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 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 rates
    10
    17 ContributorsTop 4 highest rates, tail 4 lowest rates
    9
    16 ContributorsTop 4 highest rates, tail 4 lowest rates
    8
    15 ContributorsTop 4 highest rates, tail 4 lowest rates
    7
    14 ContributorsTop 3 highest rates, tail 3 lowest rates
    8
    13 ContributorsTop 3 highest rates, tail 3 lowest rates
    7
    12 ContributorsTop 3 highest rates, tail 3 lowest rates
    6
    11 ContributorsTop 3 highest rates, tail 3 lowest rates
    5

    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

    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.

    NameCompanyCommittee Position
    Mary Miller (Chairperson)IBA INEDNon-Executive Director
    David BowmanFederal Reserve SystemObserver
    David ClarkWMBA  Association Representative
    Clare DawsonLMAAssociation Representative
    David GooneICE FuturesEx Officio
    John GroutThe Association of  Corporate TreasurersAssociation Representative
    George HandjinicolaouISDAAssociation Representative
    John HardingICEMarket Infrastructure Provider
    Richard KennedyUBSBenchmark Submitter
    Brad HurrellBarclaysBenchmark Submitter
    Finbarr HutchesonIBA PresidentEx Officio
    Sébastien KraenzlinSwiss National BankObserver
    Kevin LudwickBank of Tokyo MitsubishiBenchmark Submitter
    Will ParryBank of EnglandObserver
    Michel PradaIBA INEDNon-Executive Director
    Guy SearsIMAAssociation Representative
    Frederick SturmCME GroupMarket Infrastructure Provider
    André VilleneuveIBA ChairmanNon-Executive Director
    Paul WatsonHSBCBenchmark Submitter
       

    Non-Publication Days

    On the following UK holidays, there are no LIBOR fixings for any currency and tenor.

    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