The publication of 24 Libor settings ended as of the end of 2021, with the six most widely used sterling and Japanese Yen settings to be published using a changed methodology going forward, the Financial Conduct Authority (FCA) has confirmed.

The FCA previously announced that most panel bank submissions for all Libor settings will cease at the end of 2021, with representative rates set to no longer be available after all cease in 2023.

Pension scheme trustees were encouraged to speak with investment managers ahead of these changes to Libor, which is used as a benchmark interest rate in many financial contracts, to ascertain the number of contracts that might be affected.

The Libor settings that have now ended include all euro and Swiss franc Libor settings, the overnight/spot next, 1-week, 2-month and 12-month sterling and Japanese yen Libor settings, and the 10-week and 2-month US dollar Libor settings.

As a result of the change, the 1, 3 and 6 month sterling and Japanese yen Libor settings are considered permanently unrepresentative of the underlying market they seek to measure, and will instead be calculated in a way that does not rely on submissions from panel banks, often referred to as ‘synthetic Libor’.

The FCA has also published a notice requiring Libor’s administrator to change the way these Libor settings are calculated, in line with the draft notice previously published in September 2021.

Alongside this, the watchdog issued a notice to allow the use of these synthetic rates in all legacy contracts except cleared derivatives, in line with the draft notice published in November 2021.

The regulator has confirmed that synthetic yen Libor will also cease at the end of 2022, warning that the availability of synthetic sterling Libor is not guaranteed beyond end-2022.

It therefore encouraged firms to continue their efforts to transition away from this, also reminding market participants that the new use of synthetic Libor is banned.

The remaining five US dollar Libor settings will continue to be calculated using panel bank submissions until mid-2023, although new use of US dollar Libor has been banned, with limited exceptions.

In light of this, the regulator recommended that firms should now focus on converting their legacy US dollar LIBOR contracts by mid-2023.

“We will continue to monitor the impact of these changes, and the progress of remaining transition work, working closely with the Bank of England and our international counterparts,” the FCA stated.

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