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Changes to the fixing calendar 2011

8 Dec 2010

Please find below a link to a fixing and value date calendar for BBA LIBOR over Easter 2011, which also incorporates the new Bank Holiday announced for 29th April.

The days that BBA LIBOR will not be set are:

  • 22nd April
  • 25th April
  • 29th April*
  • 2nd May*

*On 29th April and 2nd May, BBA EUR LIBOR will fix as this currency follows its own separate calendar, the 'TARGET' calendar set by the European Central Bank.

BBA LIBOR follows the modified following day count convention, for more details please see here http://www.bbalibor.com/technical-aspects/fixing-value-and-maturity

If you have any queries regarding fixing and value dates over this Easter period, please contact libor@bba.org.uk

Below is a matrix showing fix dates and resulting value dates for the period 18th April 2011 to 06th May 2011, inclusive. Dates coloured with blue backgrounds indicate changes from the standard procedure followed for Currency Value dates. Dates with red backgrounds state changes from the standard procedure with additional changes due to local currency holidays for the Currency Value dates.

 
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