It covers an estimated $350 trillion contracts for loans, swaps and derivatives, and is calculated using estimated cost of borrowing quotes from panel banks
. Libor is calculated based on the judgment of banks rather than actual transactions.
announces that ICE Benchmark Administration Limited (IBA) will publish data relating to a three-month testing period during which all 20 LIBOR panel banks
were required to make parallel LIBOR submissions.
(14) The panel banks
do this for five different currencies, with seven maturities for each ranging from overnight to twelve months, leading to a total of thirty-five rates.
The UK's Financial Conduct Authority (FCA) has said that all 20 panel banks
have agreed to support the London interbank offered rate (Libor) until it is phased out in 2021.
Moreover, panel banks
feel understandable discomfort about providing submissions based on judgments with so little borrowing activity against which to validate those judgments." Well, we can see how they might.
Under the FCA's plan, "the benchmark would no longer be sustained through the mechanism of the FCA persuading or obliging panel banks
to stay," he said, meaning Libor's survival "could not and would not be guaranteed."
He added: "While we have given our full support to encouraging panel banks
to continue to contribute and maintaining Libor over recent years, we do not think markets can rely on Libor continuing to be available indefinitely.
The case centres on the allegation he was seeking to rig the submissions by the panel banks
, used to calculate that rate.
The British broker RP Martin was fined 247,000 for facilitating one of the infringements by using its contacts with a number of JPY Libor panel banks
that did not participate in the infringement, with the aim of influencing their JPY Libor submissions.
Traders also colluded with "individuals at other Libor panel banks
and interdealer firms to influence Libor submission, the FCA said.
The watchdogs added that other attempts of manipulation included requesting only certain Panel Banks
to make specific Japanese Yen Libor submissions.
"Following the withdrawal of Barclays Bank from the Eibor fixing process, the National Bank of Fujairah was selected by the Eibor panel banks
to join the Eibor panel, starting October 8 2012," said a statement from the regulator.