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
- 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??
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
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
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.