USD LIBOR: Difference between revisions
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imported>Doug Williamson (Add quote - source - FCA - https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor) |
(Update for FCA's confirmation of synthetic cessation end-September 2024.) |
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''Benchmark interest rates - LIBOR''. | ''Benchmark interest rates - LIBOR''. | ||
USD LIBOR | USD LIBOR ceased publication at the end of June 2023. | ||
A temporary synthetic USD LIBOR has been put in place until September 2024 to support the transition of legacy transactions that have not yet transferred to an appropriate replacement risk-free rate, such as SOFR. | |||
USD LIBOR provided an indication of the average rate at which contributory panel banks in London could obtain wholesale, unsecured funding for a given period, denominated in USD. | |||
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:*the overnight and 12-month US dollar LIBOR settings will cease at end-June 2023 | :*the overnight and 12-month US dollar LIBOR settings will cease at end-June 2023 | ||
:*the 3-month synthetic sterling LIBOR setting will cease at end-March 2024 | :*the 3-month synthetic sterling LIBOR setting will cease at end-March 2024 | ||
:*the 1-, 3- and 6-month synthetic US dollar LIBOR settings would cease at end-September 2024 | :*the 1-, 3- and 6-month synthetic US dollar LIBOR settings would cease at end-September 2024" | ||
:''Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022.'' | :''Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022.'' | ||
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== See also == | == See also == | ||
* [[Alternative Reference Rates Committee]] (ARRC) | |||
* [[Benchmark]] | * [[Benchmark]] | ||
* [[Financial Conduct Authority]] (FCA) | * [[Financial Conduct Authority]] (FCA) | ||
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* [[Setting]] | * [[Setting]] | ||
* [[SOFR]] | * [[SOFR]] | ||
* [[Synthetic]] | |||
* [[Synthetic LIBOR]] | |||
* [[United States]] | * [[United States]] | ||
* [[Unsecured]] | * [[Unsecured]] | ||
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== | ==Other resources== | ||
*[https://www.fca.org.uk/news/news-stories/3-month-synthetic-sterling-libor-1-month-go#:~:text=FCA%20issues%20final%20message%20before,permanently%20on%2028%20March%202024. Synthetic USD LIBOR to cease at end-September 2024 - Financial Conduct Authority - 29 February 2024] | |||
*[https://www.newyorkfed.org/arrc Alternative Reference Rates Committee - about us] | |||
*[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022] | *[https://www.fca.org.uk/news/news-stories/further-consultation-announcements-wind-down-libor Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022] | ||
*[https://www.fca.org.uk/news/news-stories/changes-libor-as-of-end-2021 Changes to LIBOR as of end-2021 - Financial Conduct Authority] | *[https://www.fca.org.uk/news/news-stories/changes-libor-as-of-end-2021 Changes to LIBOR as of end-2021 - Financial Conduct Authority] | ||
[[Category:Financial_products_and_markets]] | |||
[[Category:Financial_products_and_markets]] | [[Category:Financial_products_and_markets]] |
Latest revision as of 18:06, 11 March 2024
Benchmark interest rates - LIBOR.
USD LIBOR ceased publication at the end of June 2023.
A temporary synthetic USD LIBOR has been put in place until September 2024 to support the transition of legacy transactions that have not yet transferred to an appropriate replacement risk-free rate, such as SOFR.
USD LIBOR provided an indication of the average rate at which contributory panel banks in London could obtain wholesale, unsecured funding for a given period, denominated in USD.
- New use of USD LIBOR is banned
- "The remaining 5 US dollar LIBOR settings will continue to be calculated using panel bank submissions until mid-2023.
- However, new use of US dollar LIBOR is now banned, with limited exceptions.
- The US dollar risk-free rate SOFR is already being widely used in new business.
- Firms should now focus on converting their legacy US dollar LIBOR contracts by mid-2023."
- Changes to LIBOR as of end-2021 - Financial Conduct Authority.
- Wind-down of LIBOR
- "We are proposing to require LIBOR’s administrator, IBA, to continue to publish the 1-, 3- and 6-month US dollar LIBOR settings under an unrepresentative ‘synthetic’ methodology until end-September 2024.
- After this, publication would cease permanently.
- For sterling LIBOR, we intend to continue to require IBA to publish the 3-month synthetic sterling LIBOR setting until end-March 2024, after which it will cease permanently.
- The effect of these announcements and proposals is that the final LIBOR publication would be end-September 2024:
- the 3 synthetic yen LIBOR settings will cease at end-2022
- the 1- and 6-month synthetic sterling LIBOR settings will cease at end-March 2023
- the overnight and 12-month US dollar LIBOR settings will cease at end-June 2023
- the 3-month synthetic sterling LIBOR setting will cease at end-March 2024
- the 1-, 3- and 6-month synthetic US dollar LIBOR settings would cease at end-September 2024"
- Further consultation and announcements on the wind-down of LIBOR - Financial Conduct Authority - 23 November 2022.
See also
- Alternative Reference Rates Committee (ARRC)
- Benchmark
- Financial Conduct Authority (FCA)
- Legacy
- LIBOR
- Panel
- Panel bank
- Risk-free rates
- Setting
- SOFR
- Synthetic
- Synthetic LIBOR
- United States
- Unsecured
- USD
- Wholesale