Setting bbalibor™

bbalibor is the interest rate benchmark known as the London Interbank Offered Rate. It is based on offered interbank deposit rates contributed in accordance with the instructions to bbalibor contributor banks.

bbalibor is set by the Designated Distributor - currently Thomson Reuters - and the rates calculated become available to all market participants simultaneously via a number of different information providers.

Contributor Panels comprise at least 7 Contributor Banks and broadly reflect the balance of activity in the interbank market. Individual contributor banks are selected by the BBA’s Foreign Exchange & Money Markets Committee - after private nomination and discussions with the Steering Group - on the basis of activity in the London market and perceived expertise in the currency concerned. Due consideration is also given to credit standing.

Contributed rates are ranked in descending order and the arithmetic mean of only the middle two quartiles is used to formulate the resulting BBA LIBOR calculation for that particular currency and maturity. Individual contributor panel bank rates are released to the market alongside the LIBOR fixing each day, allowing market participants to view the rates that have contributed to that calculation along with the rate itself.

The BBA will review the bbalibor rate setting process from time to time and may alter the calculation methodology after due consideration and prior notification of the planned changes.

In the event that it is not possible to conduct the bbalibor calculation in the usual way, the BBA - in consultation with contributor banks, the bbalibor Steering Group and other market practitioners - will use its best efforts to arrange the setting of a substitute rate. This will be the bbalibor calculation for the currency, maturity and date in question. Such substitute measures will be communicated to the market in a timely fashion.

If an individual contributor bank ceases to comply with the Instructions to bbalibor Contributor Banks, the BBA - in consultation with the bbalibor Steering Group - may issue a warning requiring the Contributor Bank to remedy the situation or, at its sole discretion, exclude the bank from the contributor panel.

If an individual contributor bank ceases to qualify for panel membership the BBA, in consultation with the bbalibor Steering Group, will select a replacement as soon as possible and communicate the substitution to the market in a timely fashion.

Instructions To bbalibor Contributor Banks

A. An individual bbalibor contributor panel bank will contribute the rate at which it could borrow funds, were it to do so by asking for and then accepting interbank offers in reasonable market size, just prior to 1100 London time.

B. Rates shall be contributed for currencies, maturities and fixing dates and according to agreed conventions.

C. Contributor banks shall input their rate without reference to rates contributed by other contributor banks.

D. Rates shall be for deposits:

• made in the London interbank market in reasonable market size;
• that are simple and unsecured;
• governed by the laws of England and Wales;
• where the parties are subject to the jurisdiction of the courts of England and Wales.

E. Maturity dates for the deposits shall be subject to the ISDA Modified Following Business Day convention, which states that if the maturity date of a deposit falls on a day that is not a Business Day the maturity date shall be the first following day that is a Business Day, unless that day falls in the next calendar month, in which case the maturity date will be the first preceding day that is a Business Day.

F. Rates shall be contributed in decimal form to at least two decimal places but no more than five.

G. Contributor banks will provide their rates to the Designated Distributor between 1100hrs and 1110hrs, London time.

The Designated Distributor will endeavour to identify and arrange for the correction of errors in rates input by individual contributor banks prior to 1130.

The Designated Distributor will publish the bbalibor rates and individual contributor banks rates at or around 1130hrs London time.

Remaining manifest errors may be corrected over the next 30 minutes. The Designated Distributor then will make any necessary adjustments to the average rate and publish it as the bbalibor calculation at 1200hrs.