London Interbank Offered Rate
The London Interbank Offered Rate (or LIBOR, pronounced /ˈlaɪbɔr/) is a daily reference rate based on the interest rates at which banks offer to lend unsecured funds to other banks in the London wholesale money market (or interbank market). LIBOR will be slightly higher than the London Interbank Bid Rate (LIBID), the rate at which banks are prepared to accept deposits.
伦敦银行同业拆放利率 （简称LIBOR）是基于银行在伦敦批发货币市场（或称银行同业拆放市场）向他行贷出无担保贷款所报利率的日常参考利率。此外，伦敦银行同业拆借利率（LIBID）是指银行预期借入同业拆放贷款的利率。通常，伦敦银行同业拆放利率略高于伦敦银行同业拆借利率。
Scope
LIBOR rates are widely used as a reference rate for financial instruments such as:
伦敦银行同业拆借利率被广泛用来作为参考利率的金融工具，如下：
forward rate agreements远期利率协议
short-term interest rate futures contracts 短期利率期货合约
interest rate swaps利率互换
floating rate notes浮动利率债券
syndicated loans银团贷款
variable rate mortgages浮动利率抵押贷款
currencies, especially the US dollar (see also Eurodollar).货币通货，特别是美元（另见欧元）
They thus provide the basis for some of the world’s most liquid and active interest rate markets.因此，它们提供了世界上最具流动性和利率市场活跃的一些基础。
For the Euro, however, the usual reference rates are the Euribor rates compiled by the European Banking Federation, from a larger bank panel. A Euro LIBOR does exist, but mainly for continuity purposes in swap contracts dating back to pre-EMU times.
然而对于欧元，通常的参考利率是由欧洲银行联合会编制的银行同业拆借利率。欧元伦敦银行同业拆借利率确实存在，但这要追溯到前欧洲货币联盟时代出于连续性目的而进行的互换。
Technical features
LIBOR is published by the British Bankers Association (BBA) after 11:00 am (and generally around 11:45 am) each day, London time, and is a filtered average of inter-bank deposit rates offered by designated contributor banks, for maturities ranging from overnight to one year. There are 16 such contributor banks and the reported interest is the mean of the 8 middle values. The shorter rates, i.e., up to 6 months, are usually quite reliable and tend to precisely reflect market conditions. The actual rate at which banks will lend to one another will, however, continue to vary throughout the day.
LIBOR is often used as a rate of reference for Pound Sterling and other currencies, including US dollar, Euro, Japanese Yen, Swiss Franc, Canadian dollar, Australian Dollar, Swedish Krona, Danish Krone and New Zealand dollar.
In the 1990s, Yen LIBOR rates were altered by credit problems affecting some, but not all, of the contributor banks.
For a precise definition of BBA LIBOR, see the BBA website.
Six-month LIBOR is used as an index for some US mortgages. In the UK, the 3 month LIBOR is used for some mortgages especially for those with adverse credit history.
LIBOR-based derivatives
1.Eurodollar contracts
The Chicago Mercantile Exchange’s Eurodollar contracts are based on three-month US dollar LIBOR rates. They are the world’s most heavily traded short term interest rate futures contracts and extend up to 10 years. Shorter maturities trade on the Singapore Exchange in Asian time.
2.Interest Rate Swaps
Interest rate swaps based on short LIBOR rates currently trade on the interbank market for maturities up to 50 years. A “five year LIBOR” rate refers to the 5 year swap rate vs 3 or 6 month LIBOR. “LIBOR + x basis points”, when talking about a bond, means that the bond’s cash flows have to be discounted on the swaps’ zero-coupon yield curve shifted by x basis points in order to equal the bond’s actual market price. The day count convention for LIBOR rates in interest rate swaps is Actual/360.
LIBOR Rate
LIBOR stands for “London Inter-Bank Offered Rate.” It is based on rates that contributor banks in London offer each other for inter-bank deposits. From a bank’s perspective, deposits are simply funds that are loaned to them. So in effect, a LIBOR is a rate at which a fellow London bank can borrow money from other banks. Rate calculations are complex as they incorporate variables such as time, maturity and currency rates. There are hundreds of LIBOR rates reported each month in numerous currencies. We report the 12 Month LIBOR on or after the first of the month. This is the LIBOR for a twelve month deposit in U.S. Dollars on the last business day of the previous month.
Note: Rates published prior to July 2007 reflect the Fannie Mae LIBOR rate which used a different calculation. Fannie Mae discontinued its use and publication of LIBOR rates at the end of June 2007 and suggested a replacemtent rate using our current methodology, which is similar to the Wall Street Journal LIBOR (WSJ LIBOR).
1 Year LIBOR
1. Historical Graph
2. Historical Chart
| Month | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | 5.774% | 5.108% | 6.659% | 5.284% | 2.420% | 1.477% | 1.4607% | 3.2710% | 4.9412% | 5.4414% | 4.22375% |
| Feb | 5.836% | 5.405% | 6.760% | 4.925% | 2.496% | 1.368% | 1.3645% | 3.5114% | 5.1526% | 5.3328% | 2.84938% |
| Mar | 5.914% | 5.307% | 6.970% | 4.670% | 3.006% | 1.340% | 1.3401% | 3.8420% | 5.2476% | 5.2009% | 2.70875% |
| Apr | 6.024% | 5.303% | 6.964% | 4.330% | 2.613% | 1.362% | 1.8082% | 3.7101% | 5.4217% | 5.2967% | 2.48625% |
| May | 5.930% | 5.503% | 7.453% | 4.259% | 2.634% | 1.2214% | 2.0764% | 3.7789% | 5.4139% | 5.3885% | |
| Jun | 5.940% | 5.803% | 7.214% | 4.055% | 2.251% | 1.2014% | 2.4682% | 3.8632% | 5.7660% | 5.4048% | |
| Jul | 5.897% | 5.836% | 7.047% | 3.835% | 2.070% | 1.2789% | 2.4632% | 4.1745% | 5.5910% | 5.42563% | |
| Aug | 5.648% | 6.023% | 6.978% | 3.600% | 1.943% | 1.4714% | 2.3001% | 4.3123% | 5.4501% | 5.24500% | |
| Sep | 5.186% | 6.053% | 6.811% | 2.650% | 1.813% | 1.2857% | 2.4445% | 4.4067% | 5.2985% | 5.27500% | |
| Oct | 4.865% | 6.313% | 6.725% | 2.311% | 1.664% | 1.4551% | 2.5289% | 4.6765% | 5.3348% | 4.90125% | |
| Nov | 5.244% | 6.261% | 6.618% | 2.492% | 1.705% | 1.4867% | 2.9607% | 4.7379% | 5.2439% | 4.63750% | |
| Dec | 5.213% | 6.508% | 5.997% | 2.445% | 1.447% | 1.4582% | 3.1004% | 4.8226% | 5.3139% | 4.45750% | |
| Copyright 2008 MoneyCafe.com.Sources: Fannie Mae, British Bankers’ Association | |||||||||||
6 Month LIBOR
1.Historical Graph
2.Historical Chart
| Month | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | 5.750% | 5.036% | 6.238% | 5.361% | 1.989% | 1.353% | 1.2107% | 2.9582% | 4.8126% | 5.4014% | 4.59625% |
| Feb | 5.782% | 5.168% | 6.328% | 4.955% | 2.068% | 1.336% | 1.1695% | 3.1495% | 4.9907% | 5.3723% | 3.04125% |
| Mar | 5.797% | 5.083% | 6.530% | 4.711% | 2.332% | 1.262% | 1.1595% | 3.3876% | 5.1196% | 5.3212% | 2.93125% |
| Apr | 5.868% | 5.075% | 6.614% | 4.231% | 2.100% | 1.290% | 1.3682% | 3.4151% | 5.2879% | 5.3581% | 2.61438% |
| May | 5.805% | 5.193% | 7.064% | 3.990% | 2.090% | 1.2232% | 1.5789% | 3.5314% | 5.3215% | 5.3844% | |
| Jun | 5.871% | 5.633% | 7.014% | 3.827% | 1.948% | 1.1239% | 1.9420% | 3.6914% | 5.6382% | 5.3817% | |
| Jul | 5.822% | 5.680% | 6.887% | 3.694% | 1.863% | 1.1507% | 1.9857% | 3.9235% | 5.5473% | 5.38625% | |
| Aug | 5.692% | 5.913% | 6.831% | 3.479% | 1.815% | 1.2098% | 1.9907% | 4.0817% | 5.4501% | 5.32688% | |
| Sep | 5.359% | 5.974% | 6.761% | 2.532% | 1.751% | 1.1795% | 2.1695% | 4.2154% | 5.3704% | 5.53500% | |
| Oct | 5.131% | 6.144% | 6.721% | 2.173% | 1.618% | 1.2207% | 2.3007% | 4.4467% | 5.3898% | 5.13250% | |
| Nov | 5.280% | 6.063% | 6.678% | 2.101% | 1.471% | 1.2295% | 2.6239% | 4.5795% | 5.3495% | 4.80625% | |
| Dec | 5.172% | 6.136% | 6.208% | 1.983% | 1.383% | 1.2192% | 2.7751% | 4.6901% | 5.3651% | 4.91000% | |
| Copyright 2008 MoneyCafe.com. Sources: Fannie Mae, British Bankers’ Association | |||||||||||
3 Month LIBOR
1.Historical Graph
2.Historical Chart
| Month | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | 5.758% | 5.032% | 6.049% | 5.518% | 1.862% | 1.348% | 1.1320% | 2.7439% | 4.6795% | 5.3601% | 4.70250% |
| Feb | 5.782% | 5.065% | 6.104% | 5.103% | 1.920% | 1.336% | 1.1201% | 2.9101% | 4.8192% | 5.3598% | 3.11188% |
| Mar | 5.758% | 5.009% | 6.289% | 4.877% | 2.031% | 1.288% | 1.1107% | 3.0995% | 4.9898% | 5.3479% | 3.05750% |
| Apr | 5.766% | 4.993% | 6.393% | 4.312% | 1.913% | 1.308% | 1.1764% | 3.2107% | 5.1479% | 5.3555% | 2.68813% |
| May | 5.735% | 5.053% | 6.838% | 3.999% | 1.896% | 1.2782% | 1.3082% | 3.3292% | 5.2335% | 5.3595% | |
| Jun | 5.785% | 5.355% | 6.778% | 3.791% | 1.860% | 1.1164% | 1.6039% | 3.5045% | 5.5085% | 5.3593% | |
| Jul | 5.758% | 5.320% | 6.715% | 3.677% | 1.823% | 1.1176% | 1.6945% | 3.6948% | 5.4889% | 5.36000% | |
| Aug | 5.713% | 5.505% | 6.684% | 3.487% | 1.816% | 1.1420% | 1.7901% | 3.8720% | 5.4014% | 5.35866% | |
| Sep | 5.422% | 6.083% | 6.816% | 2.597% | 1.806% | 1.1598% | 2.0054% | 4.0055% | 5.3725% | 5.62125% | |
| Oct | 5.351% | 6.218% | 6.755% | 2.232% | 1.702% | 1.1657% | 2.1582% | 4.2523% | 5.3729% | 5.22875% | |
| Nov | 5.377% | 6.122% | 6.735% | 2.080% | 1.432% | 1.1701% | 2.4026% | 4.4139% | 5.3685% | 4.89375% | |
| Dec | 5.172% | 6.005% | 6.403% | 1.883% | 1.383% | 1.1570% | 2.5582% | 4.5298% | 5.3601% | 5.13125% | |
| Copyright 2008 MoneyCafe.com. Sources: Fannie Mae, British Bankers’ Association | |||||||||||
1 Month LIBOR
1.Historical Graph
2.Historical Chart
| Month | 1998 | 1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Jan | 5.704% | 4.946% | 5.856% | 5.622% | 1.829% | 1.339% | 1.0982% | 2.5892% | 4.5720% | 5.3201% | 4.60000% |
| Feb | 5.789% | 5.003% | 5.907% | 5.278% | 1.883% | 1.334% | 1.0973% | 2.6895% | 4.6310% | 5.3214% | 3.14375% |
| Mar | 5.719% | 4.940% | 6.133% | 5.078% | 1.880% | 1.306% | 1.0914% | 2.8582% | 4.8260% | 5.3195% | 3.11063% |
| Apr | 5.688% | 4.902% | 6.197% | 4.435% | 1.842% | 1.318% | 1.1007% | 3.0826% | 5.0245% | 5.3201% | 2.70300% |
| May | 5.696% | 4.930% | 6.641% | 4.059% | 1.844% | 1.3189% | 1.1089% | 3.1126% | 5.1071% | 5.3210% | |
| Jun | 5.748% | 5.223% | 6.649% | 3.835% | 1.836% | 1.1232% | 1.3582% | 3.3401% | 5.3451% | 5.3195% | |
| Jul | 5.696% | 5.178% | 6.625% | 3.760% | 1.818% | 1.1036% | 1.4929% | 3.5107% | 5.4045% | 5.32000% | |
| Aug | 5.727% | 5.370% | 6.628% | 3.584% | 1.820% | 1.1170% | 1.6482% | 3.6942% | 5.3314% | 5.32000% | |
| Sep | 5.400% | 5.396% | 6.620% | 2.637% | 1.819% | 1.1214% | 1.8401% | 3.8584% | 5.3229% | 5.72000% | |
| Oct | 5.277% | 5.410% | 6.621% | 2.321% | 1.741% | 1.1201% | 1.9870% | 4.0882% | 5.3198% | 5.12375% | |
| Nov | 5.048% | 6.503% | 6.827% | 2.145% | 1.380% | 1.1157% | 2.2826% | 4.2954% | 5.3479% | 4.70625% | |
| Dec | 5.118% | 5.832% | 6.565% | 1.876% | 1.382% | 1.1195% | 2.4178% | 4.3857% | 5.3279% | 5.23625% | |
| Copyright 2008 MoneyCafe.com. Sources: Fannie Mae, British Bankers’ Association | |||||||||||
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