Currencies Historically Included in LIBOR
Summary
The document answers which currencies LIBOR covered over time. It notes the original set of U.S. dollars, British pounds, and Deutsche marks, then identifies five currencies discontinued in a 2013 reform: New Zealand dollars, Danish kroner, Swedish kronor, Australian dollars, and Canadian dollars. It also lists the five currencies that remained after that reform: U.S. dollars, British pounds, euros, Swiss francs, and Japanese yen.
For currencies that had LIBOR before the euro replaced several national currencies, the answer names the Deutsche mark, Portuguese escudo, European Currency Unit, Italian lira, Spanish peseta, French franc, and Dutch guilder. The response points to a paper as support for the discontinued currencies and its exhibit for further detail, but the paper itself is not reproduced here. The list is therefore a concise historical answer rather than a full account of LIBOR rate tenors, publication conventions, or the benchmark's later transition.
Key ideas
- LIBOR began with U.S. dollar, British pound, and Deutsche mark rates.
- A 2013 reform ended publication for five less-traded currencies.
- The post-reform set comprised dollars, pounds, euros, Swiss francs, and yen.
- Several national currencies that later joined the euro had previously had LIBOR rates.
Tags
Full text
# What currencies has LIBOR historically been offered in? # What currencies has LIBOR historically been offered in? The Wikipedia article on LIBOR says: > In 1986, the Libor initially fixed rates for three currencies. These were the US dollar, British pound sterling and the Deutsche Mark. Over time this grew to sixteen currencies. After a number of these currencies in 2000 merged into the euro, there remained ten currencies. Following reforms of 2013 Libor rates are calculated for 5 currencies. What are all the currencies that LIBOR was historically offered in? I have only found these ten, five of which are active: Active - U.S. Dollar (USD) - British Pound Sterling (GBP) - Euro (EUR) - Swiss Franc (CHF) - Japanese Yen (JPY) Inactive - Australian dollar (AUD) - Canadian dollar (CAD) - New Zealand dollar (NZD) - Danish krone (DKK) - Swedish krona (SEK) I'd appreciate if anyone knows this with a cited source. Thanks! ## Answer by Dimitri Vulis (score 1) https://quant.stackexchange.com/a/55994 Perhaps you can cite this paper: > As of September 2013.. . Five less frequently traded currencies have been discontinued (NZD, DKK, SEK, AUD, CAD).. The total number of currency-maturity fixing pairs has been reduced from 150 to 35.. see also "Exhibit A" on page 2. The 7 pre-EUR currencies that had LIBOR published were Deutsche mark (DEM), Portuguese Escudos (PTE), the ECU, Italian lira (ITL), Spanish Pesos (ESP), French Francs (FRF), and Dutch Guilder (NLG).
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.