This marks another critical milestone in the transition away from LIBOR. Overnight and 12-month US dollar LIBOR settings have now permanently ceased. 1-, 3- and 6-month US dollar LIBOR settings will continue to be published using a synthetic methodology until September 2024.
The US dollar LIBOR bank panel ended on the 30 June 2023. This was the last remaining LIBOR panel.
The overnight and 12-month US dollar LIBOR settings have now permanently ceased.
The 1-, 3- and 6-month US dollar LIBOR settings have been designated as Article 23A benchmarks and we are requiring LIBOR’s administrator, ICE Benchmark Administration, to publish them in synthetic form. From today, they will be calculated using a synthetic methodology based on the relevant CME Term SOFR Reference Rate plus the respective ISDA fixed spread adjustment. However, as with other synthetic LIBOR rates, these settings are now permanently unrepresentative of the underlying markets they previously sought to measure. They are intended to cease at end-September 2024, in line with our statement in April.
All new use of synthetic US dollar LIBOR is now prohibited under the Benchmarks Regulation. All major clearing houses have now converted cleared derivative contracts that referenced US dollar LIBOR to risk-free rates. Most uncleared derivative contracts that referenced US dollar LIBOR will also start using risk-free rates from today, under industry-agreed fallback language adopted through the ISDA Protocol. The Protocol is still open for adherence for market participants wishing to do so.
Firms must ensure they are prepared for these final synthetic LIBOR settings to cease at the end of September 2024.
Parties to contracts still referencing US dollar LIBOR should be taking steps to transition to robust, appropriate reference rates, re-negotiating with counterparties where necessary. As we have said previously, we do not want to see transition to so-called 'credit sensitive' rates which have the potential to reintroduce many of the financial stability risks associated with LIBOR.
Note to editors:
We have published Notices finalising implementation of our decisions:
- a Notice requiring LIBOR’s administrator to change the way the 1-, 3- and 6- month LIBOR settings are calculated, and a Notice allowing use of these synthetic rates in all legacy contracts except cleared derivatives - in line with the draft Notices we published in April.
- Two technical Annex 4 notices which modify the relevant legislation in respect of the US dollar LIBOR settings, to take into account our decisions: