ISDA has published the following statement in response to today’s announcement by the UK Financial Conduct Authority (FCA) on the future cessation and loss of representativeness of the LIBOR benchmarks.
“Today’s announcement constitutes an index cessation event under the IBOR Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol for all 35 LIBOR settings. As a result, the fallback spread adjustment published by Bloomberg is fixed as of the date of the announcement for all euro, sterling, Swiss franc, US dollar and yen LIBOR settings.
“The FCA specifically announced that certain LIBOR settings (all seven euro and Swiss franc LIBOR tenors, overnight, one-week, two-month and 12-month sterling LIBOR, spot next, one-week, two-month and 12-month yen LIBOR, and one-week and two-month US dollar LIBOR) will permanently cease immediately after December 31, 2021. Publication of the overnight and 12-month US dollar LIBOR settings will permanently cease immediately after June 30, 2023.
“The FCA further announced that it will consult on requiring ICE Benchmark Administration (IBA), the administrator of LIBOR, to continue publishing one-month, three-month and six-month sterling LIBOR on a non-representative, synthetic basis for a further period after the end of 2021, and one-month, three-month and six-month yen LIBOR on a non-representative, synthetic basis for an additional year after end-2021, under proposed new powers included in the Financial Services Bill.
“The FCA will also consider whether to require IBA to continue publishing one-month, three-month and six-month US dollar LIBOR on a non-representative, synthetic basis for a further period after the end of June 2023.
“The fallbacks (ie, to the adjusted risk-free rate plus spread) will automatically occur for outstanding derivatives contracts that incorporate the IBOR Fallbacks Supplement or are subject to adherence of the ISDA 2020 IBOR Fallbacks Protocol on the following dates:
- After December 31, 2021: For outstanding derivatives referenced to all euro, sterling, Swiss franc and yen LIBOR settings.
- After June 30, 2023: For outstanding derivatives referenced to all US dollar LIBOR settings. Under the fallbacks methodology, the rate for the one-week and two-month US dollar LIBOR settings will be computed by each calculation agent using linear interpolation between end-2021 and June 30, 2023, before falling back to the adjusted risk-free rate plus spread after June 30, 2023.
“The ISDA 2020 IBOR Fallbacks Protocol, which incorporates the fallbacks into legacy non-cleared derivatives trades with other counterparties that choose to adhere to the protocol, remains open for adherence on the ISDA website.”
This statement is for information purposes only. It does not constitute legal advice and should not be considered an explanation of all relevant issues. You should consult your legal advisors and any other advisor you deem appropriate in considering the issues discussed herein.
For additional information on benchmark reform, including the operation of new derivatives fallbacks, visit ISDA’s benchmark reform and transition from LIBOR page on the ISDA website.
Read ISDA Guidance on the FCA announcement on the LIBOR benchmarks here.
Read the Bloomberg technical notice on the fixing of the spread adjustment here.
For Press Queries, Please Contact:
Nick Sawyer, ISDA London, +44 20 3808 9740, nsawyer@isda.org
Lauren Dobbs, ISDA New York, +1 212 901 6019, ldobbs@isda.org
Joel Clark, ISDA London, +44 20 3808 9760, jclark@isda.org
Christopher Faimali, ISDA London, +44 20 3808 9736, cfaimali@isda.org
Nikki Lu, ISDA Hong Kong, +852 2200 5901, nlu@isda.org
Documents (1) for ISDA Statement on UK FCA LIBOR Announcement
Latest
SwapsInfo H1 2025 and Q2 2025
Interest rate derivatives (IRD) trading activity increased in the first half of 2025, driven by continued interest rate volatility, evolving central bank policy expectations and persistent macroeconomic uncertainty. Trading in index credit derivatives also rose, as market participants responded to...
ISDA Response to IFSCA Consultation
On August 5, ISDA responded to the International Financial Services Centres Authority’s (IFSCA) consultation on reporting and clearing of over-the-counter (OTC) derivatives contracts booked in International Financial Services Centres (IFSC). In the response, ISDA provided the following recommendations: Not mandating...
ISDA Response to BIS on Tokenization
On July 30, ISDA submitted a response to a Bank for International Settlements (BIS) consultation on leveraging tokenization for payments and financial transactions. In the response, ISDA focused on the legal, regulatory and documentation issues relevant to the derivatives market,...
ISDA In Review – July 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in July 2025.