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Clifford Chance

Clifford Chance


UK FCA announcement on cessation and loss of representativeness of LIBOR benchmarks: What next for Derivatives?

8 March 2021

On 5 March 2021 the UK Financial Conduct Authority (the "FCA") published an announcement on the future cessation and loss of representativeness of LIBOR benchmarks (the "FCA LIBOR Announcement").

This announcement constitutes an "Index Cessation Event" for the purposes of the ISDA IBOR Fallbacks Supplement and the ISDA 2020 IBOR Fallbacks Protocol. The publication of this announcement also triggers the fixing of the spread adjustment for each LIBOR setting under the terms of the Bloomberg IBOR Fallbacks Rate Adjustment Rulebook. The market now has a clear timetable for the cessation of LIBOR benchmarks and, for derivatives transactions that include an index cessation event trigger, confirmation of the dates from which the adjusted risk-free rate fallbacks for transactions referencing these LIBOR rates will apply as well as the quantum of the spread adjustment to be applied to these adjusted fallback rates.

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