Annex 4 Benchmarks Regulation – Notice of proposed modifications [pdf]

In view of the upcoming termination of the remaining US Dollar LIBOR tenors and to facilitate the disclosure of certain panels on a synthetic basis, the Financial Conduct Authority has published a draft version of its upcoming amendments to the Retained Benchmark Regulation (UK BMR) and numerous delegated regulations thereunder (please see the list above). The draft was sent to the ICE Benchmark Administration Limited, the administrator of the LIBOR, for acknowledgement.
Specifically, as the 1-, 3-, and 6-month US Dollar LIBOR will be designated as an Article 23A benchmark beginning July 1, 2023, some provisions and rules will no longer apply. For example, the requirements pertaining to contributors of the LIBOR versions for representativeness purposes will no longer apply, as there simply won’t be any contributors. Likewise, corresponding requirements of the benchmark administrator will no longer apply. Additionally, there will be changes in the computation methodology of the benchmark tenors due to them being based on the relevant CME Term SOFR reference rate (Secured Overnight Financing Rate) plus the respective ISDA fixed spread adjustment.