Isda sets two options for Libor fallback spread

Historical spread adjustment to be based on five-year median or 10-year mean

Spread-mechanism

A derivatives industry association has given swaps users two preferred choices for calculating the fallback rate for contracts referencing Libor, as the financial markets push to complete plans for shifting away from the discredited benchmark.

The International Swaps and Derivatives Association released a consultation paper on September 19 to determine the final parts of the methodology for setting the new rate that would apply to swaps contracts if Libor was to cease.

Two previous

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