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The London Inter-Bank Offered Rate is an interest-rate average calculated from estimates submitted by the leading banks in
London London is the capital and largest city of England and the United Kingdom, with a population of just under 9 million. It stands on the River Thames in south-east England at the head of a estuary down to the North Sea, and has been a majo ...
. Each bank estimates what it would be charged were it to borrow from other banks. The resulting average rate is usually abbreviated to Libor () or LIBOR, or more officially to ICE LIBOR (for
Intercontinental Exchange Intercontinental Exchange, Inc. (ICE) is an American company formed in 2000 that operates global financial exchanges and clearing houses and provides mortgage technology, data and listing services. Listed on the Fortune 500, S&P 500, and Russe ...
LIBOR). It was formerly known as BBA Libor (for
British Bankers' Association The British Bankers' Association (BBA) was a trade association for the UK banking and financial services sector. From 1 July 2017, it was merged into UK Finance. It represented members from a wide range of banking and financial services. The ass ...
Libor or the trademark bba libor) before the responsibility for the administration was transferred to
Intercontinental Exchange Intercontinental Exchange, Inc. (ICE) is an American company formed in 2000 that operates global financial exchanges and clearing houses and provides mortgage technology, data and listing services. Listed on the Fortune 500, S&P 500, and Russe ...
. It is the primary benchmark, along with the
Euribor The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro whole ...
, for short-term interest rates around the world. Libor was phased out at the end of 2021, and market participants are being encouraged to transition to
risk-free interest rate The risk-free rate of return, usually shortened to the risk-free rate, is the rate of return of a hypothetical investment with scheduled payments over a fixed period of time that is assumed to meet all payment obligations. Since the risk-free ra ...
s. As of late 2022, parts of it have been discontinued, and the rest is scheduled to end within 2023; the Secured Overnight Financing Rate (
SOFR Secured Overnight Financing Rate (SOFR) is a secured interbank overnight interest rate. SOFR is a reference rate (that is, a rate used by parties in commercial contracts that is outside their direct control) established as an alternative to LIBOR. ...
) is its replacement. Libor rates are calculated for five currencies and seven borrowing periods ranging from overnight to one year and are published each business day by
Thomson Reuters Thomson Reuters Corporation ( ) is a Canadian multinational media conglomerate. The company was founded in Toronto, Ontario, Canada, where it is headquartered at the Bay Adelaide Centre. Thomson Reuters was created by the Thomson Corpora ...
. Many financial institutions, mortgage lenders, and credit card agencies set their own rates relative to it. At least $350
trillion ''Trillion'' is a number with two distinct definitions: * 1,000,000,000,000, i.e. one million million, or (ten to the twelfth power), as defined on the short scale. This is now the meaning in both American and British English. * 1,000,000,000,0 ...
in
derivatives The derivative of a function is the rate of change of the function's output relative to its input value. Derivative may also refer to: In mathematics and economics * Brzozowski derivative in the theory of formal languages * Formal derivative, an ...
and other financial products are tied to Libor. In June 2012, multiple criminal settlements by
Barclays Bank Barclays () is a British multinational universal bank, headquartered in London, England. Barclays operates as two divisions, Barclays UK and Barclays International, supported by a service company, Barclays Execution Services. Barclays traces ...
revealed significant fraud and collusion by member banks connected to the rate submissions, leading to the Libor scandal. The British Bankers' Association said on 25 September 2012 that it would transfer oversight of Libor to UK regulators, as proposed by
Financial Services Authority The Financial Services Authority (FSA) was a quasi-judicial body accountable for the financial regulation, regulation of the financial services industry in the United Kingdom between 2001 and 2013. It was founded as the Securities and Investmen ...
managing director
Martin Wheatley Martin Wheatley is a British financier, formerly managing director of the Consumer and Markets Business Unit of the Financial Services Authority in the UK, and is the former CEO of the Financial Conduct Authority. In London Wheatley worked for t ...
's independent review recommendations. Wheatley's review recommended that banks submitting rates to Libor must base them on actual inter-bank deposit market transactions and keep records of those transactions, that individual banks' Libor submissions be published after three months, and recommended criminal sanctions specifically for manipulation of benchmark interest rates. Financial institution customers may experience higher and more volatile borrowing and hedging costs after implementation of the recommended reforms. The UK government agreed to accept all of the Wheatley Review's recommendations and press for legislation implementing them.Ainsley Thomson (17 October 2012
"UK Treasury Minister: Government Accepts Recommendations Of Wheatley Libor Review In Full"
''Dow Jones Newswires / Fox Business''
Significant reforms, in line with the Wheatley Review, came into effect in 2013 and a new administrator took over in early 2014. The
British government ga, Rialtas a Shoilse gd, Riaghaltas a Mhòrachd , image = HM Government logo.svg , image_size = 220px , image2 = Royal Coat of Arms of the United Kingdom (HM Government).svg , image_size2 = 180px , caption = Royal Arms , date_es ...
regulates Libor through criminal and
regulatory Regulation is the management of complex systems according to a set of rules and trends. In systems theory, these types of rules exist in various fields of biology and society, but the term has slightly different meanings according to context. For ...
laws passed by
Parliament In modern politics, and history, a parliament is a legislative body of government. Generally, a modern parliament has three functions: Representation (politics), representing the Election#Suffrage, electorate, making laws, and overseeing ...
. In particular, the
Financial Services Act 2012 The Financial Services Act 2012 is an Act of the Parliament of the United Kingdom which implements a new regulatory framework for the financial system and financial services in the UK. It replaces the Financial Services Authority with two new re ...
brings Libor under UK regulatory oversight and creates a criminal offence for knowingly or deliberately making false or misleading statements relating to benchmark-setting.


Introduction

The London Interbank Offered Rate (LIBOR) came into widespread use in the 1970s as a reference interest rate for transactions in offshore
Eurodollar Eurodollars are U.S. dollars held in time deposit accounts in banks outside the United States, which thus are not subject to the legal jurisdiction of the U.S. Federal Reserve. Consequently, such deposits are subject to much less regulation than ...
markets. In 1984, it became apparent that an increasing number of banks were trading actively in a variety of relatively new market instruments, notably
interest rate swap In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations wit ...
s, foreign currency options and
forward rate agreement In finance, a forward rate agreement (FRA) is an interest rate derivative (IRD). In particular it is a linear IRD with strong associations with interest rate swaps (IRSs). General description A forward rate agreement's (FRA's) effective descrip ...
s. While recognizing that such instruments brought more business and greater depth to the London Inter-bank market, bankers worried that future growth could be inhibited unless a measure of uniformity was introduced. In October 1984, the
British Bankers' Association The British Bankers' Association (BBA) was a trade association for the UK banking and financial services sector. From 1 July 2017, it was merged into UK Finance. It represented members from a wide range of banking and financial services. The ass ...
(BBA)—working with other parties, such as the
Bank of England The Bank of England is the central bank of the United Kingdom and the model on which most modern central banks have been based. Established in 1694 to act as the English Government's banker, and still one of the bankers for the Government of ...
—established various working parties, which eventually culminated in the production of the BBA standard for interest rate swaps, or "BBAIRS" terms. Part of this standard included the fixing of BBA interest-settlement rates, the predecessor of BBA Libor. From 2 September 1985, the BBAIRS terms became standard market practice. BBA Libor fixings did not commence officially before 1 January 1986. Before that date, however, some rates were fixed for a trial period commencing in December 1984. Member banks are international in scope, with more than sixty nations represented among its 223 members and 37 associated professional firms as of 2008. Seventeen banks for example currently contribute to the fixing of US Dollar Libor. The panel contains the following member banks: *
Bank of America The Bank of America Corporation (often abbreviated BofA or BoA) is an American multinational investment bank and financial services holding company headquartered at the Bank of America Corporate Center in Charlotte, North Carolina. The bank ...
* Bank of Tokyo-Mitsubishi UFJ *
Barclays Bank Barclays () is a British multinational universal bank, headquartered in London, England. Barclays operates as two divisions, Barclays UK and Barclays International, supported by a service company, Barclays Execution Services. Barclays traces ...
*
Citibank NA Citibank, N. A. (N. A. stands for " National Association") is the primary U.S. banking subsidiary of financial services multinational Citigroup. Citibank was founded in 1812 as the City Bank of New York, and later became First National City Ba ...
*
Credit Agricole CIB Credit (from Latin verb ''credit'', meaning "one believes") is the trust which allows one party to provide money or resources to another party wherein the second party does not reimburse the first party immediately (thereby generating a debt ...
*
Credit Suisse Credit Suisse Group AG is a global investment bank and financial services firm founded and based in Switzerland. Headquartered in Zürich, it maintains offices in all major financial centers around the world and is one of the nine global " ...
*
Deutsche Bank Deutsche Bank AG (), sometimes referred to simply as Deutsche, is a German multinational investment bank and financial services company headquartered in Frankfurt, Germany, and dual-listed on the Frankfurt Stock Exchange and the New York Sto ...
* HSBC *
JP Morgan Chase JPMorgan Chase & Co. is an American multinational investment bank and financial services holding company headquartered in New York City and incorporated in Delaware. As of 2022, JPMorgan Chase is the largest bank in the United States, the w ...
*
Lloyds Banking Group Lloyds Banking Group is a British financial institution formed through the acquisition of HBOS by Lloyds TSB in 2009. It is one of the UK's largest financial services organisations, with 30 million customers and 65,000 employees. Lloyds Ban ...
*
Rabobank Rabobank (; full name: ''Coöperatieve Rabobank U.A.'') is a Dutch multinational banking and financial services company headquartered in Utrecht, Netherlands. The group comprises 89 local Dutch Rabobanks (2019), a central organisation (Raboban ...
* Royal Bank of Canada *
Société Générale Société Générale S.A. (), colloquially known in English as SocGen (), is a French-based multinational financial services company founded in 1864, registered in downtown Paris and headquartered nearby in La Défense. Société Générale ...
* Sumitomo Mitsui Banking Corporation Europe Ltd *
Norinchukin Bank The is a Japanese cooperative bank serving over 5,612 agricultural, fishing and forestry cooperatives from its headquarters in Tokyo. The bank is one of Japan's largest institutional investors with an investment portfolio of more than US$400 bill ...
* Royal Bank of Scotland *
UBS AG UBS Group AG is a multinational investment bank and financial services company founded and based in Switzerland. Co-headquartered in the cities of Zürich and Basel, it maintains a presence in all major financial centres as the largest Swis ...


Scope

Libor is widely used as a reference rate for many financial instruments in both financial markets and commercial fields. There are three major classifications of interest rate fixings instruments, including standard inter bank products, commercial field products, and hybrid products that often use Libor as their reference rate. Standard interbank products: *
Forward rate agreement In finance, a forward rate agreement (FRA) is an interest rate derivative (IRD). In particular it is a linear IRD with strong associations with interest rate swaps (IRSs). General description A forward rate agreement's (FRA's) effective descrip ...
s * Interest rate futures, e.g.
Eurodollar Eurodollars are U.S. dollars held in time deposit accounts in banks outside the United States, which thus are not subject to the legal jurisdiction of the U.S. Federal Reserve. Consequently, such deposits are subject to much less regulation than ...
futures *
Interest rate swap In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations wit ...
s *
Swaption A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps. Types of ...
s *
Overnight indexed swap An overnight indexed swap (OIS) is an interest rate swap (''IRS'') over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a ...
s, e.g. Libor–OIS spread *
Interest rate option An Interest rate option is a specific financial derivative contract whose value is based on interest rates. Its value is tied to an underlying interest rate An interest rate is the amount of interest due per period, as a proportion of the amoun ...
s,
Interest rate cap and floor An interest rate cap is a type of interest rate derivative in which the buyer receives payments at the end of each period in which the interest rate exceeds the agreed strike price. An example of a cap would be an agreement to receive a payment for ...
Commercial field products: *
Floating rate note Floating rate notes (FRNs) are bonds that have a variable coupon, equal to a money market reference rate, like LIBOR or federal funds rate, plus a quoted spread (also known as quoted margin). The spread is a rate that remains constant. Almost all ...
s *Floating rate
certificates of deposit A certificate of deposit (CD) is a time deposit, a financial product commonly sold by banks, thrift institutions, and credit unions in the United States. CDs differ from savings accounts in that the CD has a specific, fixed term (often one, t ...
* Syndicated loans *
Variable rate mortgage A variable-rate mortgage, adjustable-rate mortgage (ARM), or tracker mortgage is a mortgage loan with the interest rate on the note periodically adjusted based on an index which reflects the cost to the lender of borrowing on the credit markets.Wie ...
s *
Term loan {{Unreferenced, date=March 2018 A term loan is a monetary loan that is usually repaid in regular payments over a set period of time. Term loans usually last between one and ten years, but may last as long as 30 years in some cases. A term loan usua ...
s Hybrid products: * Range accrual notes *Step up callable notes *Target redemption notes *Hybrid perpetual notes * Collateralized mortgage obligations *
Collateralized debt obligation A collateralized debt obligation (CDO) is a type of structured asset-backed security (ABS). Originally developed as instruments for the corporate debt markets, after 2002 CDOs became vehicles for refinancing mortgage-backed securities (MBS).Le ...
s In the United States in 2008, around sixty percent of
prime A prime number (or a prime) is a natural number greater than 1 that is not a product of two smaller natural numbers. A natural number greater than 1 that is not prime is called a composite number. For example, 5 is prime because the only ways ...
adjustable-rate mortgage A variable-rate mortgage, adjustable-rate mortgage (ARM), or tracker mortgage is a mortgage loan with the interest rate on the note periodically adjusted based on an index which reflects the cost to the lender of borrowing on the credit markets.Wie ...
s and nearly all
subprime mortgages The United States subprime mortgage crisis was a multinational financial crisis that occurred between 2007 and 2010 that contributed to the 2007–2008 global financial crisis. It was triggered by a large decline in US home prices after the coll ...
were indexed to the US dollar Libor. In 2012, around 45 percent of prime adjustable rate mortgages and more than 80 percent of subprime mortgages were indexed to the Libor. American municipalities also borrowed around 75 percent of their money through financial products that were linked to the Libor.LIBOR: Frequently Asked Questions In the UK, the three-month British pound Libor is used for some
mortgages A mortgage loan or simply mortgage (), in civil law jurisdicions known also as a hypothec loan, is a loan used either by purchasers of real property to raise funds to buy real estate, or by existing property owners to raise funds for any ...
—especially for those with adverse credit history. The Swiss franc Libor is also used by the
Swiss National Bank The Swiss National Bank (SNB; german: Schweizerische Nationalbank; french: Banque nationale suisse; it, Banca nazionale svizzera; rm, Banca naziunala svizra) is the central bank of Switzerland, responsible for the nation's monetary policy an ...
as their reference rate for monetary policy. The usual reference rate for
euro The euro ( symbol: €; code: EUR) is the official currency of 19 out of the member states of the European Union (EU). This group of states is known as the eurozone or, officially, the euro area, and includes about 340 million citizens . ...
denominated interest rate products, however, is the
Euribor The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro whole ...
compiled by the
European Banking Federation The European Banking Federation is a trade association representing national banking associations in countries of the European Union and the European Free Trade Association. It represents over 3500 banks and about 2.6 million employees. It was ...
from a larger bank panel. A euro Libor does exist, but mainly, for continuity purposes in swap contracts dating back to pre-
EMU The emu () (''Dromaius novaehollandiae'') is the second-tallest living bird after its ratite relative the ostrich. It is endemic to Australia where it is the largest native bird and the only extant member of the genus '' Dromaius''. The emu ...
times. The Libor is an estimate and is not intended in the binding contracts of a company. It is, however, specifically mentioned as a reference rate in the market standard
International Swaps and Derivatives Association International is an adjective (also used as a noun) meaning "between nations". International may also refer to: Music Albums * ''International'' (Kevin Michael album), 2011 * ''International'' (New Order album), 2002 * ''International'' (The T ...
documentation, which are used by parties wishing to transact in over-the-counter
interest rate derivative In finance, an interest rate derivative (IRD) is a derivative whose payments are determined through calculation techniques where the underlying benchmark product is an interest rate, or set of different interest rates. There are a multitude of diff ...
s.


Definition

Libor is defined as: This definition is amplified as follows: * The rate that each bank submits must be formed from that bank's perception of its cost of funds in the inter-bank market. * Contributions must represent rates formed in London and not elsewhere. * Contributions must be for the currency concerned, not the cost of producing one currency by borrowing in another currency and accessing the required currency via the foreign exchange markets. * The rates must be submitted by members of staff at a bank with primary responsibility for management of a bank's cash, rather than a bank's derivative book. * The definition of "funds" is: unsecured inter-bank cash or cash raised through primary issuance of inter-bank certificates of deposit. The British Bankers' Association published a basic guide to the BBA Libor, which contains a great deal of detail as to its history and its current calculation.


Technical features


Calculation

Libor is calculated by the
Intercontinental Exchange Intercontinental Exchange, Inc. (ICE) is an American company formed in 2000 that operates global financial exchanges and clearing houses and provides mortgage technology, data and listing services. Listed on the Fortune 500, S&P 500, and Russe ...
(ICE) and published by
Refinitiv Refinitiv is an American-British global provider of financial market data and infrastructure. The company was founded in 2018. It is a subsidiary of London Stock Exchange Group after a US$27 billion sale from previous owners Blackstone Group LP ...
. It is an index that measures the cost of funds to large global banks operating in London financial markets or with London-based counterparties. Each day, the BBA surveys a panel of banks (18 major global banks for the USD Libor), asking the question, "At what rate could you borrow funds, were you to do so by asking for and then accepting interbank offers in a reasonable market size just prior to 11 am?" The BBA throws out the highest four and lowest four responses, and averages the remaining middle ten, yielding a 22%
trimmed mean A truncated mean or trimmed mean is a statistical measure of central tendency, much like the mean and median. It involves the calculation of the mean after discarding given parts of a probability distribution or sample at the high and low end ...
. The average is reported at 11:30 am. Libor is actually a set of indexes. There are separate Libor rates reported for seven different maturities (length of time to repay a debt) for each of five currencies. The shortest maturity is overnight, the longest is one year. In the United States, many private contracts reference the three-month dollar Libor, which is the index resulting from asking the panel what rate they would pay to borrow dollars for three months.


Currency

In 1986, the Libor initially fixed rates for three currencies. These were the
US dollar The United States dollar ( symbol: $; code: USD; also abbreviated US$ or U.S. Dollar, to distinguish it from other dollar-denominated currencies; referred to as the dollar, U.S. dollar, American dollar, or colloquially buck) is the officia ...
,
British pound sterling Sterling (abbreviation: stg; Other spelling styles, such as STG and Stg, are also seen. ISO code: GBP) is the currency of the United Kingdom and nine of its associated territories. The pound ( sign: £) is the main unit of sterling, an ...
and the
Deutsche Mark The Deutsche Mark (; English: ''German mark''), abbreviated "DM" or "D-Mark" (), was the official currency of West Germany from 1948 until 1990 and later the unified Germany from 1990 until the adoption of the euro in 2002. In English, it was ...
. Over time this grew to sixteen currencies. After a number of these currencies in 2000 merged into the euro, there remained ten currencies. Following reforms of 2013 Libor rates are calculated for five currencies. Active until June 2023 *US dollar (USD) Inactive from December 2021 *
Euro The euro ( symbol: €; code: EUR) is the official currency of 19 out of the member states of the European Union (EU). This group of states is known as the eurozone or, officially, the euro area, and includes about 340 million citizens . ...
(EUR) *
British pound sterling Sterling (abbreviation: stg; Other spelling styles, such as STG and Stg, are also seen. ISO code: GBP) is the currency of the United Kingdom and nine of its associated territories. The pound ( sign: £) is the main unit of sterling, an ...
(GBP) *
Japanese yen The is the official currency of Japan. It is the third-most traded currency in the foreign exchange market, after the United States dollar (US$) and the euro. It is also widely used as a third reserve currency after the US dollar and the ...
(JPY) *
Swiss franc The Swiss franc is the currency and legal tender of Switzerland and Liechtenstein. It is also legal tender in the Italian exclave of Campione d'Italia which is surrounded by Swiss territory. The Swiss National Bank (SNB) issues banknotes and the f ...
(CHF) Inactive from 2013 *
Australian dollar The Australian dollar ( sign: $; code: AUD) is the currency of Australia, including its external territories: Christmas Island, Cocos (Keeling) Islands, and Norfolk Island. It is officially used as currency by three independent Pacific Isl ...
(AUD) *
Canadian dollar The Canadian dollar ( symbol: $; code: CAD; french: dollar canadien) is the currency of Canada. It is abbreviated with the dollar sign $, there is no standard disambiguating form, but the abbreviation Can$ is often suggested by notable style ...
(CAD) *
New Zealand dollar The New Zealand dollar ( mi, tāra o Aotearoa; sign: $, NZ$; code: NZD) is the official currency and legal tender of New Zealand, the Cook Islands, Niue, the Ross Dependency, Tokelau, and a British territory, the Pitcairn Islands. Within Ne ...
(NZD) * Danish krone (DKK) *
Swedish krona The krona (; plural: ''kronor''; sign: kr; code: SEK) is the official currency of the Kingdom of Sweden. Both the ISO code "SEK" and currency sign "kr" are in common use; the former precedes or follows the value, the latter usually follows it ...
(SEK) Note that the Euro LIBOR should not be confused with
EURIBOR The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro whole ...
.


Maturities

Until 1998, the shortest duration rate was one month, after which the rate for one week was added. In 2001, rates for a day and two weeks were introduced Following reforms of 2013 Libor rates are calculated for 7 maturities. Active until June 2023 *1 day *1 month *3 months *6 months *12 months Inactive from December 2021 *1 week *2 months Inactive from 2013 *2 weeks *4 months *5 months *7 months *8 months *9 months *10 months *11 months


Libor-based derivatives


Libor futures

GBP and CHF LIBOR futures are traded on
Intercontinental Exchange Intercontinental Exchange, Inc. (ICE) is an American company formed in 2000 that operates global financial exchanges and clearing houses and provides mortgage technology, data and listing services. Listed on the Fortune 500, S&P 500, and Russe ...
(ICE) and on CurveGlobal, part of the
London Stock Exchange Group London Stock Exchange Group plc (LSEG) is a United Kingdom-based stock exchange and financial information company headquartered in the City of London, England. It owns the London Stock Exchange (on which it is also listed), Refinitiv, LSEG T ...
. USD LIBOR futures (aka
Eurodollar Eurodollars are U.S. dollars held in time deposit accounts in banks outside the United States, which thus are not subject to the legal jurisdiction of the U.S. Federal Reserve. Consequently, such deposits are subject to much less regulation than ...
futures) are traded on the
Chicago Mercantile Exchange The Chicago Mercantile Exchange (CME) (often called "the Chicago Merc", or "the Merc") is a global derivatives marketplace based in Chicago and located at 20 S. Wacker Drive. The CME was founded in 1898 as the Chicago Butter and Egg Board, an a ...
. JPY LIBOR futures (aka Euroyen futures) are traded on the
Tokyo Financial Exchange is a futures exchange and established in April 1989 under the ''Financial Futures Trading Law'' of Japan. It principally deals in financial instrument markets that handles securities as well as market derivatives. History The Tokyo Financial Ex ...
and the
Chicago Mercantile Exchange The Chicago Mercantile Exchange (CME) (often called "the Chicago Merc", or "the Merc") is a global derivatives marketplace based in Chicago and located at 20 S. Wacker Drive. The CME was founded in 1898 as the Chicago Butter and Egg Board, an a ...
.


Interest rate swaps

Interest rate swap In finance, an interest rate swap (IRS) is an interest rate derivative (IRD). It involves exchange of interest rates between two parties. In particular it is a "linear" IRD and one of the most liquid, benchmark products. It has associations wit ...
s based on short Libor rates currently trade on the
interbank market The interbank market is the top-level foreign exchange market where banks exchange different currencies. The banks can either deal with one another directly, or through electronic brokering platforms. The Electronic Broking Services (EBS) and Thom ...
for maturities up to 50 years. In the swap market a "five-year Libor" rate refers to the five-year swap rate where the floating leg of the swap references three- or six-month Libor (this can be expressed more precisely as for example "5-year rate vs 6-month Libor"). "Libor +
basis point A basis point (often abbreviated as bp, often pronounced as "bip" or "beep") is one hundredth of 1 percentage point. The related term '' permyriad'' means one hundredth of 1 percent. Changes of interest rates are often stated in basis points. If ...
s", when talking about a bond, means that the bond's cash flows have to be discounted on the swaps' zero-coupon
yield curve In finance, the yield curve is a graph which depicts how the yields on debt instruments - such as bonds - vary as a function of their years remaining to maturity. Typically, the graph's horizontal or x-axis is a time line of months or ye ...
shifted by basis points to equal the bond's actual market price. The
day count convention In finance, a day count convention determines how interest accrues over time for a variety of investments, including bonds, notes, loans, mortgages, medium-term notes, swaps, and forward rate agreements (FRAs). This determines the number of days ...
for Libor rates in interest rate swaps is Actual/360, except for the GBP currency for which it is Actual/365 (fixed).


Reliability and scandal

On Thursday, 29 May 2008, ''
The Wall Street Journal ''The Wall Street Journal'' is an American business-focused, international daily newspaper based in New York City, with international editions also available in Chinese and Japanese. The ''Journal'', along with its Asian editions, is published ...
'' (WSJ) released a controversial study suggesting that banks might have understated borrowing costs they reported for Libor during the 2008 credit crunch. Such under-reporting could have created an impression that banks could borrow from other banks more cheaply than they could in reality. It could also have made the banking system or specific contributing bank appear healthier than it was during the 2008 credit crunch. For example, the study found that rates at which one major bank (Citigroup) "said it could borrow dollars for three months were about 0.87 percentage point lower than the rate calculated using default-insurance data." In September 2008, a former member of the
Bank of England The Bank of England is the central bank of the United Kingdom and the model on which most modern central banks have been based. Established in 1694 to act as the English Government's banker, and still one of the bankers for the Government of ...
's
Monetary Policy Committee Monetary Policy Committee (MPC) may refer to: * Monetary Policy Committee (India) The Monetary Policy Committee is responsible for fixing the benchmark interest rate in India. The meetings of the Monetary Policy Committee are held at least fo ...
,
Willem Buiter Willem Hendrik Buiter CBE (born 26 September 1949) is an American-British economist. He spent most of his career as an academic, teaching at various universities. More recently, he was Chief Economist at Citigroup. Early life and education Bu ...
, described Libor as "the rate at which banks don't lend to each other", and called for its replacement. The former
Governor of the Bank of England The governor of the Bank of England is the most senior position in the Bank of England. It is nominally a civil service post, but the appointment tends to be from within the bank, with the incumbent grooming their successor. The governor of the Ba ...
, Mervyn King, later used the same description before the
Treasury Select Committee The House of Commons Treasury Committee (often referred to as the Treasury Select Committee) is a select committee of the House of Commons in the Parliament of the United Kingdom. The remit of the committee is to examine the expenditure, administr ...
. To further bring this case to light, ''The Wall Street Journal'' reported in March 2011 that regulators were focusing on Bank of America Corp., Citigroup Inc. and UBS AG. Making a case would be very difficult because determining the Libor rate does not occur on an open exchange. According to people familiar with the situation, subpoenas were issued to the three banks. In response to the study released by the WSJ, the British Bankers' Association announced that Libor continues to be reliable even in times of financial crisis. According to the British Bankers' Association, other proxies for financial health, such as the default-credit-insurance market, are not necessarily more sound than Libor at times of financial crisis, though they are more widely used in Latin America, especially the Ecuadorian and Bolivian markets. Additionally, some other authorities contradicted the Wall Street Journal article. In its March 2008 Quarterly Review, The
Bank for International Settlements The Bank for International Settlements (BIS) is an international financial institution owned by central banks that "fosters international monetary and financial cooperation and serves as a bank for central banks". The BIS carries out its work thr ...
has stated that "available data do not support the hypothesis that contributor banks manipulated their quotes to profit from positions based on fixings." Further, in October 2008 the
International Monetary Fund The International Monetary Fund (IMF) is a major financial agency of the United Nations, and an international financial institution, headquartered in Washington, D.C., consisting of 190 countries. Its stated mission is "working to foster globa ...
published its regular ''Global Financial Stability Review'', which also found that "Although the integrity of the U.S. dollar Libor-fixing process has been questioned by some market participants and the financial press, it appears that U.S. dollar Libor remains an accurate measure of a typical creditworthy bank's marginal cost of unsecured U.S. dollar term funding." On 27 July 2012, the ''
Financial Times The ''Financial Times'' (''FT'') is a British daily newspaper printed in broadsheet and published digitally that focuses on business and economic current affairs. Based in London, England, the paper is owned by a Japanese holding company, Nik ...
'' published an article by a former trader that stated Libor manipulation had been common since at least 1991. Further reports on this have since come from the BBC and Reuters. On 28 November 2012, the Finance Committee of the
Bundestag The Bundestag (, "Federal Diet") is the German federal parliament. It is the only federal representative body that is directly elected by the German people. It is comparable to the United States House of Representatives or the House of Commons ...
held a hearing to learn more about the issue. In late September 2012, Barclays was fined £290m because of its attempts to manipulate the Libor, and other banks are under investigation of having acted similarly. Wheatley called for the British Bankers' Association to lose its power to determine Libor and for the FSA to be able to impose criminal sanctions as well as other changes in a ten-point overhaul plan. The British Bankers' Association said on 25 September that it would transfer oversight of LIBOR to UK regulators, as proposed by
Financial Services Authority The Financial Services Authority (FSA) was a quasi-judicial body accountable for the financial regulation, regulation of the financial services industry in the United Kingdom between 2001 and 2013. It was founded as the Securities and Investmen ...
managing director
Martin Wheatley Martin Wheatley is a British financier, formerly managing director of the Consumer and Markets Business Unit of the Financial Services Authority in the UK, and is the former CEO of the Financial Conduct Authority. In London Wheatley worked for t ...
and CEO-designate of the new
Financial Conduct Authority The Financial Conduct Authority (FCA) is a financial regulation, financial regulatory body in the United Kingdom, but operates independently of the UK Government, and is financed by charging fees to members of the financial services industry. The ...
. On 28 September, Wheatley's independent review was published, recommending that an independent organisation with government and regulator representation, called the Tender Committee, manage the process of setting LIBOR under a new external oversight process for transparency and accountability. Banks that make submissions to LIBOR would be required to base them on actual inter-bank deposit market transactions and keep records of their transactions supporting those submissions. The review also recommended that individual banks' LIBOR submissions be published, but only after three months, to reduce the risk that they would be used as a measure of the submitting banks' creditworthiness. The review left open the possibility that regulators might compel additional banks to participate in submissions if an insufficient number do voluntarily. The review recommended criminal sanctions specifically for manipulation of benchmark interest rates such as the LIBOR, saying that existing criminal regulations for manipulation of financial instruments were inadequate.Alexis Levine and Michael Harquail (5 October 2012
"Wheatley Review May Mean Big Changes for LIBOR"
''Blakes Business'' (Blake, Cassels & Graydon LLP)
LIBOR rates may be higher and more volatile after implementation of these reforms, so financial institution customers may experience higher and more volatile borrowing and hedging costs.Karen Brettell (28 September 2012
"Libor reform may add volatility, increase some funding costs"
Reuters
The UK government agreed to accept all of the Wheatley Review's recommendations and press for legislation implementing them.
Bloomberg LP Bloomberg L.P. is a privately held financial, software, data, and media company headquartered in Midtown Manhattan, New York City. It was co-founded by Michael Bloomberg in 1981, with Thomas Secunda, Duncan MacMillan, Charles Zegar, and a 1 ...
CEO Dan Doctoroff told the
European Parliament The European Parliament (EP) is one of the legislative bodies of the European Union and one of its seven institutions. Together with the Council of the European Union (known as the Council and informally as the Council of Ministers), it adopts ...
that
Bloomberg LP Bloomberg L.P. is a privately held financial, software, data, and media company headquartered in Midtown Manhattan, New York City. It was co-founded by Michael Bloomberg in 1981, with Thomas Secunda, Duncan MacMillan, Charles Zegar, and a 1 ...
could develop an alternative index called the Bloomberg Interbank Offered Rate that would use data from transactions such as market-based quotes for
credit default swap A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the debtor) or other credit event. That is, the seller of the CDS insures the buyer against som ...
transactions and corporate bonds.


Criminal investigations

On 28 February 2012, it was revealed that the
US Department of Justice The United States Department of Justice (DOJ), also known as the Justice Department, is a federal executive department of the United States government tasked with the enforcement of federal law and administration of justice in the United Stat ...
was conducting a criminal investigation into Libor abuse. Among the abuses being investigated were the possibility that traders were in direct communication with bankers before the rates were set, thus allowing them an advantage in predicting that day's fixing. Libor underpins approximately $350 trillion in
derivative In mathematics, the derivative of a function of a real variable measures the sensitivity to change of the function value (output value) with respect to a change in its argument (input value). Derivatives are a fundamental tool of calculus. F ...
s. One trader's messages indicated that for each basis point (0.01%) that Libor was moved, those involved could net "about a couple of million dollars". On 27 June 2012,
Barclays Bank Barclays () is a British multinational universal bank, headquartered in London, England. Barclays operates as two divisions, Barclays UK and Barclays International, supported by a service company, Barclays Execution Services. Barclays traces ...
was fined $200m by the Commodity Futures Trading Commission, $160m by the
United States Department of Justice The United States Department of Justice (DOJ), also known as the Justice Department, is a federal executive department of the United States government tasked with the enforcement of federal law and administration of justice in the United State ...
and £59.5m by the
Financial Services Authority The Financial Services Authority (FSA) was a quasi-judicial body accountable for the financial regulation, regulation of the financial services industry in the United Kingdom between 2001 and 2013. It was founded as the Securities and Investmen ...
for attempted manipulation of the Libor and Euribor rates. The United States Department of Justice and Barclays officially agreed that "the manipulation of the submissions affected the fixed rates on some occasions". On 2 July 2012,
Marcus Agius Marcus Ambrose Paul Agius (; born 22 July 1946) is a British financier and former group chairman of Barclays. Early life and education Marcus Agius was born on 22 July 1946, the son of Ena Eleanora (née Hueffer) and Lieutenant Colonel Alfre ...
, chairman of Barclays, resigned from the position following the interest rate rigging scandal. Bob Diamond, the chief executive officer of Barclays, resigned on 3 July 2012. Marcus Agius was to fill his post until a replacement is found. Jerry del Missier, chief operating officer of Barclays, also resigned. Del Missier subsequently admitted that he had instructed his subordinates to submit falsified LIBORs to the British Bankers Association. By 4 July 2012, the breadth of the scandal was evident and became the topic of analysis on news and financial programs that attempted to explain the importance of the scandal. On 6 July, it was announced that the UK Serious Fraud Office had also opened a criminal investigation into the attempted manipulation of interest rates. On 4 October 2012, Republican US Senators
Chuck Grassley Charles Ernest Grassley (born September 17, 1933) is an American politician serving as the president pro tempore emeritus of the United States Senate, and the senior United States senator from Iowa, having held the seat since 1981. In 2022, h ...
and
Mark Kirk Mark Steven Kirk (born September 15, 1959) is a retired American politician and attorney who served as a United States senator from Illinois from 2010 to 2017, and as the United States representative for Illinois's 10th congressional district fr ...
announced that they were investigating
Treasury Secretary The United States secretary of the treasury is the head of the United States Department of the Treasury, and is the chief financial officer of the federal government of the United States. The secretary of the treasury serves as the principal a ...
Timothy Geithner Timothy Franz Geithner (; born August 18, 1961) is a former American central banker who served as the 75th United States Secretary of the Treasury under President Barack Obama from 2009 to 2013. He was the President of the Federal Reserve Bank o ...
for complicity with the rate manipulation scandal. They accused Geithner of knowledge of the rate-fixing, and inaction which contributed to litigation that "threatens to clog our courts with multi-billion dollar class action lawsuits" alleging that the manipulated rates harmed state, municipal and local governments. The senators said that an American-based interest rate index is a better alternative which they would take steps towards creating.


Aftermath

Early estimates are that the rate manipulation scandal cost US states, counties, and local governments at least $6 billion in fraudulent interest payments, above $4 billion that state and local governments have already had to spend to unwind their positions exposed to rate manipulation.


Reforms

The administration of Libor has itself become a regulated activity overseen by the UK's
Financial Conduct Authority The Financial Conduct Authority (FCA) is a financial regulation, financial regulatory body in the United Kingdom, but operates independently of the UK Government, and is financed by charging fees to members of the financial services industry. The ...
. Furthermore, knowingly or deliberately making false or misleading statements in relation to benchmark-setting was made a criminal offence in UK law under the
Financial Services Act 2012 The Financial Services Act 2012 is an Act of the Parliament of the United Kingdom which implements a new regulatory framework for the financial system and financial services in the UK. It replaces the Financial Services Authority with two new re ...
. The Danish, Swedish, Canadian, Australian and New Zealand Libor rates have been terminated. From the end of July 2013, only five currencies and seven maturities will be quoted every day (35 rates), reduced from 150 different Libor rates – 15 maturities for each of ten currencies, making it more likely that the rates submitted are underpinned by real trades. Since the beginning of July 2013, each individual submission that comes in from the banks is embargoed for three months to reduce the motivation to submit a false rate to portray a flattering picture of creditworthiness. A new code of conduct, introduced by a new interim oversight committee, builds on this by outlining the systems and controls firms need to have in place around Libor. For example, each bank must now have a named person responsible for Libor, accountable if there is any wrongdoing. The banks must keep records so that they can be audited by the regulators if necessary. In early 2014,
NYSE Euronext NYSE Euronext, Inc. was a transatlantic multinational financial services corporation that operated multiple securities exchanges, including the New York Stock Exchange, Euronext and NYSE Arca (formerly known as ArcaEx). NYSE merged with Archi ...
took over the administration of Libor from the
British Bankers Association The British Bankers' Association (BBA) was a trade association for the UK banking and financial services sector. From 1 July 2017, it was merged into UK Finance. It represented members from a wide range of banking and financial services. The ass ...
. The new administrator was NYSE Euronext Rates Administration Limited, a London-based, UK registered company, regulated by the UK's
Financial Conduct Authority The Financial Conduct Authority (FCA) is a financial regulation, financial regulatory body in the United Kingdom, but operates independently of the UK Government, and is financed by charging fees to members of the financial services industry. The ...
. On 13 November 2013, the Intercontinental Exchange (ICE) Group announced the successful completion of its acquisition of NYSE Euronext. As a result of this acquisition, NYSE Euronext Rate Administration Limited was renamed ICE Benchmark Administration Limited. The appointment of a new administrator is a major step forward in the reform of LIBOR.ICE Benchmark Administration Ltd take responsibility for administrating LIBOR
,
The scandal also led to the
European Commission The European Commission (EC) is the executive of the European Union (EU). It operates as a cabinet government, with 27 members of the Commission (informally known as "Commissioners") headed by a President. It includes an administrative body o ...
proposal of EU-wide benchmark regulation that may affect Libor as well.


LIBOR cessation and alternatives available

Due to multiple factors, including the Libor scandal, concerns about the rates' accuracy, and changes in how banks do business, the decision was made to phase out Libor. Most LIBOR settings will stop being issued or become unrepresentative at the end of 2021, while certain U.S. dollar settings will continue to be provided until the end of June 2023. The
Financial Conduct Authority The Financial Conduct Authority (FCA) is a financial regulation, financial regulatory body in the United Kingdom, but operates independently of the UK Government, and is financed by charging fees to members of the financial services industry. The ...
may continue to publish certain synthetic rates after these dates for loans that cannot easily be transitioned. According to a March 2021 estimate, major banks will spend more than US$100 million transitioning away from LIBOR. From January 2022, the lending rate cannot be used as the reference rate in any new derivatives contracts, loans and credit card offers. A variety of replacements for LIBOR have been offered. In some cases, banks allow their customers to choose which rate to track.


Alternatives for the USD LIBOR


Alternative Reference Rates Committee

In 2014 the
U.S. Federal Reserve Board The Board of Governors of the Federal Reserve System, commonly known as the Federal Reserve Board, is the main governing body of the Federal Reserve System. It is charged with overseeing the Federal Reserve Banks and with helping implement the mo ...
and the Federal Reserve Bank of New York announced the creation of the Alternative Rates Reference Committee (ARRC) to assess viable alternatives to the LIBOR. In 2016 the ARRC released its first report on the possible indices that could serve as a replacement to the LIBOR. On March 7, 2018 the ARRC announced that the committee had been reconstituted and the following groups were participating. The ARRC will comprise the following institutions: * AXA *
Bank of America The Bank of America Corporation (often abbreviated BofA or BoA) is an American multinational investment bank and financial services holding company headquartered at the Bank of America Corporate Center in Charlotte, North Carolina. The bank ...
*
BlackRock BlackRock, Inc. is an American multi-national investment company based in New York City. Founded in 1988, initially as a risk management and fixed income institutional asset manager, BlackRock is the world's largest asset manager, with trill ...
*
Citigroup Citigroup Inc. or Citi (Style (visual arts), stylized as citi) is an American multinational investment banking, investment bank and financial services corporation headquartered in New York City. The company was formed by the merger of banking ...
* CME Group *
Deutsche Bank Deutsche Bank AG (), sometimes referred to simply as Deutsche, is a German multinational investment bank and financial services company headquartered in Frankfurt, Germany, and dual-listed on the Frankfurt Stock Exchange and the New York Sto ...
*
Federal National Mortgage Association The Federal National Mortgage Association (FNMA), commonly known as Fannie Mae, is a United States government-sponsored enterprise (GSE) and, since 1968, a publicly traded company. Founded in 1938 during the Great Depression as part of the Ne ...
*
Federal Home Loan Mortgage Corporation The Federal Home Loan Mortgage Corporation (FHLMC), commonly known as Freddie Mac, is a publicly traded, government-sponsored enterprise (GSE), headquartered in Tysons Corner, Virginia.GE Capital GE Capital is the financial services division of General Electric. The company currently only runs one division, GE Energy Financial Services. It had provided additional services in the past; however, those units were sold between 2013 and 2018. ...
*
Goldman Sachs Goldman Sachs () is an American multinational investment bank and financial services company. Founded in 1869, Goldman Sachs is headquartered at 200 West Street in Lower Manhattan, with regional headquarters in London, Warsaw, Bangalore, H ...
*
Government Finance Officers Association The Government Finance Officers Association (or GFOA) is a professional association of approximately 19,000 state, provincial, and local government finance officers in the United States and Canada. GFOA is headquartered in downtown Chicago. Name ...
* HSBC *
Intercontinental Exchange Intercontinental Exchange, Inc. (ICE) is an American company formed in 2000 that operates global financial exchanges and clearing houses and provides mortgage technology, data and listing services. Listed on the Fortune 500, S&P 500, and Russe ...
*
International Swaps and Derivatives Association International is an adjective (also used as a noun) meaning "between nations". International may also refer to: Music Albums * ''International'' (Kevin Michael album), 2011 * ''International'' (New Order album), 2002 * ''International'' (The T ...
* JP Morgan Chase & Co. * LCH Clearnet * MetLife *
Morgan Stanley Morgan Stanley is an American multinational investment management and financial services company headquartered at 1585 Broadway in Midtown Manhattan, New York City. With offices in more than 41 countries and more than 75,000 employees, the fir ...
*
National Association of Corporate Treasurers National may refer to: Common uses * Nation or country ** Nationality – a ''national'' is a person who is subject to a nation, regardless of whether the person has full rights as a citizen Places in the United States * National, Maryland, ce ...
*
Pacific Investment Management Company PIMCO (Pacific Investment Management Company, LLC) is an American investment management firm focusing on active fixed income management worldwide. PIMCO manages investments in many asset classes such as fixed income, equities, commodities, as ...
*
TD Bank Toronto-Dominion Bank (french: links=no, Banque Toronto-Dominion), doing business as TD Bank Group (french: links=no, Groupe Banque TD), is a Canadian multinational banking and financial services corporation headquartered in Toronto, Ontario. ...
* The
Federal Home Loan Bank The Federal Home Loan Banks (FHLBanks, or FHLBank System) are 11 U.S. government-sponsored banks that provide liquidity to the members of financial institutions to support housing finance and community investment. Overview The FHLBank System was ...
of New York * The
Independent Community Bankers of America The Independent Community Bankers of America (ICBA) is the primary trade group for small U.S. banks. It represents approximately 5,000 small and mid-sized financial institutions that are commonly known as "community banks." The ICBA hosts conventio ...
* The
Loan Syndications and Trading Association The Loan Syndications and Trading Association (the "LSTA") is a financial services trade group which exists to enhance the development and running of the North American syndicated loan market. Background and history The advent of private equi ...
* The
Securities Industry and Financial Markets Association The Securities Industry and Financial Markets Association (SIFMA) is a United States industry trade group representing securities firms, banks, and asset management companies. SIFMA was formed on November 1, 2006, from the merger of the Bond M ...
*
Wells Fargo Wells Fargo & Company is an American multinational financial services company with corporate headquarters in San Francisco, California; operational headquarters in Manhattan; and managerial offices throughout the United States and intern ...
*
World Bank Group The World Bank Group (WBG) is a family of five international organizations that make leveraged loans to developing countries. It is the largest and best-known development bank in the world and an observer at the United Nations Development Gr ...
In addition, the following agencies will serve as ex officio members of the ARRC: *
Board of Governors of the Federal Reserve System The Board of Governors of the Federal Reserve System, commonly known as the Federal Reserve Board, is the main governing body of the Federal Reserve System. It is charged with overseeing the Federal Reserve Banks and with helping implement the mo ...
*
Consumer Financial Protection Bureau The Consumer Financial Protection Bureau (CFPB) is an agency of the United States government responsible for consumer protection in the financial sector. CFPB's jurisdiction includes banks, credit unions, securities firms, payday lenders, mortg ...
*
Federal Deposit Insurance Corporation The Federal Deposit Insurance Corporation (FDIC) is one of two agencies that supply deposit insurance to depositors in American depository institutions, the other being the National Credit Union Administration, which regulates and insures cr ...
*
Federal Housing Finance Agency The Federal Housing Finance Agency (FHFA) is an independent federal agency in the United States created as the successor regulatory agency of the Federal Housing Finance Board (FHFB), the Office of Federal Housing Enterprise Oversight (OFHEO), ...
* Federal Reserve Bank of New York *
Office of Financial Research The Office of Financial Research (OFR) is an independent bureau within the United States Department of the Treasury that was established by the Dodd–Frank Wall Street Reform and Consumer Protection Act, whose passage in 2010 was a legislative ...
*
Office of the Comptroller of the Currency The Office of the Comptroller of the Currency (OCC) is an independent bureau within the United States Department of the Treasury that was established by the National Currency Act of 1863 and serves to charter, regulate, and supervise all natio ...
*
U.S. Commodity Futures Trading Commission The Commodity Futures Trading Commission (CFTC) is an independent agency of the US government created in 1974 that regulates the U.S. derivatives markets, which includes futures, swaps, and certain kinds of options. The Commodity Exchange Act ...
*
U.S. Securities and Exchange Commission The U.S. Securities and Exchange Commission (SEC) is an independent agency of the United States federal government, created in the aftermath of the Wall Street Crash of 1929. The primary purpose of the SEC is to enforce the law against market ...
*
U.S. Treasury Department The Department of the Treasury (USDT) is the national treasury and finance department of the federal government of the United States, where it serves as an executive department. The department oversees the Bureau of Engraving and Printing and ...


Secured Overnight Financing Rate

In June 2017, the ARRC announced a broad Treasury repo financing rate,
SOFR Secured Overnight Financing Rate (SOFR) is a secured interbank overnight interest rate. SOFR is a reference rate (that is, a rate used by parties in commercial contracts that is outside their direct control) established as an alternative to LIBOR. ...
, as its recommended alternative to the USD LIBOR. In its justification for this choice the ARRC said:


Ameribor

Ameribor is a benchmark interest rate created by the American Financial Exchange. Ameribor reflects the actual borrowing costs of thousands of small, medium and regional banks across America, but it is also useful for larger banks and financial institutions that do business with these banks, as well as small and middle market companies. Ameribor has traded more than $550 billion since inception in 2015. In addition, the AFX launched Ameribor futures on August 16, 2019.


U.S. Dollar ICE Bank Yield Index

The
U.S. Dollar ICE Bank Yield Index The U.S. Dollar ICE Bank Yield Index is an index proposed by Intercontinental Exchange Benchmark Administration (IBA) in January 2019 to measure the yields at which investors are willing to lend U.S. dollar funds to large, internationally active ban ...
is an index proposed by Intercontinental Exchange Benchmark Administration (IBA) in January 2019 to measure the yields at which investors are willing to lend U.S. dollar funds to large, internationally active banks on a wholesale, unsecured basis over one-month, three-month and six-month periods. Its usage is intended to be similar to how Libor is currently used.


Alternatives for Yen LIBOR

Tokyo Overnight Average Rate (TONAR).


See also

*
Interbank lending market The interbank lending market is a market in which banks lend funds to one another for a specified term. Most interbank loans are for maturities of one week or less, the majority being over day. Such loans are made at the interbank rate (also call ...
* Libor scandal *
Euribor The Euro Interbank Offered Rate (Euribor) is a daily reference rate, published by the European Money Markets Institute, based on the averaged interest rates at which Eurozone banks offer to lend unsecured funds to other banks in the euro whole ...
* JIBAR * LIBID *
Libor-OIS spread An overnight indexed swap (OIS) is an interest rate swap (''IRS'') over some given term, e.g. 10Y, where the periodic fixed payments are tied to a given fixed rate while the periodic floating payments are tied to a floating rate calculated from a ...
* SHIBOR *
SONIA Sonia, Sonja or Sonya, a name of Greek origin meaning wisdom, may refer to: People * Sonia (name), a feminine given name (lists people named, Sonia, Sonja and Sonya) :* Sonia (actress), Indian film actress in Malayalam and Tamil films :* Sonia ...
*
SOFR Secured Overnight Financing Rate (SOFR) is a secured interbank overnight interest rate. SOFR is a reference rate (that is, a rate used by parties in commercial contracts that is outside their direct control) established as an alternative to LIBOR. ...
*
Ted spread The TED spread is the difference between the interest rates on interbank loans and on short-term U.S. government debt ("T-bills"). TED is an acronym formed from ''T-Bill'' and ''ED'', the ticker symbol for the Eurodollar futures contract. Init ...
*
TIBOR Tibor is a masculine given name found throughout Europe. There are several explanations for the origin of the name: * from Latin name Tiberius, which means "from Tiber", Tiber being a river in Rome. * in old Slavic languages, Tibor means "sacred pl ...
*
SIBOR SIBOR stands for Singapore Interbank Offered Rate
''Financial Times'' 25 July 2012 and is a daily reference r ...
*
HIBOR Hong Kong Inter-bank Offered Rate, (or HIBOR, Chinese: 香港銀行同業拆息), is the annualized rate charged for inter-bank lending on Hong Kong Dollar (HKD) denominated instruments, for a specified period ranging from overnight to one year. ...
*
LIBOR market model The LIBOR market model, also known as the BGM Model (Brace Gatarek Musiela Model, in reference to the names of some of the inventors) is a financial model of interest rates. It is used for pricing interest rate derivatives, especially exotic deriva ...


Further reading

* Carrick Mollenkamp and Mark Whitehouse, "Study Casts Doubt on Key Rate: WSJ Analysis Suggests Banks May Have Reported Flawed Interest Data for Libor", ''
The Wall Street Journal ''The Wall Street Journal'' is an American business-focused, international daily newspaper based in New York City, with international editions also available in Chinese and Japanese. The ''Journal'', along with its Asian editions, is published ...
'', Thursday, 29 May 2008, p. 1. * Donald MacKenzie
"What's in a Number?"
''
London Review of Books The ''London Review of Books'' (''LRB'') is a British literary magazine published twice monthly that features articles and essays on fiction and non-fiction subjects, which are usually structured as book reviews. History The ''London Review of ...
'', 25 September 2008, pp. 11–12. *
Matt Taibbi Matthew Colin Taibbi (; born March 2, 1970) is an American author, journalist, and podcaster. He has reported on finance, media, politics, and sports. A former contributing editor for ''Rolling Stone'', he is an author of several books, co-host o ...

Everything Is Rigged: The Biggest Price-Fixing Scandal Ever
Rolling Stone 25 April 2013 *


References


External links


1 year LIBOR rate at MoneyCafe.com with historical data and graphThe Wheatley Review of LIBOR: Final Report
*
Financial Times The ''Financial Times'' (''FT'') is a British daily newspaper printed in broadsheet and published digitally that focuses on business and economic current affairs. Based in London, England, the paper is owned by a Japanese holding company, Nik ...

article list
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