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Quantitative Finance · Glossary

What is Interbank offered rate?

Definition 1.12 Markets II: Rates, FX and Credit · Chapter 1 — Central Banks and the Short Rate

An interbank offered rate (IBOR) is a benchmark for unsecured term borrowing between banks, one to twelve months, computed each day from submissions by a panel of banks of the rates at which they could borrow. LIBOR, for five currencies, was the largest; trillions of loans, bonds and derivatives referenced it.

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