There are fundamental and technical differences between LIBORs and the new RFRs. To accommodate these differences, industry working groups recommend the usage of a fallback spread adjustment. The established market approach for the fallback spread adjustment is based on the 5-year historical median that calculates the difference between LIBOR and the alternative reference rate over five years’ worth of daily data points.
What is Fallback “Spread Adjustment”?
Frequently Asked Questions
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