Roadmap to cessation

March 2020
SOFR Averages and Index available  

March 2020
SARON Compound indices available 

June 2020
Federal Home Loan Banks (FHL) stop entering into LIBOR instruments  

July 2020
London Clearing House (LCH), Chicago Mercantile Exchange Group (CME Group) and Eurex move to €STR Price Aligned Interest (PAI) and discounting

August 2020
SONIA Compounded Index first published

October 2020
LCH, CME Group and Eurex move to SOFR PAI and discounting  

October 2020
International Swaps and Derivatives Association (ISDA) launches IBOR Fallbacks Supplement and Protocol       

Q3 2020
Non-LIBOR alternatives available and include contractual conversion mechanisms in new or refinanced LIBOR product  

December 2020
Amend interdealer Credit Support Annexes (CSA) to reference SOFR interest for USD collateral. No USD LIBOR FRNs maturing after 2021 issuance  

January 2021
SONIA term rate published

January 2021
Effective date of IBOR Fallbacks Supplement and IBOR Fallbacks Protocol       

January 2021
No new CHF or EUR LIBOR transactions to mature after end 2021 and do not contain robust fallback. Readiness to grant loans based on ARRs  

March 2021
FCA announces that most LIBOR settings will cease immediately after 31 December 2021    

March 2021
Recommendations on EURIBOR fallbacks

March 2021
Change the market convention for quoting USD derivative contracts from LIBOR to SOFR 

March 2021
Cease initiation of new GBP LIBOR linked loans, bonds, securitizations and linear derivatives expiring after Dec 2021. Complete identification of all legacy GBP LIBOR contracts expiring after end 2021 that can be actively converted, and accelerate active conversion where viable  

March 2021
Plans for the reduction of “tough legacy” for existing CHF and EUR LIBOR contracts. Initial contact to clients  

March 2021
Develop systems and operations for O/N RFR compounding loans, bonds and notes (fixing in arrears)

June 2021
No new LIBOR derivative trades, maturing after 2021. No business loans using USD LIBOR and maturing after 2021. No floating-rate securitizations using USD LIBOR in its tranches and maturing after 2021. Disclose the replacement rate and any related spread adjustment methodology at least 6 months prior to the date that a replacement rate would become effective for FRNs, securitizations and loans  

June 2021
Cease initiation of new GBP LIBOR non-linear derivatives that expire after end 2021. Progress active conversion of all legacy GBP LIBOR contracts expiring after end 2021 where viable and, if not viable, ensure robust fallbacks are adopted where possible

June 2021
Mitigation of risks for remaining “tough legacy”. New contracts in CHF, EUR, GBP, JPY and USD only in ARR. System and process changes necessary to enable transition to ARR and the application of fallback rates       

June 2021
Cease the issuance of new LIBOR referencing loans, bond and notes

June 2021
SOFR forward-looking term rates available  

September 2021
No USD LIBOR issuance of CLOs (both corporate and CRE) 

September 2021
Complete active conversion of all legacy GBP LIBOR contracts expiring after end 2021

September 2021
Significantly reduce the amount of loans, bonds and notes referencing LIBOR

December 2021
End of LIBOR for all GBP, EUR, CHF and JPY settings, and 1-week and 2-month USD settings. End of EONIA       

December 2021
Supervisory guidance and prohibition regulation is in place globally that the ‘new use’ of USD LIBOR should stop from 1 January 2022 - except for a
very limited set of use cases.  

January 2022
EONIA cessation. EURIBOR to be used for new and legacy contracts

June 2023
End of remaining USD LIBOR settings