LIBOR

The LIBOR is a series of Reference rate of the Money market different currencies.

Its name was formed by the contraction of the English words London interbank offered spleen , that is to say in French: interbank rate offered to London. Historically, it is the first of the many rates IBOR.

Definition

It acts, for a currency considered and a given expiry , Fixing calculated each working day with 11:00 (London time) and published by the British Bankers' Association (BBA), of an average rate to which a sample from large banks established in London ready in white (i.e. without the loan being guaranteed by titles) at other large banks (see the article IBOR).

The sample of the selected banks is known in advance and rather stable in time. The rates the most extreme statements are isolated calculation, in order to protect the index from possible errors or a crisis of liquidity which would affect such or such bank of the sample.

Currencies concerned

The currencies for which there exists LIBOR are the following ones:

the American dollar (USD);
the Pound sterling (GBP);
the Yen (JPY);
the Swiss franc (CHF);
the Canadian dollar (CAD);
the Australian dollar (AUD);
the Danish Crown (DKK);
the New Zealand Dollar (NZD);
and finally the Euro (EURO), although LIBOR is very little used for this currency, whose index of reference is EURIBOR.

Expiries published

The Maturité S published are:

1 day ( spot-next or overnight ),
1 week,
2 weeks,
1 month,
2 months,
3 months,
and so on up to 12 months.

Economic importance

LIBOR which are used are the 1, the 2 and especially the 3 month, which is used as principal reference to the market of the swap S . Moreover, the experiment shows that the abundant data by the participating banks for the expiries higher than three months can be extremely approximate.

In addition, it should be noted that the rates published for the yen and the dollars Australian and New Zealand in fact calculated and are not noted, because of the jet lag, whereas these markets are closed for a long time in their country of origin. It is thus advisable to consider them with a certain degree of skepticism.

LIBOR 3 months Dollar is used as a basis for the one of the future most active of the world, true market directing of American interest rates in the short and medium term. Known as " contract Euro-dollar " , this contract is treated in particular on CME in Chicago, LIFFE in London and SGX in Singapore.

See too

IBOR
Euribor
Derived swap
Gone interbank

External bond

Official site of the '' British Bankers' Association ''

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