Immediately prior to December 31, 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 now in the process of being wound down.

Settings which ceased after December 31, 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 December 31, 20211.

Continuing USD Settings

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 end-June 20232, at which point panel banks will stop contributing and the Overnight and 12-Months USD LIBOR settings will cease3. The FCA has stated that it will consider the case for requiring continued publication of the 1-, 3-, and 6-Months USD LIBOR settings on a “synthetic” basis after June 2023, but if it does not require these setting to continue to be published, they will also cease at that time. As part of its consultation, the FCA sought information relating to USD LIBOR exposures that might persist beyond end-June 2023, and information to help it assess the case for, and consequences for market participants of, a decision to compel IBA to produce “synthetic” USD LIBOR for a limited period. The FCA is assessing the feedback received and plans to respond later in the Autumn.

Continuing GBP and JPY Settings

The FCA designated the 1-, 3- and 6-Months GBP and JPY LIBOR settings as “Article 23A benchmarks” for the purposes of the UK Benchmarks Regulation (the “BMR”) with effect from January 1, 2022, and compelled IBA to publish these settings for the duration of 2022. The FCA requires IBA to calculate these settings using a changed, “synthetic” methodology4. The “synthetic” methodology is not based on panel bank contributions and the resulting settings are not 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. Following the results of its consultation, the FCA has announced that it has decided to require IBA to continue to publish 1- and 6-Months “synthetic” GBP LIBOR settings until March 31, 2023. The FCA has also announced that it has no intention to use its powers to compel IBA to continue to publish these settings beyond this date, and therefore these settings will permanently cease immediately after final publication on March 31, 2023. The FCA also consulted on when it could cease to compel IBA to publish 3-month “synthetic” GBP LIBOR, and noted there was support for requiring the continuation of this setting for a limited period beyond end-March 2023. The FCA is considering the appropriate date for such cessation in light of the feedback received, and will provide further information when it publishes its summary of feedback on that question. The FCA has stated that the “synthetic” JPY LIBOR settings will cease at end-2022.

1 The FCA announced these cessations on March 5, 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 March 5, 2021.

4 On September 29, 2021. the FCA announced that it would compel IBA to publish these six “synthetic” LIBOR settings for the duration of 2022 (with the first publication being on January 4, 2022). On January 1, 2022, the FCA notified IBA of the changed methodology it required IBA to use to calculate the “synthetic” LIBOR settings.

The “Panel Bank” LIBOR Methodology (for USD LIBOR settings only)

IBA 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 end-June 2023, at which point panel banks will stop contributing and the Overnight and 12-Months USD LIBOR settings will cease. The FCA has stated that it will consider the case for requiring the continued publication of the 1-, 3- and 6-Months USD LIBOR settings on a “synthetic” basis after June 2023, but if it does not require these settings to continue to be published, they will also cease at that time. As part of its consultation, the FCA sought information relating to USD LIBOR exposures that might persist beyond end-June 2023, and information to help it assess the case for, and consequences for market participants of, a decision to compel IBA to produce “synthetic” U.S. dollar LIBOR for a limited period. The FCA is assessing the feedback received and plans to respond later in the Autumn.

Pursuant to the USD LIBOR Output Statement, each continuing USD LIBOR setting up to June 30, 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. Details of IBA’s evolution of “panel bank” LIBOR can be found in the LIBOR documentation section below.

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 contributes input data for all five continuing USD LIBOR tenors.

USD LIBOR is 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.

Current USD LIBOR Panel Banks

The “Synthetic” LIBOR Methodology

The FCA compelled IBA to continue to publish the 1-, 3- and 6-Months GBP and JPY LIBOR settings for the duration of 2022 as "Article 23A benchmarks". These settings are determined under a changed, “synthetic” methodology imposed by the FCA, which is not based on panel bank contributions and the resulting settings are not representative of the underlying market or economic reality they were intended to measure before these continuing GBP and JPY LIBOR settings were designated as Article 23A benchmarks, including for the purposes of the BMR. Following the results of its consultation, the FCA has announced that it has decided to require IBA to continue to publish 1- and 6-Months “synthetic” GBP LIBOR settings until March 31, 2023. The FCA has also announced that it has no intention to use its powers to compel IBA to continue to publish these settings beyond this date, and therefore these settings will permanently cease immediately after final publication on March 31, 2023. The FCA also consulted on when it could cease to compel IBA to publish 3-month “synthetic” GBP LIBOR, and noted there was support for requiring the continuation of this setting for a limited period beyond end-March 2023. The FCA is considering the appropriate date for such cessation in light of the feedback received, and will provide further information when it publishes its summary of feedback on that question. The FCA has stated that the “synthetic” JPY LIBOR settings will cease at end-2022.

See the below table setting out a summary of the “synthetic” LIBOR currencies, tenors and 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” 1-, 3- and 6-Month GBP and JPY LIBOR settings are calculated.

⁷ The ICE Term SONIA Reference Rate (TSRR), which is a forward-looking term SONIA reference rate, provided by IBA.

⁸ With respect to each "synthetic" LIBOR setting, the fixed spread adjustment that applies as part of the ISDA IBOR fallback for each LIBOR setting, and that is published for the purpose of the ISDA 2020 IBOR Fallbacks Protocol and ISDA IBOR Fallbacks Supplement. Bloomberg Index Services Limited maintains and calculates the fixed spread adjustment and the ISDA IBOR fallback for each LIBOR setting - please see the disclaimer here.

⁹ The Tokyo Term Risk Free Rate, which is a forward-looking term TONA rate, provided by Quick Benchmarks Inc.

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. Representatives from the Board of Governors of the Federal Reserve System and the Bank of England also sit on the committee as observers.

Oversight Committee Meeting Public Minutes

LIBOR is normally published at 11:55 am London time on each applicable 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 London public holiday.

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 USD tenors are published as normal (this concerns only USD LIBOR).

The FCA requires IBA to publish each “synthetic” GBP and JPY 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.