Inside this Topic Guide
LIBOR cessation:
The following LIBOR settings ceased at the end of 2021:
- Euro LIBOR – all settings
- Swiss Franc LIBOR – all settings
- US Dollar LIBOR – one week and two month settings
- Sterling LIBOR –overnight, one week, two month and twelve month settings
- Yen LIBOR – spot next, one week, two month and twelve month settings
Certain LIBOR settings for Yen and Sterling became non-representative after the end of 2021 but continued to be published on the basis of a changed methodology (synthetic LIBOR). Publication of all such Yen settings ceased at the end of 2022 and for Sterling LIBOR, the Financial Conduct Authority (FCA) will require the continued publication of the 1 and 6 month settings until 31 March 2023, and the 3 month sterling LIBOR setting until end-March 2024.
Most US Dollar LIBOR settings continue until the end of June 2023:
- Overnight and twelve month USD LIBOR settings will cease after June 2023
- One, three and six month USD LIBOR settings will either cease after June 2023 or (subject to further consultation by the FCA) will become non-representative and will continue to be published on the basis of a changed methodology (synthetic LIBOR) until end-September 2024.
Product areas: Recommended replacement rates vary by jurisdiction and calculation methodologies continue to develop and vary by product. Trade and other associations have worked and continue to work with the relevant jurisdiction and currency specific working groups on transition issues pertinent to their specific products, to ensure appropriate consistency for linked products and, where necessary, to update their documentation to accommodate alternative benchmark rates - see trade and industry bodies below.
