A sterling RFR WG subcommittee is reportedly exploring the possibility of a synthetic LIBOR for certain legacy contracts, according to Risk.net. The committee has been looking into whether it would be possible to use an algorithm that could automatically adjust Libor rates in order to make them more attractive to investors.
A sterling RFR WG subcommittee is reportedly exploring the possibility of a synthetic LIBOR for certain legacy contracts, according to Risk.net. A modified formula-based LIBOR derived from a RFR is one of the extreme measures the new “tough legacy" subcommittee is understood to be considering.