ICE

LIBOR®

LIBOR® is a widely-used benchmark for short-term interest rates.

The current LIBOR methodology, which uses input data provided by LIBOR panel banks (Panel Banks), 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 such market in particular currencies for certain tenors.

LIBOR is currently 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). This results in the publication of 35 individual rates (one for each currency and tenor combination) every applicable London business day.

Used globally, LIBOR is often referenced in derivative, bond and loan documentation, and in a range of consumer lending instruments such as mortgages and student loans. It is also used as a gauge of market expectation regarding central bank interest rates, liquidity premiums in the money markets and, during periods of stress, as an indicator of the health of the banking system.

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

Important Information - LIBOR® Cessation and "Synthetic" LIBOR

Please note that, on March 5, 2021, the UK Financial Conduct Authority (FCA) announced that: (i) 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 will cease immediately after December 31, 2021; and (ii) the Overnight, and 12-Months USD LIBOR settings will cease immediately after June 30, 2023.

On September 29, 2021, the FCA announced that, following its recent consultation, it will use its new and enhanced powers to compel IBA to publish the 1 -, 3- and 6-Months GBP and JPY LIBOR settings under a changed “synthetic” methodology, which will no longer be based on panel bank contributions and will no longer be representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the UK Benchmarks Regulation (the “BMR”), for the duration of 2022. The FCA notified IBA that it has designated these six LIBOR settings as “Article 23A benchmarks” for the purposes of the BMR with effect from January 1, 2022 which it must do in order to enable it to require these changes. The FCA also noted that the first non-representative publication of these six “synthetic” LIBOR settings under the changed, unrepresentative, “synthetic” methodology will be on January 4, 2022.

The FCA has also confirmed that it expects that the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings will continue to be published on a representative basis, using panel bank contributions under the current “panel bank” LIBOR methodology, until end-June 2023. The FCA has advised that it will continue to consider the case for using its new legal powers to require IBA to continue the publication of the 1-, 3- and 6-Months USD LIBOR settings beyond June 30, 2023 under a changed, “synthetic”, unrepresentative methodology.

Under the BMR, new use of “Article 23A benchmarks”, including the “synthetic” 1-, 3- and 6-Months GBP and JPY LIBOR settings, by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement will be prohibited. The FCA has published a statement of policy in relation to its power to permit the continued legacy use of Article 23A benchmarks by UK-supervised entities in equivalent circumstances. Following a consultation, on November 16, 2021, the FCA confirmed it will permit all legacy use of 1-, 3- and 6-Months GBP and JPY “synthetic” LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared).

The FCA has also published a statement of policy in relation to its power to prohibit the new use of a critical benchmark the provision of which is to cease. The FCA confirmed on November 16, 2021, following consultation, that from January 1, 2022, it will prohibit the new use by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement of the continuing Overnight and 1-, 3-, 6- and 12-Month USD LIBOR settings, subject to certain exceptions.

The FCA has published the modifications it proposes to make to the BMR as it will apply to the 1-, 3- and 6-Months GBP and JPY “synthetic” LIBOR settings, having regard to the effects of its designations of these six settings as “Article 23A benchmarks” and the imposition of its proposed changes to the methodology for these settings. These modifications are proposed to take effect from January 1, 2022.

Please read the sections below entitled The Future of LIBOR and New FCA Powers to Impose Changes to LIBOR for further information.

Please note, 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 and are prepared for the impact of the cessation or unrepresentativeness of any LIBOR settings on you and your counterparties.

The Future of LIBOR®

Background

In July 2017, the FCA announced its intention that it would no longer be necessary to persuade, or compel, banks to submit to LIBOR after December 31, 2021. Since then, the FCA and other official sector bodies have strongly encouraged market participants to transition from LIBOR to alternative rates1.

IBA has engaged with end-users, banks, the FCA and other official sector bodies regarding the potential for continuing certain widely-used LIBOR settings after December 31, 2021. This has included surveys of banks and end-users of LIBOR to identify the LIBOR settings that are most widely-used and for which users would like to see IBA work to seek an agreement with globally active banks to support publication after year-end 2021. The focus of this engagement has been on seeking to facilitate transition by providing support for users with outstanding LIBOR-linked contracts that are impossible or impractical to modify before year-end 2021 (so-called “tough legacy” contracts).

IBA has been clear throughout its engagement that: (i) any such settings would need to be compliant with relevant regulations (in particular those regarding representativeness); (ii) there was no guarantee that any LIBOR settings would continue to be published after year-end 2021; and (iii) users of LIBOR should not rely on the continued publication of any LIBOR settings when developing transition or fallback plans.

IBA Consultation on Intended LIBOR® Cessation

Following discussions with the FCA and other official sector bodies, and after receiving communications from a majority of LIBOR panel banks that they would not be willing to continue contributing to LIBOR after certain specified dates, IBA considered that it would be unable to publish LIBOR settings on a representative basis after such dates. As a result, on December 4, 2020, IBA published a consultation on its intention to cease the publication of LIBOR.

On March 5, 2021, IBA published a feedback statement for the consultation and announced that, in the absence of sufficient panel bank support and without the intervention of the FCA to compel continued panel bank contributions to LIBOR (which the FCA confirmed it would not do), it would not be possible for IBA to publish the relevant LIBOR settings on a representative basis beyond the intended cessation dates specified for such settings in the consultation (being December 31, 2021 for all LIBOR settings except for the Overnight, 1 Month, 3 Months, 6 Months and 12 Months US dollar settings, for which the date was June 30, 2023)2. As a result of IBA not having access to input data necessary to calculate LIBOR settings on a representative basis beyond the specified intended cessation dates for such settings, IBA stated that it would have to cease the publication of the relevant LIBOR settings immediately following such dates, unless the FCA exercised its anticipated new legal powers under the BMR to require IBA to continue publishing such LIBOR settings using a changed, “synthetic” methodology.

1 Please see the FCA’s LIBOR transition website for statements, speeches and other publications regarding LIBOR transition and the FCA’s powers to compel the publication of “synthetic” LIBOR.

2 The FCA has confirmed that it expects that the Overnight and the 1-, 3-, 6- and 12-Months US Dollar LIBOR settings will continue to be published on a representative basis, under the current “panel bank” LIBOR methodology, using panel bank contributions, until end-June 2023 and have advised that they will continue to consider the case for using their new legal powers to require IBA to continue the publication of the 1-, 3- and 6-Months US Dollar LIBOR settings after 30 June 2023, under a “synthetic”, unrepresentative methodology.

FCA Cessation and Unrepresentativeness Statement

On March 5, 2021, the FCA also announced that it had no intention of using its anticipated new legal powers to require IBA to continue the publication of any EUR or CHF LIBOR settings, or the Overnight/Spot Next, 1 Week, 2 Months and 12 Months LIBOR settings in any other currency, beyond the intended cessation dates specified for such settings in the consultation, and that consequently:

  1. the following LIBOR settings will cease immediately after December 31, 2021:
    • EUR LIBOR - all settings (Overnight, 1 Week, 1-, 2-, 3-, 6- and 12-Months);
    • CHF LIBOR - all settings (Spot Next, 1 Week, 1-, 2-, 3-, 6- and 12-Months);
    • JPY LIBOR - Spot Next, 1 Week, 2 Months and 12 Months;
    • GBP LIBOR - Overnight, 1 Week, 2 Months and 12 Months;
    • USD LIBOR - 1 Week and 2 Months settings; and
  2. the Overnight and 12 Months USD LIBOR settings will cease immediately after June 30, 2023.

IBA will not be able to determine or publish the LIBOR settings specified above after December 31, 2021 (or June 30, 2023, in the case of the Overnight and 12 Months USD LIBOR settings), and users will no longer be able to receive any new values for these ceasing LIBOR settings from IBA after these dates.

The FCA also announced that it would consult on using its anticipated new and expanded legal powers under the BMR to require IBA to continue the publication of the 1-, 3- and 6-Months GBP and JPY LIBOR settings beyond December 31, 2021 under a changed, “synthetic” methodology in order to reduce disruption and support parties to legacy contracts. The FCA noted that any settings published under a “synthetic” methodology would no longer be representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the BMR. The FCA’s new powers were provided as amendments to the BMR in the Financial Services Act 2021 (see the section entitled “New FCA Powers to Impose Changes to LIBOR” below). The FCA has stated that these six LIBOR settings would cease at year-end 2021 unless it used its powers to compel their publication on a “synthetic” basis.

The FCA has confirmed, based on undertakings received from the LIBOR panel banks, that it does not expect that any LIBOR settings will become unrepresentative before the relevant dates set out above (for cessation or for potential continued publication on a “synthetic”, unrepresentative basis).*

FCA Announcement that it will Compel IBA to Publish 1-, 3- and 6-Months GBP and JPY “synthetic” LIBOR

On September 29, the FCA announced, following consultation that in order to help ensure an orderly wind-down of the 1-, 3- and 6-Months GBP and JPY LIBOR settings, it will compel IBA to publish these six LIBOR settings under a changed, “synthetic” methodology, for the duration of 20223.

The FCA announced that it has confirmed the changed methodology that it will require IBA to use to determine the “synthetic” settings as:

  • for 1-, 3- and 6-Months GBP LIBOR, the relevant ICE Term SONIA Reference Rate provided by IBA, and for 1-, 3- and 6-Months JPY LIBOR, the Tokyo Term Risk Free Rates (TORF) provided by QUICK Benchmarks Inc. (adjusted to be on a 360 day count basis); plus
  • the respective ISDA fixed spread adjustment (that is published for the purpose of ISDA’s IBOR Fallbacks Supplement and Protocol) for each of these six LIBOR settings.

The FCA has notified IBA that it has designated these six LIBOR settings as "Article 23A benchmarks" with effect from January 1, 2022, which it must do in order to enable it to require these changes. The FCA also noted that the first non-representative publication of these six “synthetic” LIBOR settings under the changed, unrepresentative, “synthetic” methodology, will be on January 4, 2022. As these settings will be published under a “synthetic” methodology, they will no longer be representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the BMR.

IBA will not be able to determine or publish the 1- , 3- and 6-Months GBP LIBOR and JPY LIBOR settings after December 31, 2021 under the current “panel bank” LIBOR methodology (i.e. using panel bank contributions). These LIBOR settings will be published after that date only under the changed, “synthetic”, unrepresentative methodology described in the FCA’s draft Article 23D Notification, which will no longer be based on panel bank contributions.

3The FCA advised that it intended to compel the publication of “synthetic” JPY LIBOR settings only for one 12-month period until end-2022, after which point the publication of JPY LIBOR will cease. The FCA will require IBA to publish each “synthetic” LIBOR setting at or around 11:55 am London time on each applicable London business day, except for London public holidays (as is the case for “panel bank” LIBOR).

Continuing “panel bank” LIBOR settings

The FCA has confirmed that it expects that the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings will continue to be published on a representative basis, using panel bank contributions under the current “panel bank” LIBOR methodology, until end-June 2023*. The FCA has also advised that it will continue to consider the case for using its new legal powers to require IBA to continue the publication of the 1-, 3- and 6-Months USD LIBOR settings beyond June 30, 2023 under a changed, “synthetic”, unrepresentative methodology.*

*All currency panels are expected to remain as currently constituted for all LIBOR settings until December 31, 2021, and Bank of America N.A. (London Branch), Barclays Bank plc, Citibank N.A. (London Branch), Cooperatieve Rabobank U.A., Crédit Agricole Corporate & Investment Bank, Credit Suisse AG (London Branch), Deutsche Bank AG (London Branch), HSBC Bank plc, JPMorgan Chase Bank, N.A. (London Branch), Lloyds Bank plc, MUFG Bank, Ltd, Royal Bank of Canada, SMBC Bank International plc, The Norinchukin Bank and UBS AG are expected to remain on the USD panel for the continuing USD LIBOR settings until end-June 30, 2023, with National Westminster Bank plc expected to leave the USD panel after December 31, 2021.

Using LIBOR and “Synthetic” LIBOR after 2021

Under the BMR, new use of Article 23A benchmarks, including the “synthetic” 1-, 3- and 6-Month sterling and Japanese yen LIBOR settings, by UK-supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement will be prohibited. The FCA has published statements of policy in relation to its power to permit the continued use of Article 23A benchmarks by UK-supervised entities in regulated legacy financial contracts, instruments and/or investment fund performance measurement. Following a consultation, on November 16, 2021, the FCA confirmed it will permit all legacy use of 1-, 3- and 6-Months GBP and JPY “synthetic” LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared).

The FCA also published a statement of policy in relation to its power to prohibit the new use of a critical benchmark the provision of which is to cease. The FCA confirmed on November 16, 2021, following consultation, that from January 1, 2022, it will prohibit the new use by UK-supervised entities in regulated financial contracts, instruments, and/or investment fund performance measurement of the continuing Overnight and 1-, 3-, 6- and 12-Months USD LIBOR settings, subject to certain exceptions.

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.

Other Information

The FCA has also published the modifications it proposes to make to the BMR, having regard to the effects of its designation of the 1-, 3- and 6-Months GBP and JPY LIBOR settings as “Article 23A benchmarks” and the imposition of its proposed changes to the methodology for these settings. These modifications are proposed to take effect on January 1, 2022.

Stakeholders who are interested as to statements relating to the cessation or unrepresentativeness of LIBOR for the purpose of contractual triggers for fallback rate arrangements should see the FCA statement issued on March 5, 2021 and related statements from ISDA.

LIBOR licensees should also review and consider communications received from IBA in relation to LIBOR.

Please note, 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 and are prepared for 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 FCA’s new powers and their exercise of those powers under the BMR.

New FCA Powers to Impose Changes to LIBOR

On April 21, 2021, the Financial Services Act 2021 passed into law and amended the BMR to provide the FCA with new and enhanced legal powers to oversee the orderly wind-down of critical benchmarks, such as LIBOR, including powers to direct a methodology change and compel the administrator to continue to publish the benchmark under the changed methodology. The UK Government has also introduced further legislation to the UK Parliament to supplement these measures by reducing the scope for uncertainty or litigation that may arise from the exercise of the powers.

The new legal powers enable the FCA, among other things, to designate a critical benchmark, such as LIBOR, as an “Article 23A benchmark” under the BMR in order to direct a methodology change so that such designated benchmark is published under a “synthetic”, unrepresentative methodology, in circumstances where: (i) the FCA has found that the benchmark is not representative of the market it seeks to measure or that the representativeness of the benchmark is at risk unless it considers that such representativeness can reasonably be restored and maintained and there are good reasons to do this; and (ii) such action is necessary to protect consumers and/or to ensure market integrity. The FCA also has powers to provide that the BMR applies to an Article 23A benchmark with modifications it considers appropriate with regard to the effects of the designation and/or the exercise of its powers to change the methodology.

The use of such a designated benchmark by UK supervised entities in regulated financial contracts, instruments and/or investment fund performance measurement would be prohibited, except that the FCA has the discretion to permit certain legacy use to further its market integrity or consumer protection objectives. The FCA also has the power to prohibit new use of a critical benchmark the provision of which is to cease (such as LIBOR).

Following a consultation, on September 29, 2021, the FCA announced that it would exercise its new and enhanced legal powers to compel IBA to publish the 1-, 3- and 6-Months GBP and JPY LIBOR settings under a “synthetic” methodology (which will no longer be based on panel bank contributions) for the duration of 2022 (see the section entitled: FCA announcement that it will Compel IBA to Publish 1-, 3- and 6-Month GBP and JPY “synthetic” LIBOR above).

Following a consultation on November 16, 2021, the FCA confirmed it will permit all legacy use of 1-, 3- and 6-Month GBP and JPY “synthetic” LIBOR by UK-supervised entities other than in “Cleared Derivatives” (whether directly or indirectly cleared) and that it will prohibit the new use by UK-supervised entities of the continuing Overnight and 1-, 3-, 6- 12-Month USD LIBOR settings, subject to certain exceptions (see the section entitled “Using LIBOR and “Synthetic” LIBOR after 2021”).

The FCA has also published the modifications it proposes to make to the BMR under its new powers having regard to the effects of its designation of the 1-, 3- and 6-Months GBP and JPY LIBOR settings as “Article 23A benchmarks” and the imposition of its proposed changes to the methodology for these settings. These modifications are proposed to take effect on January 1, 2022. Please see the above The Future of LIBOR® section for how the FCA has exercised, and intends to exercise, its new and enhanced legal powers. The UK Government has introduced further legislation to the UK Parliament to supplement the BMR amendments by providing for the impact of the exercise of the new and enhanced powers on legacy contracts.

Please also note that various jurisdictions have passed or are in the process of passing legislation to facilitate the orderly cessation of and transition from LIBOR, and many contractual arrangements under various governing laws include LIBOR “fallback” provisions. These legislative and contractual provisions may operate in a variety of circumstances, including on the cessation or unrepresentativeness of the relevant LIBOR settings.

Please see the FCA’s LIBOR transition website for the FCA’s latest announcements in relation to LIBOR transition and information on how it has exercised, and intends to exercise, its new regulatory powers in relation to LIBOR.

Please note, 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 and are prepared for 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 FCA’s new powers and their exercise of those powers under the BMR.

Methodology

The Waterfall Methodology

Up to and including December 31, 2021, all LIBOR settings are expected to continue to be calculated and published using panel bank contributions under the current “panel bank” LIBOR methodology. From January 1, 2022, the FCA has announced that it will compel IBA to continue to publish the 1-, 3- and 6-Months GBP and JPY LIBOR settings under a changed, unrepresentative, “synthetic” methodology, and so IBA will no longer publish these settings under the “panel bank” LIBOR methodology using Panel Bank contributions from this date. The “synthetic” LIBOR methodology which IBA will be required to use to determine the 1-, 3- and 6-Months “synthetic” GBP and JPY LIBOR settings is described in the FCA’s draft Article 23D Notification. Only the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings are expected to continue to be published using the current “panel bank” LIBOR methodology using Panel Bank contributions after December 31, 2021. All other "panel bank" LIBOR settings will cease immediately after December 31, 2021.

The “Panel Bank” LIBOR Methodology

Pursuant to the ICE LIBOR Output Statement, each LIBOR setting for a given currency is currently based on contributions from a panel of large, leading, internationally active banks with access to the wholesale, unsecured funding market for such currency. These contributions are determined through the use of a standardised, transaction data-driven waterfall submission methodology introduced by IBA. This submission methodology is designed to produce a rate that is anchored in Panel Banks’ wholesale, unsecured funding transactions to the greatest extent possible, with a waterfall to enable a rate to be published in all market circumstances. This has been the case since March 2019. Details of IBA’s evolution of LIBOR can be found in the LIBOR documentation section below.

The panel for each LIBOR currency is currently composed of between 11 and 16 Panel Banks with reference to the LIBOR Contributor Bank Criteria, which are designed so that the contributed input data is able to produce a rate that is representative of the economic reality. Each Panel Bank contributes input data for all seven LIBOR tenors in each currency in respect of which it is on the panel.

LIBOR is calculated using Panel Bank contributions in accordance with the LIBOR Calculation Methodology. The published rate in respect of each currency and tenor combination is calculated as the arithmetic mean of each Panel Bank’s contributions in respect of that currency and tenor (after trimming upper and lower values), rounded to five decimal places. Each Panel Bank's contribution carries an equal weight in the calculation, subject to the trimming.

Details are shown in the table below:

Number of Panel Banks
Contributed rates trimmed under the Methodology
Number of Panel Bank Rates Averaged
16 Panel Banks4 highest and 4 lowest rates8
15 Panel Banks4 highest and 4 lowest rates7
14 Panel Banks3 highest and 3 lowest rates8
13 Panel Banks3 highest and 3 lowest rates7
12 Panel Banks3 highest and 3 lowest rates6
11 Panel Banks3 highest and 3 lowest rates5

If IBA receives fewer than the expected number of contributions in respect of a particular currency, the ICE LIBOR Reduced Submissions Policy will apply to those rates.

LIBOR is normally published for each currency and tenor combination at 11:55 am London time on each applicable London business day.

Current Panel Composition

BANK/CCYUSD*GBPEURCHFJPY
Bank of America N.A. (London Branch)
Barclays Bank plc
BNP Paribas SA (London Branch)
Citibank N.A. (London Branch)
Cooperatieve Rabobank U.A.
Crédit Agricole Corporate & Investment Bank
Credit Suisse AG (London Branch)
Deutsche Bank AG (London Branch)
HSBC Bank plc
JPMorgan Chase Bank, N.A. (London Branch)
Lloyds Bank plc
Mizuho Bank, Ltd.
MUFG Bank, Ltd
National Westminster Bank plc*
Royal Bank of Canada
Santander UK Plc
SMBC Bank International plc
Société Générale (London Branch)
The Norinchukin Bank
UBS AG

*All currency panels are expected to remain as currently constituted for all LIBOR settings until December 31, 2021, and Bank of America N.A. (London Branch), Barclays Bank plc, Citibank N.A. (London Branch), Cooperatieve Rabobank U.A., Crédit Agricole Corporate & Investment Bank, Credit Suisse AG (London Branch), Deutsche Bank AG (London Branch), HSBC Bank plc, JPMorgan Chase Bank, N.A. (London Branch), Lloyds Bank plc, MUFG Bank, Ltd, Royal Bank of Canada, SMBC Bank International plc, The Norinchukin Bank and UBS AG are expected to remain on the USD panel for the continuing USD LIBOR settings until end-June 2023, with National Westminster Bank plc expected to leave the USD panel after December 31, 2021.

Governance & Oversight

IBA maintains an oversight committee for LIBOR, which has responsibility for:

  • Reviewing the methodology, scope and definition of the benchmark (including assessing its underlying market and usage);
  • Overseeing any changes to the benchmark; and
  • Overseeing and reviewing the LIBOR Code of Conduct.

The committee has broad market representation, being comprised of Contributor Banks, benchmark users, market infrastructure providers, independent non-executive directors of IBA, and other relevant experts. Representatives from the Board of Governors of the Federal Reserve System, the Swiss National Bank and the Bank of England also sit on the committee as observers.

Note: the changes to the methodology for 1-, 3- and 6-Months Sterling and Japanese Yen LIBOR settings from January 1, 2022 described above and in the FCA’s draft Article 23D Notification are being required by the FCA under its BMR powers and are not the result of any review or recommendation from IBA or the Oversight Committee.

Oversight Committee Meeting Public Minutes

Publication Days

LIBOR is published on each London business day for all applicable currencies and tenors, except as described below.

There is no LIBOR publication in any currency or tenor if the date is a public holiday in London.

Where a valid publication day is a public holiday in the major financial centre of a currency, there is no publication in the Overnight tenor only, for that currency. All other tenors are published as normal. This rule concerns only the Euro and US Dollar, since Yen and Swiss Franc do not have an Overnight tenor.

The following tables set out the relevant holidays for the different currencies and tenors. Specific dates for each year are available on the Holiday Calendars page. The Holiday Calendars also list the designated Value Dates, by currency and tenor, for each benchmark date.

London Public Holidays

Applies to all LIBOR currencies and tenors;

  • New Year's Day
  • Good Friday
  • Easter Monday
  • Early May Bank Holiday
  • Spring Bank Holiday
  • Summer Bank Holiday
  • Christmas Day
  • Boxing Day

Euro Public Holidays (Affects Euro Overnight tenor only)

  • Labour Day (1st May)

All other relevant Euro public holidays are also London public holidays, so LIBOR is not published on these days.

U.S. Dollar Public Holidays (Affects US Dollar Overnight tenor only)

  • Martin L. King's Birthday
  • Presidents' Day
  • Independence Day (4th July)
  • Labour Day
  • Columbus Day
  • Veterans Day
  • Thanksgiving Day

LIBOR® Documentation

Press Releases

LIBOR Data

The ICE Report Centre provides historical and delayed data for LIBOR

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