Fixing, Value and Maturity

This page gives details of each individual LIBOR currency and the differences between fixing and value dates and guidelines for practical application

Period Between Fixing and Value Date

For all currencies other than EUR and GBP the period between Fixing Date and Value Date will be two London business days after the Fixing Date. However, if that day is not both a London business day and a business day in the principal financial centre of the currency concerned, the next following day that is a business day in both centers shall be the Value Date.

In the case of EUR the Value Date shall be two TARGET business days after the Fixing Date. In the case of GBP the Fixing Date and Value Date shall be the same.

In the case of overnight rates the fix and value dates are the same. This does not apply to spot/next where the difference between Fix and Value date is 2 business days. GBP, EUR, CAD and USD are fixed in overnight while AUD, CHF, DKK, SEK, NZD and JPY are fixed in spot/next (s/n).

For a visual interpretation for the fixing period please see the below

There are two areas where confusion can arise between the Fixing and Value date caused by Public/Bank holidays. As bbalibor is constructed in London there will be no fixings on any UK public holiday (this however excludes EUR on some dates).

Example 1 – UK Public/Bank Holidays

Consider a UK public holiday on the 7th May being a Wednesday. When fixing on the 5th of May, the Value date should be two days later but this falls on a bank holiday and so the actual Value date would be 8th May. The same happens for the penultimate day 6th May where Value would be 9th May and where there would be no fix on the actual Public/Bank Holiday. In the below example May 10th and 11th 2008 are weekend days

Example 2 - Principle Financial Centre of the Currency Concerned Public/Bank Holiday

Another example would be to consider a public/bank holiday in the principle financial centre of the currency concerned which is nonetheless a business day in the UK. The difference here would be that the only date affected would be a fix date two days previous. Note that an overnight rate cannot be fixed on a public holiday in the principal financial center. Consider in the example below, a public holiday that falls on Friday 4th July 2008, where July 5th and 6th 2008 are weekend days.

Maturity dates and non-business days, particularly in periods below one month

For all currencies, the modified following business day convention will be used in all maturities except overnight, spot/next, one week and two week periods. The modified following business day convention states that the Maturity Date is the first following day that is a business day in both London and the principal financial centre of the currency concerned, unless that day falls in the next calendar month. In this case only, the maturity date will be the first preceding day in which both London and the principal financial centre of the currency concerned are open for business. In the case of EUR only, maturity dates will be based on days in which the Target system is open.

In overnight, spot/next, one and two week periods the Maturity Date shall be the first day which is a business day in both business centers (or in the case of EUR only, the next TARGET business day) and falls at least one, seven or fourteen days from the Value Date (as the case may be), regardless of whether it is in the next calendar month.

Where a deposit is made on the final business day of a particular calendar month, the maturity of the deposit shall be on the final business day of the month in which it matures (not the corresponding date in the month of maturity). Or in other words, in line with market convention, bbalibor rates are dealt on an end-end basis. For instance a one month deposit for value 28th February would mature on 31st March, not the 28th of March.

For all maturity dates, they cannot roll-over into a new calendar month from the value date. For instance, if we consider a non leap year (without weekend days to simplify the example), for a one month contract then it would look like the below:

If we then added the fact that February 28th was a weekend, all the maturity dates above would roll back to the latest available business day in February.

TARGET Days

Euro LIBOR rates follow TARGET. TARGET public holidays are: 1st January, Good Friday, Easter Monday, 1st May, 25th December and 26th December. These holidays do not change and the holidays do not roll over. For example, if the 26th December was a Sunday, EURO LIBOR maturities would be fixed on Monday 27th December, while the other nine LIBOR currencies would not be fixed as the public holiday would roll.