London Interbank Offered Rate

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EUR Libor 3 months from July 2002 to July 2012
USD Libor 3 months from July 2002 to July 2012
GBP Libor 3 months from July 2002 to July 2012
CHF Libor 3 months from July 2002 to July 2012
JPY Libor 3 months from July 2002 to July 2012
US dollar Libor 8 months from 1987 to 2005

London Interbank Offered Rate (" London Interbank Offered Rate "; abbreviation: Libor or LIBOR ) is a reference interest rate determined in London on all banking days under certain conditions , which is used, among other things, as the basis for calculating the lending rate. The responsible British national supervisory authority, the Financial Conduct Authority (FCA) , announced in July 2017 that it would replace LIBOR with another reference interest rate at the end of 2021, as LIBOR is suffering from considerable weaknesses; There is no functioning market for certain unsecured interbank loans, so that LIBOR cannot map this either.

history

For a long time, the key interest rates unilaterally set by the national central banks were the only reference interest rate . That is why in England the "minimum lending rate" (called "base rate") of the Bank of England was used , in the USA the "prime rate" of the Federal Reserve Bank or in Germany the discount or later Lombard rate of the Deutsche Bundesbank . Financial transactions were linked to these key rates.

In the financial center of London, however, there was fear in banking circles that the growth of banking business would be hindered , so that from October 1984 working groups under the auspices of the British Bankers' Association (BBA), a lobby group for British banks, began working on this topic. The aim was to introduce a reference interest rate for the British pound and other important currencies and for certain common maturities, which should be determined according to criteria that are as objective as possible. From December 1984 a trial period began under the administration of the BBA, on September 2, 1985 the interest rate regulations became the BBA market standard, and on January 10, 1986 the first official determination ( fixing ) of the Libor took place. It was recently expanded to a total of 10 currencies ( Australian dollar , Canadian dollar , Swiss franc , Danish krone , euro , British pound , yen , New Zealand dollar , Swedish krona and US dollar ).

When it became known in June 2012 that Barclays Bank had been manipulating the Libor for years, the Libor scandal was triggered. As a result of the far-reaching manipulation in which the Deutsche Bank and other major banks were involved, the London Stock Exchange was withdrawn from responsibility and transferred to the New York stock exchange NYSE Euronext . In July 2013, an independent UK government committee set up the ICE Benchmark Administration (IBA) to manage LIBOR. For this purpose it founded the London subsidiary Intercontinental Exchange Benchmark Administration Ltd. (ICE), which is overseen by the UK banking regulator FCA. On January 31, 2014, the previously lead BBA handed over the administration's mandate to ICE.

In July 2018, the FCA announced that the Libor would only be supported until the end of 2021. The Libor, which is prone to manipulation, must therefore be replaced by other reference interest rates. For the US dollar this will be the SOFR , for the euro the € STR , and for the Swiss franc the SARON .

detection

The "ICE LIBOR" is now available for 5 currencies (CHF, Euro, GBP, YEN and USD) and seven maturities (Overnight / Spot Next, 1 week, 1, 2, 3, 6 and 12 months) daily from 11 to 18 "Contributor Panel Banks" determined. Since October 2014, between 11:00 a.m. and 11:20 a.m. London time (GMT), these big banks have made their interest rates available at which they would lend one another unsecured loans to one another on the London interbank market in a commercial size. The news agency Thomson Reuters calculates the reported interest rates between 11:20 a.m. and 11:45 a.m. with 5 decimal places. In the case of 18 contributing banks, the banks with the 4 highest and 4 lowest interest rates are eliminated, and the arithmetic mean of the remaining 10 is determined. The fewer contributing banks there are, the fewer extreme reports are eliminated. If there are only 11 contributing banks, the 3 highest and 3 lowest reports are removed, and the arithmetic mean is calculated from the remaining 5. This methodology is intended to prevent extreme fluctuations in the calculation. Thomson Reuters publishes the interest rates determined in this way after 11:45 a.m., and the ICE partners (e.g. global-rates.com) also publish them daily . As interest calculation method is generally actual / 360 , only the pound sterling is actual / 365 as a basis.

Panel banks
Bank USD GBP EUR CHF JPY
Lloyds Bank plc ○ ○ ○ ○ ○
Bank of Tokyo-Mitsubishi UFJ Ltd ○ ○ ○ ○ ○
Barclays Bank plc ○ ○ ○ ○ ○
Mizuho Bank, Ltd. ○ ○ ○
Citibank NA (London Branch) ○ ○ ○ ○
Cooperatieve Rabobank UA ○ ○ ○
Credit Suisse AG (London Branch) ○ ○ ○
Royal Bank of Canada ○ ○ ○
HSBC Bank plc ○ ○ ○ ○ ○
Santander UK Plc ○ ○
Bank of America NA (London Branch) ○
BNP Paribas SA, London Branch ○
Crédit Agricole Corporate & Investment Bank ○ ○
Deutsche Bank AG (London Branch) ○ ○ ○ ○ ○
JPMorgan Chase Bank, NA London Branch ○ ○ ○ ○ ○
Société Générale (London Branch) ○ ○ ○ ○
Sumitomo Mitsui Banking Corporation Europe Limited ○ ○
The Norinchukin Bank ○ ○
The Royal Bank of Scotland plc ○ ○ ○ ○ ○
UBS AG ○ ○ ○ ○ ○

meaning

LIBOR is not a margin-neutral interest rate, as the reporting banks would not grant each other unsecured loans without a profit margin . It can be found as a reference in the standard contracts of the Loan Market Association (LMA), International Capital Markets Association (ICMA) and the International Swaps and Derivatives Association (ISDA), so that the LIBOR is used in most international syndicated loans , bonds , swaps and Derivatives . In these standard contracts, the "screen rate" defines a specific Reuters / Bloomberg online page on which the current LIBOR rates appear daily. It is also used as the price basis on the money market, making it the world's most important reference interest rate. In international money and credit transactions , a surcharge - depending on the borrower's rating - is calculated on top of the LIBOR, to which banks provide loans in individual cases , for example for roll-over loans , revolving credit facilities or stand-by loans . For example, “LIBOR + 0.5%” means that with an assumed LIBOR rate of 1.9835% p. a. the surcharge of 0.5 percentage points to a lending rate of 2.4835% p. a. for the borrower leads. As a reference interest rate, the Euro- Libor is of much less importance than the EURIBOR . In addition, the LIBOR is a benchmark for media , economic or microeconomic analyzes. Among other things, some central banks also steer their monetary policy through an intermediate Libor target.

See also

literature

Web links

Individual evidence

  1. ↑ André Frischemeyer: LIBOR - A benchmark from the test stand and legal consequences . In: Journal of Commercial and Banking Law (WM) . No. 31 , 2018, p. 1441-1449 .
  2. ↑ a b The ICE Benchmark Administration. An overview . Retrieved February 7, 2015
  3. ↑ Interest rate benchmark reform: transition to a world without LIBOR. FSB, July 12, 2018, accessed on April 19, 2019 .
  4. ↑ The replacement of the Libor is becoming concrete in Switzerland. NZZ, November 21, 2018, accessed on April 19, 2019 .
  5. ^ A User's Guide to SOFR. The Alternative Reference Rates Committee, April 2019, accessed May 6, 2019 .
  6. ↑ ECB information about the Euro short-term rate (€ STR). Retrieved June 3, 2019 .
  7. ↑ a b LIBOR, information about the London InterBank Offered Rate . Retrieved February 7, 2015
  8. ↑ Panel Composition . Intercontinental Exchange, Inc. Retrieved January 29, 2018.