ARRC Publishes White Paper on Fallback Formula for USD LIBOR ICE Swap Rate

Weiner Brodsky Kider PC
Contact

Weiner Brodsky Kider PC

The Alternative Reference Rates Committee (ARRC) recently published a white paper suggesting a fallback formula for the USD LIBOR ICE swap rate.  The paper describes a formula that was developed by the ARRC Market Structure and Paced Transition Working Group to calculate a fallback from the USD LIBOR ICE Swap Rate to a spread-adjusted Secured Overnight Financing Rate (SOFR) Swap Rate.  The ARRC Chairman stated that the paper “aims to aid market participants as they consider how to address the impact that the end of representative USD LIBOR will have for contracts referencing the USD LIBOR ICE Swap Rates.”

The paper takes a similar approach to a paper recently published by the Working Group on Sterling Risk-Free Rates on a formula that can be used as fallback for the British Pound Sterling LIBOR ICE Swap Rate.

For more information on the ARRC and on the LIBOR-SOFR transition, please see WBK’s prior articles available here, here, here, and here.

DISCLAIMER: Because of the generality of this update, the information provided herein may not be applicable in all situations and should not be acted upon without specific legal advice based on particular situations.

© Weiner Brodsky Kider PC | Attorney Advertising

Written by:

Weiner Brodsky Kider PC
Contact
more
less

Weiner Brodsky Kider PC on:

Reporters on Deadline

"My best business intelligence, in one easy email…"

Your first step to building a free, personalized, morning email brief covering pertinent authors and topics on JD Supra:
*By using the service, you signify your acceptance of JD Supra's Privacy Policy.
Custom Email Digest
- hide
- hide

This website uses cookies to improve user experience, track anonymous site usage, store authorization tokens and permit sharing on social media networks. By continuing to browse this website you accept the use of cookies. Click here to read more about how we use cookies.