Roadmap to cessation
From 2017 to 2021 and beyond: Regulatory and market milestones
From 2017 to 2021 and beyond: Regulatory and market milestones
April 2017
SONIA selected as preferred GBP risk-free rate
July 2017
A. Bailey (FCA) speech on panel banks not being compelled to submit to LIBOR post 2021
October 2017
SARON recommended as the alternative to Swiss franc LIBOR
April 2018
SOFR published
June 2018
First-ever SONIA-based floating rate note, issued by the European Investment Bank
July 2018
First-ever SOFR-based floating rate note, issued by Fannie Mae
September 2018
€STR recommended as the alternative EUR RFR & replacement for EONIA
July 2019
EURIBOR authorised under EU Benchmarks Regulation
October 2019
€STR published. EONIA becomes €STR+Spread
December 2019
Transition to hybrid EURIBOR expected
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
