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Home > QFINANCE Dictionary > Definition of LIBOR

Definition of

LIBOR

Markets abbr

UK rate for bank's offering to take deposits London Interbank Offered Rate: on the UK money markets, the rate at which banks will offer to make deposits in Eurocurrency from each other, often used as a reference rate. The deposits are for terms from overnight up to five years.

LIBOR - Related Articles
  • Swap Valuation

    Calculations

    payments from the seller, which are usually based on a fixed rate, such as LIBOR. The swap valuation is the price that each party assigns to the components of the swap, and dictates the level of payments made by the buyer of the swap.

  • Investing in Structured Finance Products in the Debt Money Markets

    Best Practice

    A TRS has similarities to an interest rate swap in that it consists of two payment legs, one the “total return” and the other an interest payment linked to Libor. As a credit derivative, a TRS enables a market participant to access the total return on an asset such as a bond without actually buying
    By Moorad Choudhry

  • Scenario Analysis

    Calculations

    Time (months)1-month LIBOR3-month LIBOR6-month LIBOR12-month LIBORCOFI03.113.793.844.003.5462.112.793.844.003.54122.112.793.844.003.54182.112.793.844.003.54242.112.793.844.003.54

  • Hedging Interest Rate Risk—Case Study and Strategies

    Checklists

    A company enters into a vanilla interest rate swap with a bank to reduce the risk from fluctuations on a $10 million loan it has taken out on a floating rate. The bank agrees to a fixed rate of, for example, 6% over five years, while the floating rates are based on the six-monthly Libor (London

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Definitions of ’LIBOR’ and meaning of ’LIBOR’ are from the book publication, QFINANCE – The Ultimate Resource, © 2009 Bloomsbury Information Ltd. Find definitions for ’LIBOR’ and other financial terms with our online QFINANCE Financial Dictionary.

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