The Wheatley Review of LIBOR

Abstract: This paper provides a salient review of suggestions by the Wheatley review, an assessment of the reforms recommended in the report in terms of making the setting of LIBOR more trustworthy and an assessment of how well the reforms deal with ethical issues in the setting of LIBOR rates.


I.          Introduction

             The London Inter-Bank Offered Rate (LIBOR) is the most frequently utilized benchmark for interest rates globally.[1]  Although estimates vary, LIBOR is referenced by contracts with an outstanding value of at least $300 trillion.[2]  LIBOR was established in the 1980s as a fair and standardized interest rate benchmark for loans.[3]  The benchmark is an indication of the costs of unsecured borrowing in the London inter-bank markets, which in essence gauges the interest rate, credit premium, and liquidity premium that a lending bank would expect to be offered by another similar institution.[4]

LIBOR is currently calculated by Thomson Reuters on behalf of the British Bankers’ Association (BBA).[5]  LIBOR is currently calculated across ten currencies and fifteen tenors (borrowing periods).[6]  Contributing banks are asked to submit a response to the following question for each currency and tenor:  “At what rate could you borrow funds, were you to do so by asking for and then…

[1]           The Wheatley Review of LIBOR: Final Report, at 75 (Sept. 2012), available at

[2]           Id. at 75–76 (pointing out that estimates range from $300-800 trillion).

[3]           Id. at 75.

[4]           Id.

[5]           Id. at 76.

[6]           Id. at 5.