LIBOR is in the process of being wound-down:

• After December 31, 2021, 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 have ceased to be published1.
• IBA expects to continue to determine and publish the Overnight and the 1-, 3-, 6- and 12-Months USD LIBOR settings using panel bank contributions under the “panel bank” LIBOR methodology until end-June 20232. The Overnight and 12-Months USD LIBOR settings will cease immediately after June 30, 20233.
• The Financial Conduct Authority (“FCA”) has 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 is compelling IBA to publish these settings for the duration of 2022. The FCA is requiring IBA to calculate these settings using a changed, “synthetic” methodology4. The “synthetic” methodology is not based on panel bank contributions and is not representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the BMR.

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 announced these cessations, and 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.

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 requires IBA to use to calculate the “synthetic” LIBOR settings.

The “Panel Bank” LIBOR Methodology

Since December 31, 2021, IBA has determined and published 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. No other "panel bank" LIBOR settings have been or will be published after December 31, 2021.

Pursuant to the USD LIBOR Output Statement, each continuing USD LIBOR setting is 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 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 methodology has been used since March 2019. Details of IBA’s evolution of the “panel bank” LIBOR methodology 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 economic reality. Each panel bank contributes input data for all five 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 is compelling IBA to continue to publish the 1-, 3- and 6-Months GBP and JPY LIBOR settings for the duration of 2022 under a changed, “synthetic” methodology. The FCA requires IBA to use a changed methodology to determine these “synthetic” LIBOR settings as follows:

⁷ The ICE Term SONIA Reference Rate, 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.

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.

The “synthetic” LIBOR methodology is not based on panel bank contributions and is not representative of the underlying market or economic reality the setting is intended to measure, including for the purposes of the BMR. IBA no longer publishes the 1-, 3- and 6-Month (or any other tenor) GBP and JPY LIBOR settings using the “panel bank” LIBOR methodology using panel bank contributions.

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” 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.