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BBA Libor panels

1 Dec 2011

At their recent meeting, the independent Foreign Exchange and Money Markets Committee that oversees BBA LIBOR undertook a full review of all BBA LIBOR panels.

This is a scheduled event that currently takes place twice annually. Prior to May 2009, reviews were annual, but in response to market consultation the reviews were moved to a bi-annual basis. The next scheduled review of all panels will take place in spring 2012.

Contributor panel banks are selected by the Foreign Exchange and Money Markets committee on the basis of scale of activity in the London market and perceived expertise in the currency concerned, with due consideration given to credit standing. "London market" means any transaction carried out from London, with a London counterparty, or via a London intermediary.

Any bank may apply to join any LIBOR contributor panel and the committee invite applications from all banks.  Banks signal their willingness to join a panel by submitting data regarding their activity in the cash and FX swap markets in confidence to the BBA.  The LIBOR Director at the BBA compiles this data into a review which is presented to the committee at their meetings.  For more information on this, please contact libor@bba.org.uk

Following the full review of all constituents, the Committee announce that with effect from 5 December 2011 the panels will be constituted as described below.

Australian Dollar (AUD): 7 Banks
Barclays Bank plc
Commonwealth Bank of Australia
Deutsche Bank AG
HSBC
JP Morgan
Lloyds Banking Group
The Royal Bank of Scotland Group

The calculation methodology for this panel will be to rank contributions, remove the highest and lowest quotes and average the middle 5.

Canadian Dollar (CAD): 11 Banks
Bank of Nova Scotia
Bank of Montreal
Barclays Bank plc
Canadian Imperial Bank of Commerce
Deutsche Bank AG
HSBC
Lloyds Banking Group
Rabobank
Royal Bank of Canada
Société Générale
The Royal Bank of Scotland Group

The calculation methodology for this panel will be to rank contributions, remove the highest 3 and lowest 3 quotes and average the middle 5.

Danish Krone (DKK): 7 Banks
Barclays Bank plc
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Rabobank
The Royal Bank of Scotland Group

The calculation methodology for this panel will be to rank contributions, remove the highest and lowest quotes and average the middle 5.

Euro (EUR): 15 Banks
Abbey National
Bank of Tokyo-Mitsubishi UFJ Ltd
Barclays Bank plc
Citibank NA
Credit Suisse
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Mizuho
Rabobank
Royal Bank of Canada
Société Générale
The Royal Bank of Scotland Group
UBS AG

The calculation methodology for this panel will be to rank contributions, remove the highest 4 and lowest 4 quotes and average the middle 7.

Japanese Yen (JPY): 15 Banks
Bank of Tokyo-Mitsubishi UFJ Ltd
Barclays Bank plc
Citibank NA
Credit Agricole Corporate Investment Bank
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Mizuho Corporate Bank
Rabobank
Société Générale
Sumitomo Mitsui Banking Corporation Europe Ltd (SMBCE)
The Norinchukin Bank
The Royal Bank of Scotland Group
UBS AG

The calculation methodology for this panel will be to rank contributions, remove the highest 4 and lowest 4 quotes and average the middle 7.

New Zealand Dollar (NZD): 7 Banks
Barclays Bank plc
Commonwealth Bank of Australia
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
The Royal Bank of Scotland Group

The calculation methodology for this panel will be to rank contributions, remove the highest and lowest quotes and average the middle 5.

Sterling (GBP): 16 Banks
Abbey National plc
Bank of Tokyo-Mitsubishi UFJ Ltd
BNP Paribas
Barclays Bank plc
Citibank NA
Credit Agricole Corporate Investment Bank
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Mizuho
Rabobank
Royal Bank of Canada
The Royal Bank of Scotland Group
Société Générale
UBS AG
There has been no change to this panel.

Swedish Krona (SEK): 7 Banks
Barclays Bank
Deutsche Bank
HSBC
JP Morgan Chase
Lloyds Banking Group
Rabobank
The Royal Bank of Scotland Group

The calculation methodology for this panel will be to rank contributions, remove the highest and lowest quotes and average the middle 5.

Swiss Franc (CHF): 12 Banks
Bank of Tokyo-Mitsubishi UFJ Ltd
Barclays Bank plc
Citibank NA
Credit Suisse
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Rabobank
Société Générale
The Royal Bank of Scotland Group
UBS AG
There has been no change to this panel.

US Dollar (USD): 18 Banks
Bank of America
Bank of Tokyo-Mitsubishi UFJ Ltd
Barclays Bank plc
BNP Paribas
Citibank NA
Credit Agricole CIB
Credit Suisse
Deutsche Bank AG
HSBC
JP Morgan Chase
Lloyds Banking Group
Rabobank
Royal Bank of Canada
Société Générale
Sumitomo Mitsui Banking Corporation Europe Ltd (SMBCE)
The Norinchukin Bank
The Royal Bank of Scotland Group
UBS AG

The calculation methodology for this panel will be to rank contributions, remove the highest 4 and lowest 4 quotes and average the middle 10.

Notes to editors

Decisions on individual banks were taken on the basis of scale of activity in the London market, perceived expertise in the currency concerned, reputation, and due consideration of credit standing. Current and potential panel members were asked to provide data confidentially to the BBA about their cash and short-term FX swap business in each currency in order to measure their scale of activity.

Any bank may apply to join any LIBOR contributor panel.  Banks signal their willingness to join a panel by submitting data regarding their activity in the cash and FX swap markets in confidence to the BBA.  The LIBOR Director at the BBA compiles this data into a review which is presented to the committee at their meetings.  For more information on this, please contact libor@bba.org.uk.

The decisions represent the composite judgment of the independent Foreign Exchange and Money Markets Committee and the BBA and the Foreign Exchange and Money Markets Committee are not able to comment on any individual Panel or bank.

The Foreign Exchange and Money Markets Committee is committed to reviewing the Panels at least twice annually.

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