Regulatory Alerts2021-06-23
Added · Updated
FS21/11: Article 23D BMR decision for 6 sterling and yen LIBOR versions
The Financial Conduct Authority requires ICE Benchmark Administration to publish 1-, 3-, and 6-month sterling and Japanese yen LIBOR settings under a synthetic methodology for the duration of 2022. This calculation combines forward-looking term risk-free rates with ISDA spread adjustments, with a specific adjustment for day count differences applied to the Japanese yen settings. The requirements take effect on 1 January 2022, immediately following the Article 23A designation of these settings as permanently unrepresentative. The Authority also confirms the permission for supervised entities to use these settings for legacy contracts, excluding cleared derivatives.
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