United Kingdom - Money Market Rate





United Kingdom: Money Market Rate

Mnemonic IRMM.IGBR
Unit % p.a., NSA
Adjustments Not Seasonally Adjusted
Business Daily
Data 21 Sep 2018 0.7
20 Sep 2018 0.7

Series Information

Source ICE Benchmark Administration Limited (IBA)
Release ICE LIBOR Rates - Daily
Frequency Business Daily
Start Date 1/3/2000
End Date 9/21/2018

United Kingdom: Markets

Reference Last Previous Units Frequency
Lending Rate 21 Sep 2018 0.75 0.75 %, NSA Business Daily
Monetary Policy Rate 21 Sep 2018 0.75 0.75 %, NSA Business Daily
Money Market Rate 21 Sep 2018 0.7 0.7 % p.a., NSA Business Daily
Treasury Bills (over 31 days) Jun 2018 0.5 0.5 % Monthly
Average Long-term Government Bond Apr 2017 -2.06 -1.95 % Monthly

Release Information

The ICE LIBOR is the primary benchmark for short-term interest rates globally, used for mortgages, loans, for interest rate contracts on futures and options exchanges, and as a general gauge of the health of financial monetary markets.

The ICE Benchmark Administration (ICE) publishes the LIBOR (London Interbank Offered Rate), a set of 150 interest rates for interbank lending in 10 currencies and 15 terms. Prior to February 2014, LIBOR was administered by the British Banker's Association (BBA).

To create a mnemonic for a particular rate, combine one of 15 concept codes denoting the term of the loan (first column below) with one of 10 geo codes denoting the currency in which the loan is denominated (third column).

ConceptTermGeo CodeCurrencyCurrency Code
IR%LIBORONUD Overnight IAUS Australian dollar AUD
IR%LIBOR1WUD 1 week IGBR British pound GBP
IR%LIBOR2WUD 2 weeks ICAN Canadian dollar CAD
IR%LIBOR1MUD 1 month IDNK Danish krone DKK
IR%LIBOR2MUD 2 months IEUZN Euro EUR
IR%LIBOR3MUD 3 months IJPN Japanese yen JPY
IR%LIBOR4MUD 4 months INZL New Zealand dollar NZD
IR%LIBOR5MUD 5 months ISWE Swedish krona SEK
IR%LIBOR6MUD 6 months ICHE Swiss franc CHF
IR%LIBOR7MUD 7 months IUSA U.S. dollar USD
IR%LIBOR8MUD 8 months      
IR%LIBOR9MUD 9 months      
IR%LIBOR10MUD 10 months      
IR%LIBOR11MUD 11 months      
IR%LIBOR1YUD 1 year      

Currently, the source is in the process of gradually changing LIBOR methodology. The source notes as of April 2018 (citation): 

IBA now intends, in the coming weeks, to begin the process of transitioning LIBOR panel banks to
the Waterfall Methodology. LIBOR panel banks will transition on a gradual basis, in order to minimise operational and technology risks. IBA expects the transition to be completed by no later than the first quarter of 2019.

LIBOR is defined as:

The rate at which an individual Contributor Panel bank could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size, just prior to 11.00 London time.
Contributions must represent rates at which a bank would be offered funds in the London Money Market.

The ICE maintains a set of panels of banks (one panel per currency, 11-16 banks each) operating in London that it believes to be representative of the overall market by country and institution type, and on the basis of each bank's reputation, scale of market activity and perceived expertise in the currency concerned. It surveys their estimates of market activity each business day. The top quartile and bottom quartile market quotes are disregarded and the middle two quartiles are averaged: the resulting "spot fixing" is published as the LIBOR rate.

The LIBOR is subject to small-sample statistical effects, and under some possible circumstances, the published rates can be unrepresentative. BBA does not publish metadata to warn of this. See for example: Questions raised by BIS in March 2008, an investigation by the Wall Street Journal in June 2008, and BBA's own response. In 2008 BBA began considerations to expand the panels.

The LIBOR is not subject to revisions.

The time series are business-weekly (Monday to Friday).  Moody's Analytics obtains all 150 rates at mid-day (eastern time) on the day of publication, except for holidays. Occasionally there will be a delay at ICE's end in transmission of the bulk data file.

On U.S. holidays, only the USD overnight rate is unfixed.  On British bank holidays, only the EUR rates are fixed; all others show a gap.

To detect stress in the euro zone banking system, chart the relative change in rates for short- versus long-term loans.  (Transform using year-over-year percent change, and convert the chart frequency from daily to monthly to smooth the curves.)  The rates on short-term loans are always higher, but under normal conditions, all terms move in synchrony.  During times of anxiety, the short-term rates will change more rapidly.

Previously, Data Buffet obtained selected USD- and EUR-denominated LIBOR rates with a one-day lag from the Wall Street Journal, and the remaining rates from BBA with a seven-day lag.

Data for Monthly USD series prior to Jan. 1987 are sourced Daily press.