BBA Libor - Frequently asked questions



LIBOR information from British Bankers Association Web site



What is LIBOR?

Libor stands for the London Interbank Offered Rate and is the rate of interest at which banks borrow funds, in marketable size, in the London interbank market.

What is BBA Libor?

BBA Libor is the most widely used "benchmark" or reference rate for short term interest rates. It is compiled by the BBA in conjunction with MoneylineTelerate and released to the market shortly after 11.00am London time each day.

Where is the BBA Libor standard used?

BBA Libor is the primary benchmark for short term interest rates globally. It is used as the basis for settlement of interest rate contracts on many of the world's major futures and options exchanges (including LIFFE, Deutsche Term Börse, Chicago Mercantile Exchange, Chicago Board of Trade, SIMEX and TIFFE) as well as most Over the Counter (OTC) and lending transactions.

How is BBA Libor produced and published?

The British Bankers' Association (BBA), advised by senior market practitioners, maintains a reference panel of at least 8 contributor banks. The aim is to produce a reference panel of banks which reflects the balance of the market - by country and by type of institution. Individual banks are selected within this guiding principle on the basis of reputation, scale of market activity and perceived expertise in the currency concerned.

The BBA surveys the panel's market activity and publishes their market quotes on-screen. The top quartile and bottom quartile market quotes are disregarded and the middle two quartiles are averaged: the resulting "spot fixing" is the BBA Libor rate. The quotes from all panel banks are published on-screen to ensure transparency.

BBA Libor is compiled each London Business day by an electronic vendor (currently MoneylineTelerate) and broadcast through contributing a number of international distribution networks including Reuters, Thomson Financial and Bloomberg.

BBA LIBOR fixings are provided in nine international currencies:

Pound Sterling

US Dollar

Japanese Yen

Swiss Franc

Canadian Dollar

Australian Dollar

Euro

Danish Kroner

New Zealand Dollar

Euro BBA Libor is the successor Libor fixing for the euro-in zone currency Libors, which ceased to be fixed at the beginning of 1999.

BBA Libor rates are fixed for each currency in 15 maturities up to 12 months.

Why is the BBA Libor standard important?

BBA Libor is important because:

• it is long established

• it offers the largest range of international rates

• it is a truly international reference rate

• it has a wide commercial use

• it enjoys wide international dissemination

• its mechanism is transparent

• of the credibility of providing a robust settlement rate

• of the credit quality of panel banks

• the banks represented on the panels are active in the cash markets

BBA Libor's London base is significant: well over 20% of all international bank lending and more than 30% of all foreign exchange transactions take place through the offices of banks in London and represents a unique snapshot of competitive funding costs. London has representation from close to 500 banks, and many other major financial institutions actively trade in the euromarkets which are based primarily in London. In addition, no reserve requirements are applied in London.

BBA Libor Conventions and Quotation basis

23/07/2002

|Currency |Number of Contributors |Quotation basis |Fixing basis |

|AUD |8 |a/360 |spot |

|CAD |12 |a/360 |spot |

|CHF |12 |a/360 |spot |

|DKK |8 |a/360 |spot |

|EUR |16 |a/360 |spot |

|GBP |16 |a/365 |same day |

|JPY |16 |a/360 |spot |

|NZD |8 |a/360 |spot |

|USD |16 |a/360 |spot |

BBA Libor Panels

27/06/2005

In accordance with the LIBOR Definition the British Bankers Association (BBA) has completed its review of the composition of the LIBOR Contributor Panels. These are the banks that contribute to the BBAs LIBOR rate-setting process.

With effect from Monday, 04 July 2005, the composition of the US Dollar (USD) Panels will be as follows:

US DOLLAR (USD) - 16 BANKS

Bank of America

Barclays Bank plc

Citibank NA

Credit Suisse First Boston

Deutsche Bank AG

HBOS

HSBC

JP Morgan Chase

Lloyds TSB Bank Plc

Rabobank

Royal Bank of Canada

The Bank of Tokyo-Mitsubishi Ltd

The Norinchukin Bank

The Royal Bank of Scotland Group

UBS AG

Westdeutsche Landesbank AG

Individual Contributor Panel Banks are selected by the BBAs FX and Money Markets Advisory Panel after private nomination and discussions with the LIBOR Steering Group, on the basis of reputation, scale of activity in the London market and perceived expertise in the currency concerned, and giving due consideration to credit standing.

The following are LIBOR rates for the Euro, U.S. Dollar, British pound, and Japanese yen October 3rd through Oct 13 as published by the British Bankers Association. All data can be seen at:

|Oct.05 | | | | | | | | | | |3-Oct |4-Oct |5-Oct |6-Oct |7-Oct |10-Oct |11-Oct |12-Oct |13-Oct | |EUR | | | | | | | | | | |s/n-o/n |2.10000 |2.10281 |2.10625 |2.11250 |2.00094 |1.99656 |2.03750 |2.09750 |2.09500 | |1w |2.10425 |2.11000 |2.11125 |2.11463 |2.10425 |2.10688 |2.10500 |2.10238 |2.10125 | |2w |2.11000 |2.11000 |2.11250 |2.11563 |2.11188 |2.11000 |2.11000 |2.10938 |2.10625 | |1m |2.12025 |2.12000 |2.12225 |2.12225 |2.12488 |2.12288 |2.12163 |2.12013 |2.11875 | |2m |2.13513 |2.13925 |2.14100 |2.14100 |2.14525 |2.14488 |2.14625 |2.14288 |2.14038 | |3m |2.17538 |2.17763 |2.18100 |2.18038 |2.19275 |2.19138 |2.19150 |2.18400 |2.18125 | |4m |2.18788 |2.18900 |2.19100 |2.19325 |2.21125 |2.20963 |2.21625 |2.20713 |2.20513 | |5m |2.19800 |2.19888 |2.20088 |2.20338 |2.23125 |2.22875 |2.23613 |2.22688 |2.22500 | |6m |2.21419 |2.21863 |2.21925 |2.22063 |2.25625 |2.25200 |2.26000 |2.25263 |2.25038 | |7m |2.23563 |2.23925 |2.23913 |2.24063 |2.27488 |2.26975 |2.28100 |2.27600 |2.26875 | |8m |2.25138 |2.25638 |2.25700 |2.26025 |2.29675 |2.28963 |2.30100 |2.29588 |2.29238 | |9m |2.27338 |2.27513 |2.27625 |2.28025 |2.32000 |2.31050 |2.32500 |2.31613 |2.31650 | |10m |2.29638 |2.29775 |2.29638 |2.30063 |2.34000 |2.33788 |2.34725 |2.33750 |2.33663 | |11m |2.31288 |2.31788 |2.31488 |2.32025 |2.36000 |2.35650 |2.36725 |2.36175 |2.36013 | |12m |2.33300 |2.33788 |2.33488 |2.34188 |2.38425 |2.37863 |2.39000 |2.38263 |2.38500 | |

| | | | | | | | | | |USD | | | | | | | | | | |s/n-o/n |3.85250 |3.80063 |3.79125 |3.79000 |3.78500 |N/A |3.80188 |3.80125 |3.79750 | |1w |3.81125 |3.81125 |3.80625 |3.81000 |3.81125 |3.81125 |3.81500 |3.81688 |3.82125 | |2w |3.82250 |3.82125 |3.81938 |3.82000 |3.82250 |3.82313 |3.82750 |3.83000 |3.84750 | |1m |3.88000 |3.89000 |3.89000 |3.93538 |3.94000 |3.94000 |3.94125 |3.94563 |3.97000 | |2m |3.97500 |3.98875 |3.99375 |4.01000 |4.01063 |4.01438 |4.02000 |4.02563 |4.05000 | |3m |4.07688 |4.09000 |4.10000 |4.11000 |4.11500 |4.12313 |4.13000 |4.14000 |4.15000 | |4m |4.13788 |4.15538 |4.16000 |4.17000 |4.18000 |4.18750 |4.19000 |4.20000 |4.21063 | |5m |4.19688 |4.22588 |4.23000 |4.23000 |4.24000 |4.24875 |4.25000 |4.26000 |4.27125 | |6m |4.26688 |4.29000 |4.29000 |4.29000 |4.30000 |4.30250 |4.31000 |4.32875 |4.34188 | |7m |4.31038 |4.33875 |4.33125 |4.33000 |4.34500 |4.34625 |4.35000 |4.37025 |4.39000 | |8m |4.35213 |4.38625 |4.37313 |4.37063 |4.38563 |4.38875 |4.39000 |4.41225 |4.43400 | |9m |4.39625 |4.43000 |4.41438 |4.41000 |4.42625 |4.43000 |4.43000 |4.45188 |4.47625 | |10m |4.42788 |4.46713 |4.44875 |4.44000 |4.45875 |4.46000 |4.46000 |4.48525 |4.50588 | |11m |4.45650 |4.49850 |4.48000 |4.47000 |4.48938 |4.49000 |4.49188 |4.51725 |4.53725 | |12m |4.48438 |4.53000 |4.51063 |4.50000 |4.51875 |4.52000 |4.52000 |4.54563 |4.56750 | | | | | | | | | | | | |GBP | | | | | | | | | | |s/n-o/n |4.55000 |4.40000 |4.40000 |4.50000 |4.40000 |4.40000 |4.40500 |4.55000 |4.65000 | |1w |4.57500 |4.54625 |4.53875 |4.55250 |4.49875 |4.57125 |4.56750 |4.58375 |4.60375 | |2w |4.59000 |4.57750 |4.57375 |4.57250 |4.55375 |4.57375 |4.58000 |4.58813 |4.59188 | |1m |4.60250 |4.59625 |4.59375 |4.58938 |4.57625 |4.57750 |4.57938 |4.59000 |4.59000 | |2m |4.60250 |4.59938 |4.59875 |4.59000 |4.57438 |4.57000 |4.57000 |4.58000 |4.58000 | |3m |4.60063 |4.59875 |4.59625 |4.58813 |4.57125 |4.56000 |4.56031 |4.57000 |4.57313 | |4m |4.59000 |4.59000 |4.58375 |4.57375 |4.56125 |4.54750 |4.54625 |4.55875 |4.56500 | |5m |4.58000 |4.58000 |4.57438 |4.56313 |4.55000 |4.53125 |4.52938 |4.54813 |4.55625 | |6m |4.57125 |4.57625 |4.56438 |4.54750 |4.53500 |4.51250 |4.51250 |4.53688 |4.54688 | |7m |4.56313 |4.56938 |4.55750 |4.53625 |4.52500 |4.49875 |4.50000 |4.52750 |4.53688 | |8m |4.55688 |4.56250 |4.55000 |4.52750 |4.51500 |4.48750 |4.48750 |4.51750 |4.53125 | |9m |4.55000 |4.56063 |4.54500 |4.51938 |4.50625 |4.47750 |4.47625 |4.51000 |4.52625 | |10m |4.54750 |4.55875 |4.54313 |4.51563 |4.50125 |4.46875 |4.46938 |4.50438 |4.52125 | |11m |4.54500 |4.55750 |4.54063 |4.51063 |4.49875 |4.46438 |4.46438 |4.50000 |4.52063 | |12m |4.54500 |4.55688 |4.53875 |4.50625 |4.49500 |4.45938 |4.46250 |4.50000 |4.52000 | | | | | | | | | | | | |JPY | | | | | | | | | | |s/n-o/n |0.04000 |0.04000 |0.04000 |0.04000 |0.04000 |0.04000 |0.04000 |0.04000 |0.04000 | |1w |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04000 | |2w |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04063 |0.04000 | |1m |0.04750 |0.04625 |0.04625 |0.04625 |0.04625 |0.04625 |0.04625 |0.04500 |0.04500 | |2m |0.05375 |0.05313 |0.05313 |0.05313 |0.05313 |0.05313 |0.05313 |0.05313 |0.05188 | |3m |0.06250 |0.06438 |0.06438 |0.06438 |0.06500 |0.06375 |0.06500 |0.06500 |0.06375 | |4m |0.06500 |0.06688 |0.06688 |0.06688 |0.06688 |0.06688 |0.06688 |0.06688 |0.06563 | |5m |0.06938 |0.07063 |0.07188 |0.07188 |0.07250 |0.07125 |0.07250 |0.07250 |0.07063 | |6m |0.07563 |0.07750 |0.07875 |0.07875 |0.07875 |0.07813 |0.07875 |0.07875 |0.07750 | |7m |0.08125 |0.08313 |0.08313 |0.08313 |0.08375 |0.08250 |0.08375 |0.08375 |0.08188 | |8m |0.08250 |0.08375 |0.08500 |0.08500 |0.08500 |0.08375 |0.08500 |0.08500 |0.08313 | |9m |0.08625 |0.08875 |0.09000 |0.09000 |0.09000 |0.09000 |0.08938 |0.08938 |0.08813 | |10m |0.09125 |0.09125 |0.09375 |0.09375 |0.09375 |0.09375 |0.09375 |0.09375 |0.09250 | |11m |0.09438 |0.09313 |0.09625 |0.09625 |0.09688 |0.09688 |0.09688 |0.09688 |0.09688 | |12m |0.10313 |0.10250 |0.10500 |0.10500 |0.10500 |0.10625 |0.10625 |0.10625 |0.10563 | |

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