FS23/2: Decisions on US dollar LIBOR – feedback to CP22/21

Read FS23/2 (PDF)[1]

Why we consulted

In June 2022, we consulted (CP22/11[2]) on US dollar LIBOR exposures. CP22/21[3], which we published in November 2022, provided feedback to your responses and asked for further views on proposals to use our BMR powers to:

• require 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
• use the relevant CME Term SOFR Reference Rate plus the respective ISDA fixed spread adjustment as the methodology for a synthetic US dollar LIBOR 
• permit all legacy contracts other than cleared derivatives to use a synthetic US dollar LIBOR

We received 42 responses from respondents within and outside the UK including wholesale investment banks, trade associations, national authorities, asset managers, multilateral development banks, corporates and professional services firms.

Having considered the feedback alongside all other information available, we did not consider any change to our proposals was required.

We announced this decision[4] on 3 April 2023. See FS23/2[1] for further detail on the feedback received and our response.

Who this affects

This Feedback Statement will be of interest to:

• LIBOR’s administrator, IBA
• providers of component inputs for the 3 US dollar LIBOR settings under the changed, synthetic methodology
• regulated and unregulated users of the 3 US dollar LIBOR settings

Next steps

On 1 July 2023, we will publish formal legal notices completing the implementation of these decisions.

Markets participants must take all necessary steps to ensure they understand how their contract terms interact with LIBOR’s winddown.

Market participants must continue to actively transition contracts that reference US dollar LIBOR, and not rely on the synthetic settings.

The 3-month synthetic sterling LIBOR setting is expected to cease at end-March 2024. Market participants using this LIBOR setting must take necessary action to prepare for this.

See FS23/2[5] for full details.