FCA moots synthetic Libor as rates fallback

Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread

Andrew Bailey
Andrew Bailey: FCA has discussed with industry what the fallback could be

Existing derivatives contracts could be amended to reference a synthetic Libor rate should the benchmark cease to be produced after 2021, according to Andrew Bailey, chief executive of the UK’s Financial Conduct Authority (FCA). The fallback rate would be created by adding a credit component onto a dynamic, risk-free rate – potentially helping to avoid a sharp transition if Libor is abandoned.

Banks have agreed to continue participating in Libor-setting panels until that point – and the FCA has

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: