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By: Sam Gruer, Managing Director
As the market anticipated, the British Financial Conduct Authority formally announced this morning that all LIBOR tenors in multiple currencies will be discontinued or become non-representative. As a result, under current ISDA definitions, fallback spreads have been calculated and set according to previously described methodologies. Although known with certainty as of today, these spreads won’t take effect until after the discontinuation or non-representative date. For issuers and borrowers who are most concerned about dollar denominated LIBOR with a tenor of one month and three month, this date will be after June 30, 2023. The calculated spreads are as follows:
Tenor Spread 1 mo 11.448 bps 3 mo 26.161 bps
For more information about what this may mean for your particular swap or loan transactions, please reach out to your Blue Rose advisor.