Immediately prior to 31 December 2021, LIBOR was calculated for five currencies (USD, GBP, EUR, CHF and JPY) and for seven tenors in respect of each currency (Overnight/Spot Next, One Week, One Month, Two Months, Three Months, Six Months and 12 Months), resulting in the publication of 35 individual rates each applicable London business day.

LIBOR is in the process of being wound down.

Settings which ceased after 31 December 2021
Publication of all CHF and EUR LIBOR settings, the 1 Week and 2 Months USD LIBOR settings, and the Overnight/Spot Next, 1 Week, 2 Months and 12 Months GBP and JPY LIBOR settings ceased after 31 December 20211.

USD Settings which continued after 31 December 2021
Publication of the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings currently continues using panel bank contributions under the “panel bank” LIBOR methodology. IBA expects to continue to determine and publish these settings on this basis until 30 June 20232, at which point panel banks will stop contributing and the Overnight and 12-Months USD LIBOR settings will cease3.

Further to its November Consultation, the FCA has decided to use its powers under the UK Benchmarks Regulation (the “BMR”) to designate the 1-, 3- and 6-Months USD LIBOR settings as “Article 23A benchmarks” for the purposes of the BMR with effect from 1 July 2023, and to compel IBA to continue to publish these settings under an unrepresentative “synthetic” methodology4 for a temporary period after 30 June 2023. The FCA intends for these settings to cease on 30 September 2024.

GBP and JPY “Synthetic” Settings which continued after 31 December 2021
The FCA designated the 1-, 3- and 6-Months GBP and JPY LIBOR settings as “Article 23A benchmarks” for the purposes of the BMR with effect from 1 January 2022, and compelled IBA to publish these settings, initially for the duration of 2022, under an unrepresentative "synthetic" methodology4.

The FCA has decided to continue to compel IBA to continue to publish the "synthetic" 3-Month GBP LIBOR setting for the duration of 2023, and intends to require IBA to continue to publish this setting until 28 March 2024, after which it will cease.

Publication of the 1- and 6-Months “synthetic” GBP LIBOR settings ceased after 31 March 2023, following an additional period of compelled publication after 30 December 2022. Publication of the 1-, 3- and 6-Months “synthetic” JPY LIBOR settings ceased after 30 December 2022.

1 The FCA announced these cessations on 5 March 2021.

2 The FCA has confirmed that it expects these settings will continue to be published on a representative basis, using panel bank contributions under the “panel bank” LIBOR methodology, until end-June 2023.

3 The FCA also announced these cessations on 5 March 2021.

4 The “synthetic” methodology is not based on panel bank contributions and resulting settings are and will not be representative of the underlying market or economic reality they were intended to measure before designation as “Article 23A benchmarks”, including for the purposes of the BMR.

Using LIBOR

Since 1 January 2022, the FCA has prohibited the new use by UK-supervised entities of the continuing Overnight and 1-, 3-, 6- and 12-Months USD LIBOR settings in regulated financial contracts, instruments and investment fund performance measurement, subject to certain exceptions.

Under the BMR, use of an “Article 23A benchmark” by UK-supervised entities in regulated financial contracts, instruments and investment fund performance measurement is prohibited unless the start date of such prohibition is delayed by the FCA or the FCA permits some or all legacy use. This includes any “synthetic” GBP or “synthetic” USD LIBOR setting. This prohibition will take effect from 1 July 2023 in relation to the “synthetic” USD LIBOR settings and will override the aforementioned exceptions to the prohibition on the new use of USD LIBOR that was imposed by the FCA from 1 January 2022.

The FCA permits all legacy use of “synthetic” 3-Months GBP LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared) (as defined in the FCA’s BMR Article 23C notice), and has decided to permit all legacy use of “synthetic” 1-, 3- and 6-Months USD LIBOR in the same circumstances.

The use of LIBOR in jurisdictions outside the United Kingdom and by entities subject to the oversight of other regulatory authorities may be restricted or prohibited by law in those jurisdictions and by the requirements of such regulatory authorities.

“Synthetic” LIBOR under the BMR

The FCA published the modifications it has made to the BMR from 1 January 2022 as it applies to “synthetic” 3-Months GBP LIBOR5, having regard to the effects of its designation as an “Article 23A benchmark” and the imposition of its changes to the methodology for these settings.

5 And as it applied to “synthetic” 1- and 6-Months GBP LIBOR and “synthetic” 1-, 3- and 6-Months JPY LIBOR.

Please also read ICE Benchmark Administration’s (IBA) benchmark and other information notice and disclaimer.

Please also see the FCA’s LIBOR transition website for further information regarding LIBOR transition.

The material and information located on this website is provided for informational purposes only and is not intended to be and should not be relied upon as legal, financial or any other form of advice regarding your use of LIBOR. Please ensure you take legal and financial advice in all relevant jurisdictions to ensure you understand the impact of the cessation or unrepresentativeness of any LIBOR settings on you and your counterparties, and to ensure you understand the implications of the exercise of the FCA’s powers under the BMR.

The “Panel Bank” LIBOR Methodology (for continuing USD LIBOR settings until 30 June 2023 only)

IBA currently publishes only the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings using panel bank contributions under the “panel bank” LIBOR calculation methodology. The “panel bank” LIBOR calculation methodology is designed to produce an average rate that is representative of the rates at which large, leading, internationally active banks with access to the wholesale, unsecured funding market could fund themselves in that market in USD for the relevant tenors.

Note that IBA expects to continue to determine and publish the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings under the “panel bank” LIBOR calculation methodology until 30 June 2023, at which point panel banks will stop contributing and the Overnight and 12-Months USD LIBOR settings will cease. Further to its November Consultation, the FCA has decided to use its powers under the BMR to compel IBA to continue to publish the 1-, 3- and 6-month USD LIBOR settings under an unrepresentative “synthetic” methodology for a temporary period after 30 June 2023, and intends for these settings to cease on 30 September 2024.

Pursuant to the USD LIBOR Output Statement, each continuing USD LIBOR setting up to 30 June 2023 is and will be based on contributions from a panel of large, leading, internationally active banks with access to the wholesale, unsecured funding market for USD. These contributions are determined through the use of a standardised, transaction data-driven submission waterfall introduced by IBA. This submission waterfall is designed to produce a rate that is anchored in panel banks’ wholesale, unsecured funding transactions to the greatest extent possible, and to enable a rate to be published in all market circumstances. The submission waterfall has been used since March 2019.

The panel for USD LIBOR is currently composed of 15 panel banks with reference to the USD LIBOR Contributor Bank Criteria, which are designed so that the contributed input data is able to produce a rate that is representative of the underlying market or economic reality the setting is intended to measure. Each panel bank currently contributes input data for all five continuing USD LIBOR tenors.

USD LIBOR is currently calculated in accordance with the USD LIBOR Calculation Methodology using panel bank contributions made in accordance with the USD LIBOR Code of Conduct. The published rate in respect of each tenor is calculated as the arithmetic mean of each panel bank’s contribution in respect of that tenor (after trimming values from the upper and lower quartiles), rounded to five decimal places. Each panel bank's contribution carries an equal weight in the calculation, subject to the trimming.

If IBA receives fewer than the expected number of contributions, the USD LIBOR Reduced Submissions Policy will apply.

IBA and the LIBOR Oversight Committee regularly review the LIBOR Calculation Methodology together with the LIBOR Waterfall Submission Methodology and input data to ensure the benchmark remains representative.

Current USD LIBOR Panel Banks

The “Synthetic” LIBOR Methodology

The FCA is compelling IBA to continue to publish the 3-Months GBP LIBOR setting as an "Article 23A benchmark". This setting is determined under an unrepresentative "Synthetic" methodology imposed by the FCA, which is not based on panel bank contributions and is not representative of the underlying market or economic reality the setting was intended to measure before designation as an Article 23A benchmark, including for the purposes of the BMR.

The FCA has decided to continue to compel IBA to publish the 3-Months “synthetic” GBP LIBOR setting for the duration of 2023, and intends to require IBA to continue to publish this setting until 28 March 2024, after which it will cease.

See the below table setting out a summary of the 3-Months “synthetic” GBP LIBOR calculation. Please see the FCA's Article 23D notice for full details of the changes the FCA has imposed on IBA regarding the way that the “synthetic” 3-Months GBP LIBOR setting is calculated.

IBA maintains an oversight committee for LIBOR (for both “panel bank” and “synthetic” LIBOR settings), which has responsibilities under the BMR to oversee the provision of the benchmark.

The committee has broad market representation, being comprised of panel banks, benchmark users, market infrastructure providers, independent non-executive directors of IBA, and other relevant experts. A representative from the Board of Governors of the Federal Reserve System also sits on the committee as an observer.

Oversight Committee Meeting Public Minutes

LIBOR is normally published at 11:55 am London time on each London business day, except for London public holidays, for all applicable currencies and tenors, except as described below.

Where an otherwise valid publication day is a designated public holiday in the US, there is no publication in the USD LIBOR Overnight tenor only. All other currently continuing USD tenors are published as normal (this concerns only USD LIBOR).

The FCA requires IBA to publish each “synthetic” 3-Months GBP LIBOR setting at or around 11:55 am London time on each applicable London business day, except for London public holidays.

The LIBOR Holiday Calendar sets out the relevant London and US public holidays for each LIBOR currency and tenor.