The FCA Announces the Publication of One-, Three-, and Six- Month Synthetic US Dollar LIBOR Settings

  • Source:

Treliant Takeaway:

Treliant helps global banking institutions manage the transition away from LIBOR settings, which ended for Sterling, Swiss franc, Japanese yen, and euro on December 31, 2021. The transition continues for U.S. dollar LIBOR to its replacement rate Secured Overnight Financing Rate (SOFR) ahead of its cessation in June 2023. Our consultant team has deep experience helping our global banking clients prepare for and manage the complexity of regulatory change.


On April 3, 2023, having considered feedback to the June 2022 Consultation on ‘synthetic’ US dollar LIBOR the Financial Conduct Authority announced the requirement for ICE Benchmark Administration to continue to publish one-, three-, and six-month synthetic US dollar LIBOR settings.

Specifically, the FCA announced:

  • The settings will be published for a short amount of time expected to be till end September 2024
  • The methodology will be CME Term SPRF plus the relevant ISDA fixed spread adjustment
  • The setting will be permitted in all contracts except cleared derivatives with no workable fallback provisions e.g. the US LIBOR Act

This is in line with what the FCA has been signaling and the FCA continues to make clear it is their expectation that firms take action to continue to actively transition contracts which reference USD LIBOR.