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Frequently Asked Questions BACK

What is Fallback “Spread Adjustment”?

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.

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