QuoteOriginally posted by: cemil================ ICE LIBOR* FIXING Interest Settlement Rates ========================= The definition of LIBOR was further refined during 1998 as part of a review of the LIBOR Fixing process by the British Bankers Association (BBA). The following definition came into effect on 01 October 1998: The ICE LIBOR* fixing is based upon rates supplied by ICE LIBOR Contributor Panel Banks. An individual ICE LIBOR Contributor Bank contribute the rates at which it could borrow funds, were it to do so by asking for and then accepting inter-bank offers in reasonable market size, just prior to 1100hrs. Contributor rates are ranked in order and the middle two quartiles averaged arithmetically. Such average rate will be the ICE LIBOR Fixing for that particular currency, maturity and fixing date. Basis: GBP is calculated on a 365-day basis USD, CHF, EUR, JPY is calculated on a 360-day basis Value Dates: The value date for the GBP ICE LIBOR fixing is the date on which the rate was actually fixed. EUR is 2 Target open days after the fixing and on all other currencies the value date is 2 London business days after the fixing. Further information on the ICE LIBOR fixing process is available on ICE's website: www.theice.com/iba.jhtml
*Formerly known as BBA LIBORNB: 1. there is no relation between rates and ccy. 2. you can see the list of panel banksWhat exactly do you mean by "NB: 1. there is no relation between rates and ccy"? Superficially, it makes no sense at all, but there may be some sort of subtle meaning that I am missing.