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LIBOR

The former benchmark rate for short-term interbank loans in London, phased out in 2023 and replaced by SOFR due to manipulation scandals.

What is LIBOR?

Calculated daily by ICE from submissions by 11-18 panel banks for five currencies and seven tenors (e.g., 3-month USD LIBOR at 5.6% peak in 2023), it underpinned $350 trillion in contracts. Introduced in 1969, it was based on estimated borrowing costs, leading to rigging by banks like Barclays, fined $450 million in 2012. Transition involved synthetic LIBOR for legacy contracts until end-2024.

It influenced adjustable-rate mortgages (e.g., adding 200 bps margin) and derivatives, with $200 trillion in swaps. During 2008, LIBOR-OIS spread widened to 364 bps, signaling credit stress. Post-phaseout, $5 trillion in legacy USD contracts use CME Term SOFR plus 11.448 bps spread.

In 2025, LIBOR is defunct, with regulators prohibiting new use since 2021.

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