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 17 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)
- Position Paper on the Evolution of ICE LIBOR - 20 October 2014
- Usage of ICE LIBOR Questionnaire
- ICE LIBOR Frequently Asked Questions
- ICE LIBOR Error Policy
- ICE LIBOR Error Policy Consultation - September 2014
- ICE LIBOR Feedback Statement on Error Policy Consultation
- Feedback Statement on the Evolution of ICE LIBOR - 1 May 2015
- Feedback Statement on the Evolution of ICE LIBOR - 14 Dec 2015
- ICE LIBOR Second Position Paper
- ICE LIBOR Second Position Paper Questions
- ICE Libor Reduced Submissions Policy
- ICE LIBOR Roadmap - 18 March 2016
- ICE LIBOR CODE OF CONDUCT - CONSULTATION NOTICE - 29 JUN 2016
- ICE LIBOR CODE OF CONDUCT – CONTRIBUTING BANKS - 29 JUN 2016
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 and the result is rounded to five decimal places to create an ICE LIBOR rate. This is repeated for every currency and maturity, producing 35 rates every business day
- The methodology is reviewed by the ICE LIBOR Oversight Committee as documented in its Terms of Reference. The frequency of reviews is set by the Oversight Committee through its Calendar of Agenda Items.
NUMBER OF CONTRIBUTORS | METHODOLOGY | NUMBER OF CONTRIBUTOR RATES AVERAGED |
17 Contributors | Top 4 highest rates, tail 4 lowest rates | 9 |
16 Contributors | Top 4 highest rates, tail 4 lowest rates | 8 |
15 Contributors | Top 4 highest rates, tail 4 lowest rates | 7 |
14 Contributors | Top 3 highest rates, tail 3 lowest rates | 8 |
13 Contributors | Top 3 highest rates, tail 3 lowest rates | 7 |
12 Contributors | Top 3 highest rates, tail 3 lowest rates | 6 |
11 Contributors | Top 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
BANK/CCY | USD | GBP | EUR | CHF | JPY |
Lloyds TSB Bank plc | |||||
Bank of Tokyo-Mitsubishi UFJ Ltd | |||||
Barclays Bank plc | |||||
Mizuho Bank, Ltd. | |||||
Citibank N.A. (London Branch) | |||||
Cooperatieve Rabobank U.A. | |||||
Credit Suisse AG (London Branch) | |||||
Royal Bank of Canada | |||||
HSBC Bank plc | |||||
Santander UK Plc | |||||
Bank of America N.A. (London Branch) | |||||
BNP Paribas SA, London Branch | |||||
Crédit Agricole Corporate & Investment Bank | |||||
Deutsche Bank AG (London Branch) | |||||
JPMorgan Chase Bank, N.A. London Branch | |||||
Société Générale (London Branch) | |||||
Sumitomo Mitsui Banking Corporation Europe Limited | |||||
The Norinchukin Bank | |||||
The Royal Bank of Scotland plc | |||||
UBS AG |
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.
Name | Company | Committee Position |
Mary Miller (Chairperson) | IBA INED | Non-Executive Director |
David Bowman | Federal Reserve System | Observer |
Steve Bullock | Lloyds Bank | Benchmark Submitter |
David Clark | WMBA | Association Representative |
Clare Dawson | LMA | Association Representative |
Galina Dimitrova | The Investment Association | Association Representative |
John Grout | Independent Expert | |
George Handjinicolaou | Piraeus Bank | Financial Intermediary |
John Harding | ICE | Market Infrastructure Provider |
Brad Hurrell | Barclays | Benchmark Submitter |
Finbarr Hutcheson | IBA President | Ex Officio |
Matthias JÜttner | Swiss National Bank | Observer |
Richard Kennedy | UBS | Benchmark Submitter |
Rod Paris | IBA INED | Non-Executive Director |
Will Parry | Bank of England | Observer |
Frederick Sturm | CME Group | Market Infrastructure Provider |
Robert Thurlow | Mizuho Corporate Bank | Benchmark Submitter |
Emma Vick | IBA | Administrator |
Oversight Committee Meeting Minutes
- Oversight Committee Meeting 14 January 2016
- Oversight Committee Meeting 26 January 2016
- Oversight Committee Meeting 8 February 2016
- Oversight Committee Meeting 17 February 2016
- Oversight Committee Meeting 6 April 2016
- Oversight Committee Meeting 19 May 2016
- Oversight Committee Meeting 5 July 2016
- Oversight Committee Meeting 27 July 2016
- Oversight Committee Meeting 20 September 2016
Non-Publication Days
ICE LIBOR is not published on certain days. The following tables set out the relevant holidays for the different currencies & tenors. Specific days for each year are available on the Holiday Calendars page.
PUBLIC HOLIDAY | MATURITIES AFFECTED |
New Year's Day (1st January) | All currencies and tenors |
Good Friday | All currencies and tenors |
Easter Monday | All currencies and tenors |
Early May Bank Holiday | All currencies and tenors |
Spring Bank Holiday | All currencies and tenors |
Summer Bank Holiday | All currencies and tenors |
Christmas Day | All 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 HOLIDAY | MATURITIES AFFECTED |
Labour Day (1st May)* | Overnight Only |
*This holiday only impacts LIBOR if the holiday falls on a weekday.
U.S. Dollar
PUBLIC HOLIDAY | MATURITIES AFFECTED |
Martin L King's Birthday | Overnight Only |
President's Day | Overnight Only |
Independence Day (4th July)* | Overnight Only |
Labour Day | Overnight Only |
Columbus Day | Overnight Only |
Veteran's Day | Overnight Only |
Thanksgiving Day | Overnight Only |
*This holiday only impacts LIBOR if the holiday falls on a weekday.
JPY and CHF fixings are not affected by local holidays.