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LIBOR rates

Page history last edited by Anneli Sarkanen 5 years, 10 months ago

LIBOR (London Inter-Bank Offered Rate)

(incorporating comments...)

ICE LIBOR (formerly known as BBA LIBOR) is a widely used benchmark for short-term interest rates, providing an indication of the average rates at which LIBOR panel banks could obtain wholesale, unsecured funding for set periods in particular currencies.

Historical daily rates are available on the ICE website (single day) without registration: https://www.theice.com/iba/historical-data
Historical multiple days require registration: https://www.theice.com/marketdata/reports/221

Further sources:

ICEAW produce some alternative sources for the LIBOR on their Knowledge Guide to Base Rates webpage.
Comprehensive range of rates from the FT.com from January 2008 (https://markets.ft.com/data/archive ). Use the Filters to narrow down to Category: Bonds & Rates, Report type: Markets Interest Summary. You can select the date range you need. You can then click on the date you want and this brings up a PDF with the various LIBOR rates for that day.
Thomson Reuters produced an article in 2012 (the link is to the Wayback Machine version as original link no longer appears to work) on TR's role in the calculation of LIBOR. It also has a link to the daily LIBOR (after 5pm) and LIBOR tables from 2005-2010 and broken down by the individual banks' rates which are on the LIBOR panel.
Useful table of monthly averages for the 3-month US dollar LIBOR (1999-) provided by the London Maritime Arbitrators Association at: http://www.lmaa.london/interest-rates-us-libor.aspx
MoneyFacts (journal) gives past 5 years LIBOR sourced from FT closing rate on last day of month.
various LIBOR rates on Mortgage X: http://mortgage-x.com/general/indexes/
8 month comprehensive archive on This is Money; http://www.thisismoney.co.uk/libor
Wall Street Journal provide the LIBOR rates (historical) day by day: http://www.wsj.com/mdc/public/page/2_3020-libor.html
Global-Rates.com provides LIBOR rates and charts: http://www.global-rates.com/interest-rates/libor/american-dollar/american-dollar.aspx
It could be possible to get the data from your firm's bank (via Accounts/Finance dept)
Premium subscription services: Bloomberg and Thomson Datastream