websites equal monthly total return numbers from BBG TRA.

The rolling historical rate of total return of the index can be sourced as follows:

  • Manual extraction of the rolling historical total return by generating them using the "Total Return Analysis" Function (TRA <GO>) at the Bloomberg Terminal
  • Automatic downloading of the rolling historical total return 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 "DAY_TO_DAY_TOT_RETURN_GROSS_DVDS" as the second parameter

The benchmark income return during a particular reporting period is derived by taking the benchmark total return during the reporting period. For quarterly reporting, the periods applicable for calculating the total return numbers are as follows:

Table 1: Derivation of Benchmark Income Return of the Barclays USD 3 Month LIBOR Cash Index

Benchmark Income Return % (non-annualised)
Full Year Total return generated during the 4 quarters of Q4, Q3, Q2 and Q1
Q1-Q3 Total return generated during the 3 quarters of Q3, Q2 and Q1
H1 Total return generated during the 2 quarters of Q2 and Q1
Q1 Total return generated during Q1