On April 8, the ARRC announced that it had agreed on a recommended spread adjustment methodology for cash products referencing USD LIBOR.

The ARRC’s recommended methodology is intended for use in for USD LIBOR contracts that have incorporated the ARRC’s recommended hardwired fallback language or for legacy USD LIBOR contracts where a spread-adjusted SOFR can

On March 2, 2020, the Federal Reserve Bank of New York (the “New York Fed”), as administrator of SOFR, began publishing 30-, 90-, and 180-day SOFR Averages as well as a SOFR Index.

The SOFR Averages for a given publication date incorporate all the SOFR values starting exactly 30-, 90-, and 180-calendar days before the publication date, regardless of whether or not that date is a weekend or holiday, and extend through the SOFR published that day.


Continue Reading Federal Reserve Bank of New York Announces Publication of SOFR Averages and Index

On January 31, 2020, the ARRC released a vendor survey and a buy-side checklist. Both documents were developed by the ARRC’s Operations/Infrastructure Working Group and, according to the ARRC, are intended to support market participants’ work to address operational challenges in the transition from USD LIBOR to SOFR. The survey serves as a self-assessment tool