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Centrus Supports Leading Note Trustee in Calculation of Rate of Interest on FRN

The Wheatley Review into LIBOR settings and the implications for contributing Banks has led to some difficulties being experienced by calculation agents where older Notes have required the garnering of LIBID or LIMEAN quotes from Reference Banks in order to calculate a rate of interest for FRNs.

Some documentation is structured in such a way that where no such quotes are available, the Trustee is required to calculate a substitute rate. This unexpected requirement has been triggered in some recent cases, and Centrus, with its long fixed income and capital markets experience, has been engaged by a leading Trustee in both constructing (with supporting evidence) and calculating a substitute rate which was used on a recent rate-setting date.