25/01/2022

As confirmed by the FCA previously, all LIBOR settings will either cease to be provided by any administrator or no longer be representative: • Immediately after 31 December 2021, in the case of all sterling, euro, Swiss franc and Japanese yen settings, and the 1-week and 2-month US dollar settings; and • Immediately after 30 June 2023, in the case of the remaining US dollar settings.

On 22 October 2021, there was published in the Official Journal of the EU:

1/ Commission Implementing Regulation (EU) 2021/1848 of 21 October 2021 on the designation of a replacement for the benchmark Euro overnight index average: the Euro short-term rate (€STR) as published by the European Central Bank. A fixed spread adjustment of 8.5 basis points that shall be added to the replacement.

2/ Commission Implementing Regulation (EU) 2021/1847 of 14 October 2021 on the designation of a statutory replacement for certain settings of CHF LIBOR. The SARON rates are designated as the replacement rates for the certain settings of CHF LIBOR (1 month, 3 months, 6 months, and 12 months). A fixed spread adjustment should be added. It should be equivalent to the spread published for each relevant tenor and calculated on 5 March 2021 as a historical median spread between the CHF LIBOR concerned and the respective SARON compound over a five-year lookback period for each term.

The Commissions Implementing Regulations both apply from 3 January 2022.

 

Head of Knowledge Management Strategy and Market Infrastructure - SGSS