Synthetic LIBOR

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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


External link

FCA consults on proposed decision to require synthetic LIBOR for 6 sterling and Japanese yen settings