U.S. dollar LIBOR

U.S. dollar LIBOR
Name	U.S. dollar LIBOR
Other names	USD LIBOR
Introduced	1980s
Discontinued	phased out 2023–2024
Administered by	Intercontinental Exchange Benchmark Administration
Succeeded by	Secured Overnight Financing Rate
Currency	United States dollar

Contents

U.S. dollar LIBOR U.S. dollar LIBOR was a benchmark interest rate used to price derivatives, loans, and securities tied to the United States dollar, prominently referenced by international institutions such as International Monetary Fund, Federal Reserve System, Bank for International Settlements, European Central Bank, and World Bank. It served global markets including New York Stock Exchange, Chicago Mercantile Exchange, London Stock Exchange, Tokyo Stock Exchange, and Hong Kong Stock Exchange and was central to contracts involving counterparties like JPMorgan Chase, Citigroup, Barclays, Credit Suisse, and Deutsche Bank.

Overview

U.S. dollar LIBOR functioned as a short-term unsecured wholesale funding rate compiled across multiple tenors by administrations including British Bankers' Association and later Intercontinental Exchange, used by market participants such as Goldman Sachs, Morgan Stanley, HSBC, UBS, and Royal Bank of Scotland to value instruments traded on venues like London Metal Exchange, ICE Futures, CME Group, and LCH. It underpinned contracts governed by frameworks including International Swaps and Derivatives Association, Loan Syndications and Trading Association, International Capital Market Association, and influenced indices such as MSCI World Index, S&P 500, FTSE 100, and Bloomberg Barclays Indices.

Developed in the 1980s amid innovations in interest rate derivatives by firms like Salomon Brothers, J.P. Morgan, Lazard, and Goldman Sachs, LIBOR emerged alongside markets at institutions such as London Stock Exchange and Chicago Board Options Exchange and under the oversight context shaped by events like the Plaza Accord and regulatory bodies including Securities and Exchange Commission, Bank of England, and Financial Conduct Authority. Over time administrations shifted from panels of banks including Bank of America, Deutsche Bank, BNP Paribas, and Societe Generale toward formal administrators such as ICE Benchmark Administration following inquiries by United States Department of Justice, United Kingdom Treasury, and Financial Stability Board.

LIBOR was published for multiple tenors (overnight, one week, one month, three months, six months, twelve months) by aggregating submissions from a panel of reference banks including Barclays, HSBC, Santander, Mitsubishi UFJ Financial Group, and Royal Bank of Canada, then trimmed and averaged following procedures informed by standards from International Organization for Standardization, Committee on Payments and Market Infrastructures, and legal frameworks such as UK Benchmarks Regulation and Dodd–Frank Wall Street Reform and Consumer Protection Act. Operational workflows touched infrastructure providers and platforms like Bloomberg L.P., Refinitiv, ICE, and DTCC and required market participants to reconcile rates with trading venues such as NASDAQ, Euronext, and BM&F Bovespa.

Following policy decisions by Federal Reserve Bank of New York, Financial Conduct Authority, Bank of England, European Commission, and International Swaps and Derivatives Association the market moved to replacement rates such as the Secured Overnight Financing Rate endorsed by Federal Reserve System, administered with reference to data from Depository Trust & Clearing Corporation, Fixed Income Clearing Corporation, Primary Dealers and cleared through LCH, CME Group, and Intercontinental Exchange. Transition activities involved conversion protocols developed by ISDA, fallback provisions shaped by International Capital Market Association, legacy contract remediation supported by Loan Syndications and Trading Association, and operational changes at custodians like State Street, BNY Mellon, and Northern Trust.

U.S. dollar LIBOR underlay trillions of dollars in instruments including interest rate swaps traded via ISDA protocols, syndicated loans coordinated through Loan Syndications and Trading Association processes, floating-rate notes issued by International Monetary Fund and World Bank, securitizations placed with BlackRock and Vanguard, adjustable-rate mortgages offered by Wells Fargo and Bank of America, and corporate borrowing for firms such as General Electric, AT&T, and Ford Motor Company. Its movements affected valuations on exchanges including NYSE American, CBOE, SIX Swiss Exchange, and influenced monetary transmission channels monitored by Federal Reserve Bank of New York, European Central Bank, Bank of Japan, and People's Bank of China.

Reforms were implemented through coordination among regulators and standard-setters including Financial Conduct Authority, Federal Reserve System, Committee on Payments and Market Infrastructures, International Organization of Securities Commissions, and Bank for International Settlements leading to the development of alternative benchmarks like Secured Overnight Financing Rate and protocol documentation by ISDA and Loan Syndications and Trading Association. Legal and compliance adaptations engaged agencies such as Securities and Exchange Commission, Office of Financial Research, United States Department of the Treasury, and enforcement by Commodity Futures Trading Commission while market infrastructure providers including ICE, CME Group, DTCC, LCH, Bloomberg L.P., and Refinitiv implemented systems to support transition and legacy contract remediation.

Category:Benchmarks