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.
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The content of this article is intended to provide a general guide to the subject matter. Specialist advice should be sought about your specific circumstances.
