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Shorter Reads
The FCA has confirmed that synthetic rates will be published for 1, 3 and 6 month Sterling and Yen LIBOR from the 1st of January 2022, for at least 12 months.
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Published 6 December 2021
The FCA has confirmed that synthetic rates will be published for 1, 3 and 6 month Sterling and Yen LIBOR from the 1st of January 2022, for at least 12 months.
These rates will be available for use in all legacy contracts, except cleared derivatives, because clearing houses already plan to transition their instruments to risk-free rates by the end of this year.
Sterling synthetic LIBOR will be calculated as follows:
The ISDA credit adjustment spreads were fixed earlier this year, when the FCA announced that LIBOR would cease. These were calculated on a 5-year historical spread between LIBOR and SONIA:
Currency | Tenor | Credit adjustment spread |
GBP | 1 month | 0.0326 |
GBP | 3 months | 0.1193 |
GBP | 6 months | 0.2766 |
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Shorter Reads
The FCA has confirmed that synthetic rates will be published for 1, 3 and 6 month Sterling and Yen LIBOR from the 1st of January 2022, for at least 12 months.
Published 6 December 2021
The FCA has confirmed that synthetic rates will be published for 1, 3 and 6 month Sterling and Yen LIBOR from the 1st of January 2022, for at least 12 months.
These rates will be available for use in all legacy contracts, except cleared derivatives, because clearing houses already plan to transition their instruments to risk-free rates by the end of this year.
Sterling synthetic LIBOR will be calculated as follows:
The ISDA credit adjustment spreads were fixed earlier this year, when the FCA announced that LIBOR would cease. These were calculated on a 5-year historical spread between LIBOR and SONIA:
Currency | Tenor | Credit adjustment spread |
GBP | 1 month | 0.0326 |
GBP | 3 months | 0.1193 |
GBP | 6 months | 0.2766 |
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Specialising in Commercial disputes and Banking & financial disputes
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