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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

  1. U.S. Dollar (USD)
  2. British Pound Sterling (GBP)
  3. Euro (EUR)
  4. Swiss Franc (CHF)
  5. Japanese Yen (JPY)

Inactive

  1. Australian dollar (AUD)
  2. Canadian dollar (CAD)
  3. New Zealand dollar (NZD)
  4. Danish krone (DKK)
  5. Swedish krona (SEK)

I'd appreciate if anyone knows this with a cited source. Thanks!

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1 Answer 1

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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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    $\begingroup$ Also worth pointing out: not all currencies had all tenors of LIBOR quoted. Some (like USD) had overnight, 1-week, 2-week, and monthly from 1-month to 12-month LIBOR quote -- while currencies like ESP did not have all these tenors quoted. Over time, the number of tenors quoted declined for many currencies. Now, the remaining tenors quoted are mostly those active in swaps: 1M for basket swaps, 3M for index swaps, and 6M+1Y for interest rate swaps. Why does tenor matter? Because you don't have a LIBOR quote without a currency and a tenor. $\endgroup$
    – kurtosis
    Jul 30, 2020 at 3:20
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    $\begingroup$ Less related but maybe worth mentioning: many markets had more active interbank markets outside of LIBOR. Japan is a classic example: more swaps were done to TIBOR than to JPY LIBOR, hence the more active futures markets in TIBOR Euroyen instead of LIBOR Euroyen (which are now delisted). $\endgroup$
    – kurtosis
    Jul 30, 2020 at 3:27
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    $\begingroup$ Yes; similarly Euribor (European Money Markets Institute) is more widely used than EUR LIBOR. $\endgroup$
    – Dimitri Vulis
    Jul 30, 2020 at 7:42

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