Synthetic LIBOR
From ACT Wiki
Interest rates - reference rates - LIBOR transition - Financial Conduct Authority.
Proposals for the continued calculation and publication of a limited number of sterling and JPY rates under a changed methodology, after the cessation of the current LIBOR panels at the end of 2021.
- Key points for corporates from Edwin Schooling Latter's speech (FCA) - synthetic LIBOR
- "While the FCA is also taking steps to provide a time limited safety net to help contracts that can’t be transitioned, this does not remove the need for firms to act.
- Certain, yet to be determined ‘tough legacy’ contracts will be allowed to use a synthetic LIBOR rate based on forward-looking term RFRs, so SONIA for sterling, plus the relevant ISDA spread adjustment."
- ACT blog - Sarah Boyce - 15 July 2021
See also
- Benchmarks Regulation
- Financial Conduct Authority (FCA)
- ISDA spread adjustment
- Legacy
- LIBOR
- Risk-free rates (RFR)
- SOFR
- SONIA
- Synthetic
- Transition risk
