倫敦銀行同業拆放利率

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出自 MBA智库百科(https://wiki.mbalib.com/)

(重定向自LIBOR)

  倫敦銀行同業拆放利率London Inter bank Offered RateLIBOR)已成為全球貸款方及債券發行人的普遍參考利率,是目前國際間最重要和最常用的市場利率基準。

  倫敦銀行同業拆放利率是英國銀行家協會根據其選定的銀行在倫敦市場報出的銀行同業拆借利率,進行取樣並平均計算成為基準利率。是倫敦金融市場上銀行之間相互拆放英鎊歐洲美元及其它歐洲貨幣資金時計息用的一種利率。倫敦銀行同業拆放利率是由倫敦金融市場上一些報價銀行在每個工作日11時向外報出的。該利率一般分為兩個利率,即貸款利率和存款利率,兩者之間的差額為銀行利潤。通常,報出的利率為隔夜(兩個工作日)、7天、1個月、3個月、6個月和1年期的,超過一年以上的長期利率,則視對方的資信、信貸的金額和期限等情況另定。

  目前,在倫敦金融市場上,有資力對外報價的銀行僅限於那些本身具有一定的資金吞吐能力,又能代客戶吸存及貸放資金的英國大清算銀行、大商業銀行、海外銀行及一些外國銀行。這些銀行被稱作參考銀行。由於競爭比較充分,各銀行報出的價格基本沒有什麼差異。

  參與倫敦金融市場借貸活動的其它銀行和金融機構,均以這些報價銀行的利率為基礎,確定自己的利率。倫敦銀行同業拆放利率作為倫敦金融市場上借貸活動的基礎利率,初始於60年代初,隨著倫敦金融領域里銀行同業之間的相互拆放短期資金活動增多,倫敦同業英鎊拆放市場開始取代貼現市場,成為倫敦銀行界融資的主要場所,倫敦銀行同業拆放利率成為倫敦金融市場借貸活動中計算利息的主要依據。以後,隨著歐洲美元市場和其它歐洲貨幣市場的建立,國際銀團辛迪加貸款及各種票據市場的發展,倫敦銀行同業拆放利率在國際信貸業務中廣泛使用,成為國際金融市場上的關鍵利率。目前,許多國家和地區的金融市場及海外金融中心均以此利率為基礎確定自己的利率。

  例如,一筆辛迪加貸款利率確定為倫敦銀行同業拆放利率加上0.75%,如果當時倫敦銀行同業拆放利率為10%,那麼這筆銀行辛迪加貸款的利率便為10.75%


LIBOR的報價信息可以在英國銀行家協會的網站(www.bba.org.uk)查詢。

目錄

London Interbank Offered Rate

The London Interbank Offered Rate (or LIBOR, pronounced /ˈlaɪbɔr/) 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.

倫敦銀行同業拆放利率 (簡稱LIBOR)是基於銀行在倫敦批發貨幣市場(或稱銀行同業拆放市場)向他行貸出無擔保貸款所報利率的日常參考利率。此外,倫敦銀行同業拆借利率(LIBID)是指銀行預期借入同業拆放貸款的利率。通常,倫敦銀行同業拆放利率略高於倫敦銀行同業拆借利率。

Scope

LIBOR rates are widely used as a reference rate for financial instruments such as: 倫敦銀行同業拆借利率被廣泛用來作為參考利率的金融工具,如下:

  • forward rate agreements遠期利率協議
  • short-term interest rate futures contracts 短期利率期貨合約  
  • interest rate swaps利率互換
  • floating rate notes浮動利率債券
  • syndicated loans銀團貸款
  • variable rate mortgages浮動利率抵押貸款
  • currencies, especially the US dollar (see also Eurodollar).貨幣通貨,特別是美元(另見歐元)

They thus provide the basis for some of the world's most liquid and active interest rate markets.因此,它們提供了世界上最具流動性和利率市場活躍的一些基礎。


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. 然而對於歐元,通常的參考利率是由歐洲銀行聯合會編製的銀行同業拆借利率。歐元倫敦銀行同業拆借利率確實存在,但這要追溯到前歐洲貨幣聯盟時代出於連續性目的而進行的互換。

Technical features

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

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

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

  伦敦银行同业拆放利率(London Inter bank Offered Rate,LIBOR)

  2. Historical Chart
1 Year LIBOR
Month19981999200020012002200320042005200620072008
Jan5.774%5.108%6.659%5.284%2.420%1.477%1.4607%3.2710%4.9412%5.4414%4.22375%
Feb5.836%5.405%6.760%4.925%2.496%1.368%1.3645%3.5114%5.1526%5.3328%2.84938%
Mar5.914%5.307%6.970%4.670%3.006%1.340%1.3401%3.8420%5.2476%5.2009%2.70875%
Apr6.024%5.303%6.964%4.330%2.613%1.362%1.8082%3.7101%5.4217%5.2967%2.48625%
May5.930%5.503%7.453%4.259%2.634%1.2214%2.0764%3.7789%5.4139%5.3885%
Jun5.940%5.803%7.214%4.055%2.251%1.2014%2.4682%3.8632%5.7660%5.4048%
Jul5.897%5.836%7.047%3.835%2.070%1.2789%2.4632%4.1745%5.5910%5.42563%
Aug5.648%6.023%6.978%3.600%1.943%1.4714%2.3001%4.3123%5.4501%5.24500%
Sep5.186%6.053%6.811%2.650%1.813%1.2857%2.4445%4.4067%5.2985%5.27500%
Oct4.865%6.313%6.725%2.311%1.664%1.4551%2.5289%4.6765%5.3348%4.90125%
Nov5.244%6.261%6.618%2.492%1.705%1.4867%2.9607%4.7379%5.2439%4.63750%
Dec5.213%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

  伦敦银行同业拆放利率(London Inter bank Offered Rate,LIBOR)

  2.Historical Chart
6 Month LIBOR
Month19981999200020012002200320042005200620072008
Jan5.750%5.036%6.238%5.361%1.989%1.353%1.2107%2.9582%4.8126%5.4014%4.59625%
Feb5.782%5.168%6.328%4.955%2.068%1.336%1.1695%3.1495%4.9907%5.3723%3.04125%
Mar5.797%5.083%6.530%4.711%2.332%1.262%1.1595%3.3876%5.1196%5.3212%2.93125%
Apr5.868%5.075%6.614%4.231%2.100%1.290%1.3682%3.4151%5.2879%5.3581%2.61438%
May5.805%5.193%7.064%3.990%2.090%1.2232%1.5789%3.5314%5.3215%5.3844%
Jun5.871%5.633%7.014%3.827%1.948%1.1239%1.9420%3.6914%5.6382%5.3817%
Jul5.822%5.680%6.887%3.694%1.863%1.1507%1.9857%3.9235%5.5473%5.38625%
Aug5.692%5.913%6.831%3.479%1.815%1.2098%1.9907%4.0817%5.4501%5.32688%
Sep5.359%5.974%6.761%2.532%1.751%1.1795%2.1695%4.2154%5.3704%5.53500%
Oct5.131%6.144%6.721%2.173%1.618%1.2207%2.3007%4.4467%5.3898%5.13250%
Nov5.280%6.063%6.678%2.101%1.471%1.2295%2.6239%4.5795%5.3495%4.80625%
Dec5.172%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

  伦敦银行同业拆放利率(London Inter bank Offered Rate,LIBOR)

  2.Historical Chart
3 Month LIBOR
Month19981999200020012002200320042005200620072008
Jan5.758%5.032%6.049%5.518%1.862%1.348%1.1320%2.7439%4.6795%5.3601%4.70250%
Feb5.782%5.065%6.104%5.103%1.920%1.336%1.1201%2.9101%4.8192%5.3598%3.11188%
Mar5.758%5.009%6.289%4.877%2.031%1.288%1.1107%3.0995%4.9898%5.3479%3.05750%
Apr5.766%4.993%6.393%4.312%1.913%1.308%1.1764%3.2107%5.1479%5.3555%2.68813%
May5.735%5.053%6.838%3.999%1.896%1.2782%1.3082%3.3292%5.2335%5.3595%
Jun5.785%5.355%6.778%3.791%1.860%1.1164%1.6039%3.5045%5.5085%5.3593%
Jul5.758%5.320%6.715%3.677%1.823%1.1176%1.6945%3.6948%5.4889%5.36000%
Aug5.713%5.505%6.684%3.487%1.816%1.1420%1.7901%3.8720%5.4014%5.35866%
Sep5.422%6.083%6.816%2.597%1.806%1.1598%2.0054%4.0055%5.3725%5.62125%
Oct5.351%6.218%6.755%2.232%1.702%1.1657%2.1582%4.2523%5.3729%5.22875%
Nov5.377%6.122%6.735%2.080%1.432%1.1701%2.4026%4.4139%5.3685%4.89375%
Dec5.172%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
伦敦银行同业拆放利率(London Inter bank Offered Rate,LIBOR)
  2.Historical Chart
1 Month LIBOR
Month19981999200020012002200320042005200620072008
Jan5.704%4.946%5.856%5.622%1.829%1.339%1.0982%2.5892%4.5720%5.3201%4.60000%
Feb5.789%5.003%5.907%5.278%1.883%1.334%1.0973%2.6895%4.6310%5.3214%3.14375%
Mar5.719%4.940%6.133%5.078%1.880%1.306%1.0914%2.8582%4.8260%5.3195%3.11063%
Apr5.688%4.902%6.197%4.435%1.842%1.318%1.1007%3.0826%5.0245%5.3201%2.70300%
May5.696%4.930%6.641%4.059%1.844%1.3189%1.1089%3.1126%5.1071%5.3210%
Jun5.748%5.223%6.649%3.835%1.836%1.1232%1.3582%3.3401%5.3451%5.3195%
Jul5.696%5.178%6.625%3.760%1.818%1.1036%1.4929%3.5107%5.4045%5.32000%
Aug5.727%5.370%6.628%3.584%1.820%1.1170%1.6482%3.6942%5.3314%5.32000%
Sep5.400%5.396%6.620%2.637%1.819%1.1214%1.8401%3.8584%5.3229%5.72000%
Oct5.277%5.410%6.621%2.321%1.741%1.1201%1.9870%4.0882%5.3198%5.12375%
Nov5.048%6.503%6.827%2.145%1.380%1.1157%2.2826%4.2954%5.3479%4.70625%
Dec5.118%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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提示:評論內容為網友針對條目"倫敦銀行同業拆放利率"展開的討論,與本站觀點立場無關。
123.151.80.* 在 2008年4月29日 22:42 發表

請問,怎樣才能查到每個時期的倫敦銀行同業拆放利率。謝謝!

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Angle Roh (討論 | 貢獻) 在 2008年4月30日 10:13 發表

123.151.80.* 在 2008年4月29日 22:42 發表

請問,怎樣才能查到每個時期的倫敦銀行同業拆放利率。謝謝!

關於倫敦銀行同業拆放利率已補充。MBA智庫百科是基於眾網友共同貢獻的,歡迎您一起參與!

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99.8.86.* 在 2010年4月4日 03:44 發表

123.151.80.* 在 2008年4月29日 22:42 發表

請問,怎樣才能查到每個時期的倫敦銀行同業拆放利率。謝謝!

www.bba.org.uk 在這上面可以查到即時的

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77.99.47.* 在 2010年5月24日 04:12 發表

thanx

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Paolo (討論 | 貢獻) 在 2012年7月13日 18:53 發表

為什麼不翻譯成同業拆借率啊

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