Libor-SOFR blowout raises questions for fallback rate

The yawning gulf that’s sprung open between secured and unsecured funding rates in recent days has wrenched the planned Libor fallback rate far out of sync with the disgraced benchmark it would replace.

The mooted fallback rate for dollar Libor contracts has two components: the realised three-month SOFR rate and the five-year median of the realised three-month Libor/SOFR spread. This historical median is calculated for the five years ending the day three months before the benchmark ceases, so

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