ICE LIBOR (formerly known as BBA LIBOR) is a benchmark rate produced for five currencies with seven maturities quoted for each - ranging from overnight to 12 months, producing 35 rates each business day.

ICE LIBOR provides an indication of the average rate at which a LIBOR contributor bank can obtain unsecured funding in the London interbank market for a given period, in a given currency. Individual ICE LIBOR rates are the end-product of a calculation based upon submissions from LIBOR contributor banks.

ICE Benchmark Administration maintains a reference panel of between 11 and 18 contributor banks for each currency calculated. IBA currently fixes in the following five currencies:

  • CHF (Swiss Franc)
  • EUR (Euro)
  • GBP (Pound Sterling)
  • JPY (Japanese Yen)
  • USD (US Dollar)



Calculating ICE Libor

DEFINITION

  • Every contributor bank is asked to base their ICE LIBOR submissions on the following 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 London time?”
  • Therefore, submissions are based upon the lowest perceived rate at which a bank could go into the London interbank money market and obtain funding in reasonable market size, for a given maturity and currency
  • “Reasonable market size” is intentionally unquantified: it would have to be constantly monitored and in the current conditions would have to be changed very frequently. It would also vary between currencies and maturities, leading to a considerable amount of confusion
  • All ICE LIBOR rates are quoted as an annualised interest rate. This is a market convention. For example, if an overnight Pound Sterling rate from a contributor bank is given as 2.00000%, this does not indicate that a contributing bank would expect to pay 2% interest on the value of an overnight loan. Instead, it means that it would expect to pay 2% divided by 365

CALCULATING ICE LIBOR

  • Every ICE LIBOR rate is calculated using a trimmed arithmetic mean. Once each submission is received, they are ranked in descending order and then the highest and lowest 25% of submissions are excluded. This trimming of the top and bottom quartiles allows for the exclusion of outliers from the final calculation
  • Details are shown in the table below. The remaining contributions are then arithmetically averaged and the result is rounded to five decimal places to create an ICE LIBOR rate. This is repeated for every currency and maturity, producing 35 rates every business day

NUMBER OF CONTRIBUTORSMETHODOLOGYNUMBER OF CONTRIBUTOR RATES AVERAGED
18 ContributorsTop 4 highest rates, tail 4 lowest rates10
17 ContributorsTop 4 highest rates, tail 4 lowest rates9
16 ContributorsTop 4 highest rates, tail 4 lowest rates8
15 ContributorsTop 4 highest rates, tail 4 lowest rates7
14 ContributorsTop 3 highest rates, tail 3 lowest rates8
13 ContributorsTop 3 highest rates, tail 3 lowest rates7
12 ContributorsTop 3 highest rates, tail 3 lowest rates6
11 ContributorsTop 3 highest rates, tail 3 lowest rates5

WHAT IS ICE LIBOR USED FOR?

  • ICE LIBOR is the primary benchmark for short term interest rates globally. It is written into standard derivative and loan documentation, such as the ISDA terms, and is used for an increasing range of retail products such as mortgages and student loans
  • It is also used as a barometer to measure the health of the banking system and as a gauge of market expectation for future central bank interest rates. It is the basis for settlement of interest rate contracts on many of the world's major futures and options exchanges


Panel Composition

BANK/CCYUSDGBPEURCHFJPY
Lloyds TSB Bank plc
Bank of Tokyo-Mitsubishi UFJ Ltd
Barclays Bank plc
Mizuho Bank, Ltd.
Citibank N.A. (London Branch)
Cooperatieve Rabobank U.A.
Credit Suisse AG (London Branch)
Royal Bank of Canada
HSBC Bank plc
Santander UK Plc
Bank of America N.A. (London Branch)
BNP Paribas SA, London Branch
Crédit Agricole Corporate & Investment Bank
Deutsche Bank AG (London Branch)
JPMorgan Chase Bank, N.A. London Branch
Société Générale (London Branch)
Sumitomo Mitsui Banking Corporation Europe Limited
The Norinchukin Bank
The Royal Bank of Scotland plc
UBS AG


Governance & Oversight

The principal committee of the IBA is the Oversight Committee which oversees the industry-led Code of Conduct. The Oversight Committee is comprised of benchmark submitters, benchmark users, Independent Non-Executive Directors and other relevant experts, working together to return credibility to LIBOR and ensure its continued relevance. IBA has developed a Conflicts of Interest Policy to apply specifically to IBA’s regulated activities. IBA will consult publicly from time to time on proposed changes in relation to ICE LIBOR.

Oversight Committee Meeting Minutes

Non-Publication Days

ICE LIBOR is not published on certain days. The following tables set out the relevant holidays for the different currencies & tenors. Specific days for each year are available on the Holiday Calendars page.

PUBLIC HOLIDAYMATURITIES AFFECTED
New Year's Day (1st January)All currencies and tenors
Good FridayAll currencies and tenors
Easter MondayAll currencies and tenors
Early May Bank HolidayAll currencies and tenors
Spring Bank HolidayAll currencies and tenors
Summer Bank HolidayAll currencies and tenors
Christmas DayAll currencies and tenors
Boxing Day (26th December)All currencies and tenors

In addition, there is no LIBOR fixing in some currencies and tenors if the fixing date is a holiday in the major financial centre for the respective currency.


EURO

PUBLIC HOLIDAYMATURITIES AFFECTED
Labour Day (1st May)*Overnight Only

*This holiday only impacts LIBOR if the holiday falls on a weekday.


U.S. Dollar

PUBLIC HOLIDAYMATURITIES AFFECTED
Martin L King's BirthdayOvernight Only
President's DayOvernight Only
Independence Day (4th July)*Overnight Only
Labour DayOvernight Only
Columbus DayOvernight Only
Veteran's DayOvernight Only
Thanksgiving DayOvernight Only

*This holiday only impacts LIBOR if the holiday falls on a weekday.
JPY and CHF fixings are not affected by local holidays.


Embargo Policy