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LIBOR Series Discontinued

The widely used London Interbank Offered Rate (LIBOR) benchmarks are being phased out; in response, FRED will discontinue several related series.

Currently, LIBOR benchmarks are produced by surveying a panel of large international banks on unsecured borrowing rates experienced in wholesale markets. LIBOR benchmarks are provided across seven tenors (overnight/spot next, one week, one month, two months, three months, six months, and 12 months) for five major currencies (USD, GBP, EUR, CHF, and JPY). The average of respondent rates with these tenors and currencies constitute the 35 LIBOR benchmark series.

The current family of benchmarks are being discontinued in favor of alternatives to minimize the potential for manipulation, respond to the decreased liquidity in interbank markets, and use observable transactions where possible. The administrator of the LIBOR benchmarks, ICE Benchmark Administration Limited (IBA), has announced transition guidance. Specifically, the following changes are scheduled for the next few years:

  • All Swiss franc and euro LIBOR settings will cease December 31, 2021.
  • The overnight, one-week, two-month, and 12-month Japanese yen and British sterling settings will cease December 31, 2021. However, a synthetic methodology will be available through 2022 for the one-month, three-month, and six-month tenors. This methodology will add spread adjustments to the ICE Term SONIA Reference Rate and the Tokyo Term Risk Free Rate for the British sterling and Japanese yen, respectively.
  • The one-week and two-month U.S. dollar settings will cease December 31, 2021. The overnight, one-month, three-month, six-month, and 12-month tenors are expected to continue on the current methodology until the end of June 2023. After this time, the one-month, three-month, and six-month settings are expected to continue using a synthetic, unrepresentative methodology.

LIBOR benchmark series in FRED will be discontinued at cessation dates. Recommended alternatives may be found on the Financial Conduct Authority’s LIBOR transition page.

Posted in FRED Announcements