Now we say goodbye to LIBOR
- News
30 June is the last day that USD Libor rates will be published. After that, all Libor rates will cease. Since 1 January 2022, the new risk-free reference rates for floating interest rates in USD, GBP, CHF and JPY apply.
| Currency | Reference Rate |
| USD | SOFR |
| GBP | SONIA |
| CHF | SARON |
| JPY | TONA |
31 December 2021 was the last day that several Libor rates were published, but USD Libor for 3 and 6 months remained. Now the publication of these will also cease after 30 June 2023. Outstanding contracts with USD Libor as the reference rate must be terminated or change the reference rate before the first fixing after 30 June.
| Quick Guide to Risk-Free Reference Rates: | |
| Maturities | Published only for O/N. Interest is calculated as O/N compounding |
| Publication | Published with a "lag", i.e., value date + 1 bank day |
| Term rates | Forward-looking term rates are available for e.g. SOFR and SONIA (1M, 3M, 6M, 12M). Can be used for commercial loans. |
| Publication | Published on the value date |
| Interest Conventions | Examples of new interest conventions include Lookback with observation shift, Lookback without observation shift, Payment delay |
| Spread | The spread increases when the reference rate changes from Libor to e.g. SOFR. This is because the new rates are risk-free while Libor includes bank risk spread. |
In this context, it is also worth noting that there is currently no timeline to replace Stibor with the new risk-free reference rate SWESTR. Stibor received approval for the new method of producing fixing rates under the EU Benchmark regulation in April. Both Stibor and SWESTR can be used as reference rates for SEK.