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ARRC Details Suggested Fallback Formula for USD LIBOR ICE Swap Rate

In a new white paper, the Alternative Reference Rates Committee ("ARRC") detailed a suggested fallback formula from the U.S. dollar ("USD") LIBOR ICE Swap Rate to a spread-adjusted Secured Overnight Financing Rate ("SOFR") Swap Rate. The fallback from the USD LIBOR ICE Swap Rate to a spread-adjusted SOFR Swap Rate is similar to a fallback used for the British Pound Sterling LIBOR ICE Swap Rate.

Primary Sources

  1. ARRC Press Release: ARRC Publishes White Paper on Suggested Fallback Formula for the USD LIBOR ICE Swap Rate
  2. ARRC White Paper: Suggested Fallback Formula for the USD LIBOR ICE Swap Rate

Tags

Regulated Products
Indices
Body of Law
Contracts
Jurisdiction
US - Federal
Organization
Trade / Industry Associations
Sub-Author
ARRC