LIBOR information from British Bankers Association Web site http://www.bankfacts.org.uk/bba/jsp/polopoly.jsp?d=103
What is LIBOR? Libor stands for the London Interbank Offered Rate and is the rate of interest at which banks borrow funds, in marketable size, in the London interbank market.
What is BBA Libor? BBA Libor is the most widely used "benchmark" or reference rate for short term interest rates. It is compiled by the BBA in conjunction with MoneylineTelerate and released to the market shortly after 11.00am London time each day.
Where is the BBA Libor standard used? BBA Libor is the primary benchmark for short term interest rates globally. It is used as the basis for settlement of interest rate contracts on many of the world's major futures and options exchanges (including LIFFE, Deutsche Term Börse, Chicago Mercantile Exchange, Chicago Board of Trade, SIMEX and TIFFE) as well as most Over the Counter (OTC) and lending transactions.
How is BBA Libor produced and published? The British Bankers' Association (BBA), advised by senior market practitioners, maintains a reference panel of at least 8 contributor banks. The aim is to produce a reference panel of banks which reflects the balance of the market - by country and by type of institution. Individual banks are selected within this guiding principle on the basis of reputation, scale of market activity and perceived expertise in the currency concerned.
The BBA surveys the panel's market activity and publishes their market quotes on- screen. The top quartile and bottom quartile market quotes are disregarded and the middle two quartiles are averaged: the resulting "spot fixing" is the BBA Libor rate. The quotes from all panel banks are published on-screen to ensure transparency.
BBA Libor is compiled each London Business day by an electronic vendor (currently MoneylineTelerate) and broadcast through contributing a number of international distribution networks including Reuters, Thomson Financial and Bloomberg.
BBA LIBOR fixings are provided in nine international currencies: Pound Sterling US Dollar Japanese Yen Swiss Franc Canadian Dollar Australian Dollar Euro Danish Kroner New Zealand Dollar
Euro BBA Libor is the successor Libor fixing for the euro-in zone currency Libors, which ceased to be fixed at the beginning of 1999. BBA Libor rates are fixed for each currency in 15 maturities up to 12 months.
Why is the BBA Libor standard important? BBA Libor is important because:
it is long established it offers the largest range of international rates it is a truly international reference rate it has a wide commercial use it enjoys wide international dissemination its mechanism is transparent of the credibility of providing a robust settlement rate of the credit quality of panel banks the banks represented on the panels are active in the cash markets
BBA Libor's London base is significant: well over 20% of all international bank lending and more than 30% of all foreign exchange transactions take place through the offices of banks in London and represents a unique snapshot of competitive funding costs. London has representation from close to 500 banks, and many other major financial institutions actively trade in the euromarkets which are based primarily in London. In addition, no reserve requirements are applied in London.
BBA Libor Conventions and Quotation basis
23/07/2002
Currency Number of Contributors Quotation basis Fixing basis AUD 8 a/360 spot CAD 12 a/360 spot CHF 12 a/360 spot DKK 8 a/360 spot EUR 16 a/360 spot GBP 16 a/365 same day JPY 16 a/360 spot NZD 8 a/360 spot USD 16 a/360 spot
BBA Libor Panels
27/06/2005
In accordance with the LIBOR Definition the British Bankers Association (BBA) has completed its review of the composition of the LIBOR Contributor Panels. These are the banks that contribute to the BBAs LIBOR rate-setting process. With effect from Monday, 04 July 2005, the composition of the US Dollar (USD) Panels will be as follows:
US DOLLAR (USD) - 16 BANKS
Bank of America Barclays Bank plc Citibank NA Credit Suisse First Boston Deutsche Bank AG HBOS HSBC JP Morgan Chase Lloyds TSB Bank Plc Rabobank Royal Bank of Canada The Bank of Tokyo-Mitsubishi Ltd The Norinchukin Bank The Royal Bank of Scotland Group UBS AG Westdeutsche Landesbank AG
Individual Contributor Panel Banks are selected by the BBAs FX and Money Markets Advisory Panel after private nomination and discussions with the LIBOR Steering Group, on the basis of reputation, scale of activity in the London market and perceived expertise in the currency concerned, and giving due consideration to credit standing.
The following are LIBOR rates for the Euro, U.S. Dollar, British pound, and Japanese yen October 3rd through Oct 13 as published by the British Bankers Association. All data can be seen at: http://www.bankfacts.org.uk/bba/jsp/polopoly.jsp?d=141&a=627
Oct.05 3-Oct 4-Oct 5-Oct 6-Oct 7-Oct 10-Oct 11-Oct 12-Oct 13-Oct EUR s/n-o/n 2.10000 2.10281 2.10625 2.11250 2.00094 1.99656 2.03750 2.09750 2.09500 1w 2.10425 2.11000 2.11125 2.11463 2.10425 2.10688 2.10500 2.10238 2.10125 2w 2.11000 2.11000 2.11250 2.11563 2.11188 2.11000 2.11000 2.10938 2.10625 1m 2.12025 2.12000 2.12225 2.12225 2.12488 2.12288 2.12163 2.12013 2.11875 2m 2.13513 2.13925 2.14100 2.14100 2.14525 2.14488 2.14625 2.14288 2.14038 3m 2.17538 2.17763 2.18100 2.18038 2.19275 2.19138 2.19150 2.18400 2.18125 4m 2.18788 2.18900 2.19100 2.19325 2.21125 2.20963 2.21625 2.20713 2.20513 5m 2.19800 2.19888 2.20088 2.20338 2.23125 2.22875 2.23613 2.22688 2.22500 6m 2.21419 2.21863 2.21925 2.22063 2.25625 2.25200 2.26000 2.25263 2.25038 7m 2.23563 2.23925 2.23913 2.24063 2.27488 2.26975 2.28100 2.27600 2.26875 8m 2.25138 2.25638 2.25700 2.26025 2.29675 2.28963 2.30100 2.29588 2.29238 9m 2.27338 2.27513 2.27625 2.28025 2.32000 2.31050 2.32500 2.31613 2.31650 10m 2.29638 2.29775 2.29638 2.30063 2.34000 2.33788 2.34725 2.33750 2.33663 11m 2.31288 2.31788 2.31488 2.32025 2.36000 2.35650 2.36725 2.36175 2.36013 12m 2.33300 2.33788 2.33488 2.34188 2.38425 2.37863 2.39000 2.38263 2.38500 USD s/n-o/n 3.85250 3.80063 3.79125 3.79000 3.78500 N/A 3.80188 3.80125 3.79750 1w 3.81125 3.81125 3.80625 3.81000 3.81125 3.81125 3.81500 3.81688 3.82125 2w 3.82250 3.82125 3.81938 3.82000 3.82250 3.82313 3.82750 3.83000 3.84750 1m 3.88000 3.89000 3.89000 3.93538 3.94000 3.94000 3.94125 3.94563 3.97000 2m 3.97500 3.98875 3.99375 4.01000 4.01063 4.01438 4.02000 4.02563 4.05000 3m 4.07688 4.09000 4.10000 4.11000 4.11500 4.12313 4.13000 4.14000 4.15000 4m 4.13788 4.15538 4.16000 4.17000 4.18000 4.18750 4.19000 4.20000 4.21063 5m 4.19688 4.22588 4.23000 4.23000 4.24000 4.24875 4.25000 4.26000 4.27125 6m 4.26688 4.29000 4.29000 4.29000 4.30000 4.30250 4.31000 4.32875 4.34188 7m 4.31038 4.33875 4.33125 4.33000 4.34500 4.34625 4.35000 4.37025 4.39000 8m 4.35213 4.38625 4.37313 4.37063 4.38563 4.38875 4.39000 4.41225 4.43400 9m 4.39625 4.43000 4.41438 4.41000 4.42625 4.43000 4.43000 4.45188 4.47625 10m 4.42788 4.46713 4.44875 4.44000 4.45875 4.46000 4.46000 4.48525 4.50588 11m 4.45650 4.49850 4.48000 4.47000 4.48938 4.49000 4.49188 4.51725 4.53725 12m 4.48438 4.53000 4.51063 4.50000 4.51875 4.52000 4.52000 4.54563 4.56750
GBP s/n-o/n 4.55000 4.40000 4.40000 4.50000 4.40000 4.40000 4.40500 4.55000 4.65000 1w 4.57500 4.54625 4.53875 4.55250 4.49875 4.57125 4.56750 4.58375 4.60375 2w 4.59000 4.57750 4.57375 4.57250 4.55375 4.57375 4.58000 4.58813 4.59188 1m 4.60250 4.59625 4.59375 4.58938 4.57625 4.57750 4.57938 4.59000 4.59000 2m 4.60250 4.59938 4.59875 4.59000 4.57438 4.57000 4.57000 4.58000 4.58000 3m 4.60063 4.59875 4.59625 4.58813 4.57125 4.56000 4.56031 4.57000 4.57313 4m 4.59000 4.59000 4.58375 4.57375 4.56125 4.54750 4.54625 4.55875 4.56500 5m 4.58000 4.58000 4.57438 4.56313 4.55000 4.53125 4.52938 4.54813 4.55625 6m 4.57125 4.57625 4.56438 4.54750 4.53500 4.51250 4.51250 4.53688 4.54688 7m 4.56313 4.56938 4.55750 4.53625 4.52500 4.49875 4.50000 4.52750 4.53688 8m 4.55688 4.56250 4.55000 4.52750 4.51500 4.48750 4.48750 4.51750 4.53125 9m 4.55000 4.56063 4.54500 4.51938 4.50625 4.47750 4.47625 4.51000 4.52625 10m 4.54750 4.55875 4.54313 4.51563 4.50125 4.46875 4.46938 4.50438 4.52125 11m 4.54500 4.55750 4.54063 4.51063 4.49875 4.46438 4.46438 4.50000 4.52063 12m 4.54500 4.55688 4.53875 4.50625 4.49500 4.45938 4.46250 4.50000 4.52000
JPY s/n-o/n 0.04000 0.04000 0.04000 0.04000 0.04000 0.04000 0.04000 0.04000 0.04000 1w 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04000 2w 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04063 0.04000 1m 0.04750 0.04625 0.04625 0.04625 0.04625 0.04625 0.04625 0.04500 0.04500 2m 0.05375 0.05313 0.05313 0.05313 0.05313 0.05313 0.05313 0.05313 0.05188 3m 0.06250 0.06438 0.06438 0.06438 0.06500 0.06375 0.06500 0.06500 0.06375 4m 0.06500 0.06688 0.06688 0.06688 0.06688 0.06688 0.06688 0.06688 0.06563 5m 0.06938 0.07063 0.07188 0.07188 0.07250 0.07125 0.07250 0.07250 0.07063 6m 0.07563 0.07750 0.07875 0.07875 0.07875 0.07813 0.07875 0.07875 0.07750 7m 0.08125 0.08313 0.08313 0.08313 0.08375 0.08250 0.08375 0.08375 0.08188 8m 0.08250 0.08375 0.08500 0.08500 0.08500 0.08375 0.08500 0.08500 0.08313 9m 0.08625 0.08875 0.09000 0.09000 0.09000 0.09000 0.08938 0.08938 0.08813 10m 0.09125 0.09125 0.09375 0.09375 0.09375 0.09375 0.09375 0.09375 0.09250 11m 0.09438 0.09313 0.09625 0.09625 0.09688 0.09688 0.09688 0.09688 0.09688 12m 0.10313 0.10250 0.10500 0.10500 0.10500 0.10625 0.10625 0.10625 0.10563