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Scrutiny

For each data point or series there is a proposal for acceptable tolerances. If these tolerances are exceeded, the contributor will be queried via telephone by the rate setting team at Thomson Reuters (the Designated Distributor of bbalibor) and if there is no satisfactory explanation given, this will be brought to the attention of the BBA LIBOR Secretariat.

Data to be collected

Examples of events that would trigger a query from Thomson Reuters to a bbalibor contributor bank are:

- Submissions more than 2 standard deviations from the bbalibor calculation for that currency and maturity on that particular day.

- Submissions that move the contributor's rate from above to below the calculated bbalibor rate - or vice versa - vs. the previous day

- Submissions that are more than 5bp higher or lower than the previous day submission, unless the majority of the rest of the bank panel have also moved more than 5bp in the same direction. In this latter case, Thomson Reuters and the bbalibor manager should investigate.

A call to a contributor to query a rate is a request for confirmation only and does not provide any indication to where other bank contributions are setting on that particular day.

Audit

Contributors undertake to have their internal processes for submitting rates audited as part of their firm’s annual compliance procedures and provide written confirmation to the LPBAUG that this audit has been completed. 

Analysis of data

Day to day monitoring of internal consistency of submissions will be carried out by the rate setting team at Thomson Reuters.

If a submitted rate triggers a query before the bbalibor release, Thomson Reuters will immediately contact the bank in question and ask them to confirm their rate.  Contributions identified as being anomalous are usually the result of an error that is quickly rectified. If, in the view of the bbalibor manager, a bank’s submitted rate is aberrant or the bank’s explanation for their submission is unsatisfactory, the bbalibor manager will inform the LPBAUG, who may refer the matter to the Fixings sub-committee who will meet to consider the issue.

The BBA LIBOR Secretariat will update attendees at each meeting of the LPBAUG with regards to the discussions that have taken place at any Fixings sub-committee meeting, and will inform them of any action taken. Details of these discussions are available to LPBAUG members and authorities, but are otherwise kept confidential.  

As part of the required procedures for contributors, all contributors agree that:       

- The BBA LIBOR Secretariat will visit all contributors regularly - at a minimum of once a year - in order to discuss the bbalibor process and get a contributor’s views on market conditions and address any areas of concern.  These comments will be fed back to the LPBAUG.

- The BBA LIBOR Secretariat may visit a contributor’s office on an ad hoc basis to discuss their rate submissions with named contributors if their submissions are queried. These discussions may involve a request for the bank to provide evidence to support their quotes.  Any such evidence which includes sensitive information will be held in absolute confidence by the BBA LIBOR Secretariat and will not be shared with the LPBAUG.

Input from market

As bbalibor is used by participants from a wide cross section of the market, it is appropriate that all participants should be allowed to comment on bbalibor rates, as well as including a number of market users on the LIBOR Panel Banks and Users Group. The BBA has a secure page which will enable interested parties to comment on rates.  Please visit the Contact Us section of the bbalibor website for more information.

 
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