伦敦银行同业拆放利率 发表评论(0) 编辑词条
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伦敦银行同业拆放利率（London Inter bank Offered Rate，LIBOR）已成为全球贷款方及债券发行人的普遍参考利率，是目前国际间最重要和最常用的市场利率基准。
伦敦银行同业拆放利率是英国银行家协会根据其选定的银行在伦敦市场报出的银行同业拆借利率，进行取样并平均计算成为基准利率。是伦敦金融市场上银行之间相互拆放英镑、欧洲美元及其它欧洲货币资金时计息用的一种利率。伦敦银行同业拆放利率是由伦敦金融市场上一些报价银行在每个工作日11时向外报出的。该利率一般分为两个利率，即贷款利率和存款利率，两者之间的差额为银行利润。通常，报出的利率为隔夜（两个工作日）、7天、1个月、3个月、6个月和1年期的，超过一年以上的长期利率，则视对方的资信、信贷的金额和期限等情况另定。
目前，在伦敦金融市场上，有资力对外报价的银行仅限于那些本身具有一定的资金吞吐能力，又能代客户吸存及贷放资金的英国大清算银行、大商业银行、海外银行及一些外国银行。这些银行被称作参考银行。由于竞争比较充分，各银行报出的价格基本没有什么差异。
参与伦敦金融市场借贷活动的其它银行和金融机构，均以这些报价银行的利率为基础，确定自己的利率。伦敦银行同业拆放利率作为伦敦金融市场上借贷活动的基础利率，初始于60年代初，随着伦敦金融领域里银行同业之间的相互拆放短期资金活动增多，伦敦同业英镑拆放市场开始取代贴现市场，成为伦敦银行界融资的主要场所，伦敦银行同业拆放利率成为伦敦金融市场借贷活动中计算利息的主要依据。以后，随着欧洲美元市场和其它欧洲货币市场的建立，国际银团辛迪加贷款及各种票据市场的发展，伦敦银行同业拆放利率在国际信贷业务中广泛使用，成为国际金融市场上的关键利率。目前，许多国家和地区的金融市场及海外金融中心均以此利率为基础确定自己的利率。
例如，一笔辛迪加贷款利率确定为伦敦银行同业拆放利率加上0.75％，如果当时伦敦银行同业拆放利率为10％，那么这笔银行辛迪加贷款的利率便为10.75％
London Interbank Offered Rate 编辑本段回目录
The London Interbank Offered Rate (or LIBOR, pronounced /?la?b?r/) 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.
Scope 编辑本段回目录
LIBOR rates are widely used as a reference rate for financial instruments such as:
- forward rate agreements
- short-term interest rate futures contracts
- interest rate swaps
- floating rate notes
- syndicated loans
- variable rate mortgages
- currencies, especially the US dollar (see also Eurodollar).
They thus provide the basis for some of the world's most liquid and active interest rate markets.
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.
Technical features 编辑本段回目录
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[1].
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编辑本段回目录
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 编辑本段回目录
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
1 Year LIBOR 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
6 Month LIBOR 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
3 Month LIBOR 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
1 Month LIBOR 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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