Latest updates on LIBOR reform
UK’s Financial Conduct Authority (FCA) announced that the last US dollar LIBOR panel has ceased on 30 June 2023. Its end has marked another critical milestone in the transition away from LIBOR.
- FCA issued a consultation in November 2022 on a synthetic US dollar LIBOR, and it confirmed in its Feedback Statement published on 31 May 2023 that it requires LIBOR’s administrator, ICE Benchmark Administration Limited (IBA), to publish the 1-, 3-, and 6-month US dollar LIBOR settings using a synthetic methodology for a temporary period until end-September 2024.
- The overnight and 12-month-US dollar LIBOR settings ceased after final publication on 30 June 2023.
- The 1-, 3-, and 6-month US dollar LIBOR settings will be published in synthetic form from 3 July 2023 until end-September 2024, for use in legacy contracts only. They will be calculated using a synthetic methodology based on the relevant CME Term Secured Overnight Financing Rate (SOFR) plus the respective ISDA fixed spread adjustment.
- All new use of these remaining US dollar LIBOR settings will be prohibited.
Source: FCA as of 3 July 2023