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)

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.

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

• Reported Errors

Panel Composition

• Policy on Composition of the ICE LIBOR Panels

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.

• IBA Consultation Process

Oversight Committee Meeting Minutes

• 2016
• 2015
• 2014

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.

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

*This holiday only impacts LIBOR if the holiday falls on a weekday.

U.S. Dollar

*This holiday only impacts LIBOR if the holiday falls on a weekday.
JPY and CHF fixings are not affected by local holidays.