LIBOR - Revision history

Doug: Update for SORA replacing SIBOR.

2025-03-05T11:53:44Z

Update for SORA replacing SIBOR.

← Older revision		Revision as of 11:53, 5 March 2025
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	* [[SARON]]		* [[SARON]]
	* [[Simple interest]]		* [[Simple interest]]
	* [[SIBOR]]
	* [[SOFR]]		* [[SOFR]]
	* [[SONIA]]		* [[SONIA]]
			* [[SORA]]
	* [[Synthetic LIBOR]]		* [[Synthetic LIBOR]]
	* [[TED spread]]		* [[TED spread]]

Doug: Mend link.

2024-10-03T00:05:09Z

Mend link.

← Older revision		Revision as of 00:05, 3 October 2024
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	==Other resources==		==Other resources==

	*[https://www.bankofengland.co.uk/news/2024/october/the-end-of-libor Press release - Bank of England - 1 October 2024]		*[https://www.bankofengland.co.uk/news/2024/october/the-end-of-libor The end of LIBOR - Press release - Bank of England - 1 October 2024]

	*[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022]		*[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022]

Doug: Layout.

2024-10-02T23:19:11Z

Layout.

← Older revision		Revision as of 23:19, 2 October 2024
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	:The transition away from LIBOR, once referenced in an estimated $400 trillion of financial contracts, has made financial markets safer, more stable and fit for modern use. UK regulators, their international counterparts and market participants have worked together over the past decade to move to risk-free rates (“RFRs”), based on robust data.		:The transition away from LIBOR, once referenced in an estimated $400 trillion of financial contracts, has made financial markets safer, more stable and fit for modern use. UK regulators, their international counterparts and market participants have worked together over the past decade to move to risk-free rates (“RFRs”), based on robust data.


	:Synthetic LIBOR was a temporary bridge to give firms more time to move outstanding legacy LIBOR-linked contracts towards alternative RFRs, allowing for an orderly cessation."		:Synthetic LIBOR was a temporary bridge to give firms more time to move outstanding legacy LIBOR-linked contracts towards alternative RFRs, allowing for an orderly cessation."
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	<references/>		<references/>

	~~[[Category:Long_term_funding]]~~
	~~[[Category:Manage_risks]]~~

	[[Category:Long_term_funding]]		[[Category:Long_term_funding]]
	[[Category:Manage_risks]]		[[Category:Manage_risks]]

Doug: Update for cessation on 30 Sep 2024.

2024-10-02T19:10:59Z

Update for cessation on 30 Sep 2024.

@@ Line 1: / Line 1: @@
 ''Interest rates - reference rates.''
 Originally, but no longer, an acronym for “London Inter-Bank Offered Rate”, LIBOR was a formal, regulated, benchmark short-term interest rate, now substantially replaced.
@@ Line 204: / Line 219: @@
-==External links==
+==Other resources==
 *[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022]
@@ Line 223: / Line 240: @@
 <references/>
 [[Category:Long_term_funding]]
 [[Category:Manage_risks]]

Doug: Add link.

2024-08-19T15:25:20Z

Add link.

← Older revision		Revision as of 15:25, 19 August 2024
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	* [[London InterBank Offered Rate]]		* [[London InterBank Offered Rate]]
	* [[Lowball]]		* [[Lowball]]
			* [[Misconduct]]
	* [[New York Funding Rate]]		* [[New York Funding Rate]]
	* [[Non-representative]]		* [[Non-representative]]

Doug: Add link.

2024-06-22T19:16:31Z

Add link.

← Older revision		Revision as of 19:16, 22 June 2024
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	* [[Floating rate note]]		* [[Floating rate note]]
	* [[Forward rate agreement]]		* [[Forward rate agreement]]
			* [[IBOR]]
	* [[ICE Benchmark Administration]]		* [[ICE Benchmark Administration]]
	* [[ICE LIBOR]]		* [[ICE LIBOR]]

Doug: Remove surplus link.

2024-06-05T14:42:43Z

Remove surplus link.

← Older revision		Revision as of 14:42, 5 June 2024
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	*[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022]		*[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022]
	*[https://www.fca.org.uk/news/news-stories/changes-libor-as-of-end-2021 Changes to LIBOR as of end-2021 - Financial Conduct Authority]		*[https://www.fca.org.uk/news/news-stories/changes-libor-as-of-end-2021 Changes to LIBOR as of end-2021 - Financial Conduct Authority]

	*[https://www.treasurers.org/hub/technical/libor ACT technical resources - IBOR transition]

	*[https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor/working-group-on-sterling-risk-free-reference-rates Working Group of Sterling Risk-Free Reference Rates - latest announcements & publications]		*[https://www.bankofengland.co.uk/markets/transition-to-sterling-risk-free-rates-from-libor/working-group-on-sterling-risk-free-reference-rates Working Group of Sterling Risk-Free Reference Rates - latest announcements & publications]

Doug: Update.

2023-11-06T02:28:34Z

Update.

← Older revision		Revision as of 02:28, 6 November 2023
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	There were detailed provisions for these in the Roadmap Report and in the LIBOR Code (see below). Particular attention was devoted to ensuring that “Expert judgement”, Level 3, was “suitably framed” with contributing bank processes having to be agreed with the Administrator, IBA.		There were detailed provisions for these in the Roadmap Report and in the LIBOR Code (see below). Particular attention was devoted to ensuring that “Expert judgement”, Level 3, was “suitably framed” with contributing bank processes having to be agreed with the Administrator, IBA.

	In summary, the new methodology was more rooted in actual transactions as far as possible. Using less “judgement” that could involve a (possibly unconscious) element of “smoothing”, contributed rates were expected to vary up and down more by small amounts each day. And, recognising the reality that banks short-term-fund in the wider money-markets now, rather just inter-bank, the range of transactions considered was widened and this could mean small rate differences.		In summary, the new methodology was more rooted in actual transactions as far as possible. Using less “judgement” that could involve a (possibly unconscious) element of “smoothing”, contributed rates were expected to vary up and down more by small amounts each day. And, recognising the reality that banks short-term-fund in the wider money-markets now, rather than just inter-bank, the range of transactions considered was widened and this could mean small rate differences.

	Following the successful completion of the transition period, LIBOR became, for each currency/maturity combination, the rate output as the arithmetic mean of the relevant panel banks’ waterfall-methodology based submissions, excluding the highest and lowest quartile of submissions. Each panel bank’s submission carried an equal weight, subject to the trimming.		Following the successful completion of the transition period, LIBOR became, for each currency/maturity combination, the rate output as the arithmetic mean of the relevant panel banks’ waterfall-methodology based submissions, excluding the highest and lowest quartile of submissions. Each panel bank’s submission carried an equal weight, subject to the trimming.
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	During the early stages of the global financial crisis in late 2007 and especially after the 2008 collapse of Lehman Brothers, concerns began to be raised about the good faith of rates contributed by banks for use in the compilation of LIBOR (and other ~IBORs). The first publicly available reference ~~to this that has come to attention~~ is in the minutes of the Bank of England Sterling Money Markets Liaison Group of Thursday 15 November 2007 – no longer on the Bank of England website but in the National Archive. Minute 2.1 starts: “Several group members thought that Libor fixings had been lower than actual traded interbank rates through the period of stress.”		During the early stages of the global financial crisis in late 2007 and especially after the 2008 collapse of Lehman Brothers, concerns began to be raised about the good faith of rates contributed by banks for use in the compilation of LIBOR (and other ~IBORs). The first publicly available reference was is in the minutes of the Bank of England Sterling Money Markets Liaison Group of Thursday 15 November 2007 – no longer on the Bank of England website but in the National Archive. Minute 2.1 starts: “Several group members thought that Libor fixings had been lower than actual traded interbank rates through the period of stress.”

	As the scandal developed, suggestions were twofold:		As the scandal developed, suggestions were twofold:
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	==Alternative rates projects==		==Alternative rates projects==

	Banks had very substantial administrative penalties and fines imposed on them. The regulatory and reputational risks to banks from staff misconduct as they operated it in the early 2000s ~~had~~ made them reluctant to contribute rates. Cessation of ~~the~~ publishing LIBOR rates was seen as a threat to financial stability, given the high nominal values referencing the rate. Furthermore, there was concern at the limited number of transactions underpinning some LIBOR currency/maturity combinations given the changes in bank funding and in their capital and liquidity regulation.		Banks had very substantial administrative penalties and fines imposed on them. The regulatory and reputational risks to banks from staff misconduct as they operated it in the early 2000s made them reluctant to contribute rates. Cessation of publishing LIBOR rates was seen as a threat to financial stability, given the high nominal values referencing the rate. Furthermore, there was concern at the limited number of transactions underpinning some LIBOR currency/maturity combinations given the changes in bank funding and in their capital and liquidity regulation.

	The FCA has power to compel contributions under UK law and similar powers under the BMR. It secured banks’ agreements to contribute rates until the end of 2021 ~~after which it will not use its powers of compulsion for LIBOR~~. The changes made to LIBOR by IBA, among other effects, had the objective of significantly reducing the opportunities for rate manipulation and so reducing the risks to banks from contributing rates.		The FCA has power to compel contributions under UK law and similar powers under the BMR. It secured banks’ agreements to contribute rates until the end of 2021. The changes made to LIBOR by IBA, among other effects, had the objective of significantly reducing the opportunities for rate manipulation and so reducing the risks to banks from contributing rates.

	Over time, a reformed [[SONIA]] has superseded LIBOR as the primary sterling benchmark rate, particularly, and to start with, for those purposes not needing to include maturity and bank credit premiums. Similar relatively risk-free rates have been developed for the other LIBOR currencies. The ACT and the LMA published a guide to the new rates under development, available at https://www.treasurers.org/ACTmedia/ACT_LMA_Future_of_LIBOR_Guide_0318.pdf.		Over time, a reformed [[SONIA]] has superseded LIBOR as the primary sterling benchmark rate, particularly, and to start with, for those purposes not needing to include maturity and bank credit premiums. Similar relatively risk-free rates have been developed for the other LIBOR currencies. The ACT and the LMA published a guide to the new rates under development, available at https://www.treasurers.org/ACTmedia/ACT_LMA_Future_of_LIBOR_Guide_0318.pdf.
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	<references/>		<references/>

	~~[[Category:Context_of_treasury]]~~
	[[Category:Long_term_funding]]		[[Category:Long_term_funding]]
	[[Category:Manage_risks]]		[[Category:Manage_risks]]
	~~[[Category:Treasury_operations]]~~

Doug: Typo correction - 'are deemed'.

2023-10-04T13:51:52Z

Typo correction - 'are deemed'.

← Older revision		Revision as of 13:51, 4 October 2023
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	*31 December 2021 - all LIBOR settings either ceased or are no longer representative for Sterling, Euro, Swiss Franc and Japanese Yen LIBOR settings in all maturities, and US Dollar LIBOR 1-week and 2-month maturities.		*31 December 2021 - all LIBOR settings either ceased or are no longer representative for Sterling, Euro, Swiss Franc and Japanese Yen LIBOR settings in all maturities, and US Dollar LIBOR 1-week and 2-month maturities.
	*30 June 2023 - all LIBOR settings either ceased or are no longer be representative for US Dollar Overnight, 1-month, 3-month, 6-month and 12-month maturities.		*30 June 2023 - all LIBOR settings either ceased or are deemed no longer representative for US Dollar Overnight, 1-month, 3-month, 6-month and 12-month maturities.

Doug: Remove out of date material.

2023-09-27T14:56:46Z

Remove out of date material.

← Older revision		Revision as of 14:56, 27 September 2023
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	*[https://www.treasurers.org/hub/technical/practical-guide-libor A Practical Guide to LIBOR transition - Slaughter & May - Association of Corporate Treasurers]		*[https://www.treasurers.org/hub/technical/practical-guide-libor A Practical Guide to LIBOR transition - Slaughter & May - Association of Corporate Treasurers]

	*[[Media:Slaughter and May interest rate benchmarks.pdf\| 2021: A Benchmark Odyssey, Practical Guidance for Treasurers on interest rate benchmarks, Slaughter and May]]

	*[https://www.bankofengland.co.uk/markets/sonia-benchmark SONIA and other benchmarks]		*[https://www.bankofengland.co.uk/markets/sonia-benchmark SONIA and other benchmarks]