Overview

ICE LIBOR (formerly known as BBA LIBOR) is a widely used benchmark for short-term interest rates, providing an indication of the average rates at which LIBOR panel banks could obtain wholesale, unsecured funding for set periods in particular currencies.

Used globally, LIBOR is often referenced in derivative, bond and loan documentation, and in a range of consumer lending instruments such as mortgages and student loans. It is also used as a gauge of market expectation regarding central bank interest rates, liquidity premiums in the money markets and, during periods of stress, as an indicator of the health of the banking system.

It is produced for five currencies (CHF, EUR, GBP, JPY and USD) and seven tenors (Overnight/Spot Next, 1 Week, 1 Month, 2 Months, 3 Months, 6 Months and 12 Months) based on submissions from a reference panel of between 11 and 16 banks for each currency, resulting in the publication of 35 rates every applicable London business day.

Please read IBA’s benchmark and other information notice and disclaimer here.

The Future of LIBOR

On 4 December 2018, IBA launched a survey on the use of LIBOR. The survey is open to all users of LIBOR and is designed to identify the LIBOR settings that are most widely used. The results of the survey will be used to inform IBA’s work in seeking the support of globally active banks for the publication of certain LIBOR settings after year-end 2021, when the FCA intends that it would no longer be necessary for it to sustain LIBOR through its influence or legal powers.

The primary goal of IBA’s work would be to provide those LIBOR settings to users with outstanding LIBOR-linked contracts that are impossible or impractical to modify. Any such settings would need to be compliant with relevant regulations and in particular those regarding representativeness.

IBA’s work in seeking the support of banks for the publication of certain LIBOR settings after year-end 2021 is also designed to facilitate the industry’s work towards an orderly adoption of alternative ‘risk-free‘ reference rates (RFRs) into the financial system, as called for by the FCA and the central banks. ICE supports this work and IBA has launched the ICE Term RFR Portal and published a paper showing how IBA can support the development of term structures for alternative RFRs.

Work on the possible continued publication of certain LIBOR settings is not intended as an alternative to the transition to RFRs for new business. Regardless of the results of the survey, there is no guarantee that any LIBOR settings will continue to be published after year-end 2021. Users of LIBOR should not rely on the continued publication of any LIBOR settings when developing transition or fall back plans.

Calculation & Publication

LIBOR panel banks’ submissions for each currency and tenor pair are ranked by IBA and the upper and lower quartiles are excluded to remove outliers. The relevant rate is then calculated as the trimmed arithmetic mean of the remaining submissions, rounded to five decimal places. Each LIBOR panel bank's submission carries an equal weight, subject to the trimming.

Details are shown in the table below:

If IBA receives fewer than the expected number of submissions in respect of a particular currency, the ICE LIBOR Reduced Submissions Policy will apply to those rates.

LIBOR is normally published for each currency and tenor pair at 11:55 am London time on each applicable London business day.

Panel Composition

BANK/CCY	USD	GBP	EUR	CHF	JPY
Bank of America N.A. (London Branch)
Barclays Bank plc
BNP Paribas SA (London Branch)
Citibank N.A. (London Branch)
Cooperatieve Rabobank U.A.
Crédit Agricole Corporate & Investment Bank
Credit Suisse AG (London Branch)
Deutsche Bank AG (London Branch)
HSBC Bank plc
JPMorgan Chase Bank, N.A. (London Branch)
Lloyds Bank plc
Mizuho Bank, Ltd.
MUFG Bank, Ltd
National Westminster Bank plc
Royal Bank of Canada
Santander UK Plc
Société Générale (London Branch)
Sumitomo Mitsui Banking Corporation Europe Limited
The Norinchukin Bank
UBS AG

Governance & Oversight

IBA maintains an oversight committee for LIBOR, which has responsibility for:

• Reviewing the methodology, scope and definition of the benchmark (including assessing its underlying market and usage);
• Overseeing any changes to the benchmark; and
• Overseeing and reviewing the LIBOR Code of Conduct.

The committee has broad market representation, being comprised of Panel Banks, benchmark users, market infrastructure providers, independent non-executive directors of IBA, and other relevant experts. Representatives from the Board of Governors of the Federal Reserve System, the Swiss National Bank and the Bank of England also sit on the committee as observers.

Oversight Committee Meeting Public Minutes

Publication Days

ICE LIBOR is published on each London business day for all currencies and tenors, except as described below.

There is no LIBOR publication in any currency or tenor if the date is a public holiday in London.

Where a valid publication day is a public holiday in the major financial centre of a currency, there is no publication in the Overnight tenor only, for that currency. All other tenors are published as normal. This rule concerns only the Euro and US Dollar, since Yen and Swiss Franc do not have an Overnight tenor.

The following tables set out the relevant holidays for the different currencies and tenors. Specific dates for each year are available on the Holiday Calendars page. The Holiday Calendars also list the designated Value Dates, by currency and tenor, for each benchmark date.