|Unit||% p.a., NSA|
|Adjustments||Not Seasonally Adjusted|
|Data||20 Oct 2020||0.05|
|19 Oct 2020||0.05|
|Lending Rate||20 Oct 2020||0.1||0.1||%, NSA||Business Daily|
|Monetary Policy Rate||20 Oct 2020||0.1||0.1||%, NSA||Business Daily|
|Money Market Rate||20 Oct 2020||0.05||0.05||% p.a., NSA||Business Daily|
|Average Long-term Government Bond||Sep 2020||-3.07||-2.97||%||Monthly|
|Treasury Bills (over 31 days)||Jun 2018||0.5||0.5||%||Monthly|
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 (tenors, maturities). Prior to February 2014, LIBOR was administered by the British Banker's Association (BBA).
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.
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).
|Concept||Term||Geo code||Currency||Currency code|
|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%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|
IBA requires LIBOR panel banks to make submissions according to the Waterfall methodology.
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 interbank offers in reasonable market size, just prior to 11 AM 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 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.
The LIBOR is not subject to revisions.
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.
Break in series during 2018 due to transition to Waterfall methodology.