ARRC Suggests USD LIBOR Fallback Formula

  • In the newly issued white paper, the ARRC detailed a suggested fallback formula from the USD LIBOR ICE Swap Rate to a spread-adjusted 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 Sterling LIBOR ICE Swap Rate
  • The suggested Fallback formula is: