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 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.

USD Settings that continued after December 31, 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 end-June 20232, at which point panel banks will stop contributing and the Overnight and 12-Months USD LIBOR settings will cease3. In light of feedback received in respect of its June consultation, the FCA has consulted on using its powers under the UK Benchmarks Regulation (the “BMR”) to compel IBA to continue to publish the 1-, 3- and 6-Months USD LIBOR settings under an unrepresentative “synthetic” methodology for a temporary period after the end of June 2023 until the end of September 2024.

GBP and JPY “Synthetic” Settings that continued after December 31, 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 January 1, 2022, and compelled IBA to publish these settings for the duration of 2022. The FCA required IBA to calculate these settings using a changed, “synthetic” methodology. 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 a consultation, the FCA announced that it has decided to require IBA to continue to publish 1- and 6-Months “synthetic” GBP LIBOR settings until March 31, 2023, after which these settings will permanently cease. The FCA has also decided to require IBA to continue to publish the 3 -Month “synthetic” GBP LIBOR setting for the duration of 2023, and has stated that it intends to require IBA to continue to publish this setting until the end of March 2024, after which it would permanently cease.

Publication of the 1-, 3- and 6-Months “synthetic” JPY LIBOR settings ceased after 30 December 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.

Using LIBOR

Under the BMR, new use of “Article 23A benchmarks” by UK-supervised entities in regulated financial contracts, instruments and investment fund performance measurement is prohibited. This includes the “synthetic” 1-, 3- and 6-Months GBP and JPY LIBOR settings. Legacy use of these settings in equivalent circumstances is also prohibited, unless permitted by the FCA. The FCA currently permits all legacy use of “synthetic” 1-, 3- and 6-Months GBP and JPY 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)5.

From January 1, 2022, the FCA has prohibited the new use by UK-supervised entities in regulated financial contracts, instruments and investment fund performance measurement, of the continuing Overnight and 1-, 3-, 6- and 12-Months USD LIBOR settings, subject to certain exceptions6.

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.

5 The FCA announced it would permit this legacy use on November 16, 2021.

6 The FCA announced this prohibition on November 16, 2021.

“Synthetic” LIBOR under the BMR

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

Please also readICE 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 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. In light of feedback received in respect of its June consultation, the FCA has consulted on using 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 the end of June 2023 until the end of September 2024.

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.

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. Recent developments in market expectations regarding US monetary policy implementation have resulted in changes to the short-term USD yield curve, which is now less linear than seen over recent years. As a result, IBA has advised the USD LIBOR panel banks of a change in the eligibility criteria for data that should be used for the purposes of linear interpolation at Level 2 (Transaction-Derived) of the LIBOR Waterfall Submission Methodology. Linear interpolation may be used at Level 2 to determine 3- and 6-month submissions where there is insufficient eligible historical transaction data available for these tenors.

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 have been 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 they were designated as Article 23A benchmarks, including for the purposes of the BMR.

Following the results of its consultation, the FCA 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 decided to require IBA to continue to publish the 3 Months “synthetic” GBP LIBOR setting for the duration of 2023, and has stated that it intends to require IBA to continue to publish this setting until the end of March 2024, after which it would permanently cease.

Publication of the 1-, 3- and 6-Months “synthetic” JPY LIBOR settings ceased after 30 December 2022.

See the below table setting out a summary of the “synthetic” GBP LIBOR, 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-Months GBP LIBOR settings are 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 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 continuing USD tenors are published as normal (this concerns only USD LIBOR).

The FCA requires IBA to publish each “synthetic” 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.