Effective today, and following the January 30 announcement, Refinitiv has commenced publication of new USD IBOR Cash Fallbacks that are consistent with the Federal Reserve Board and ARRC benchmark replacements for FHFA-regulated-entity contracts (except Federal Home Loan Bank advances) and Federal Family Education Loan Program (FFELP) Asset-Backed Securitizations (ABS).
In 2021, the ARRC selected Refinitiv to calculate and publish industry recommended fallback rates for cash products. This benchmark family, USD IBOR Cash Fallbacks, first launched on November 30, 2021, supports a range of different conventions for both consumer and institutional products.
On March 15, 2022, congress enacted the Adjustable Interest Rate (LIBOR) Act to support legacy LIBOR contracts to smoothly transition to a replacement benchmark. On December 16, 2022, the Federal Reserve Board issued its Final Regulation Implementing the Adjustable Interest Rate (LIBOR) Act, which specifies the Board-selected benchmark replacements. On January 19, 2023, the ARRC voted to adjust its recommendations to conform with the Federal Reserve Board’s benchmark selections for FHFA-regulated-entity contracts and FFELP ABS.
Refinitiv has supplemented existing USD IBOR Cash Fallbacks with new rates that are consistent with the Federal Reserve Board’s December 2022 announcement. These new rates adopted the Federal Reserve Board’s selected benchmark replacements methodology for LIBOR contracts that are an FHFA-regulated-entity contract (except Federal Home Loan Bank advances) and LIBOR contracts that are a 1-, 6- or 12-months FFELP ABS. They are based on 30-day compounded average SOFR published by the Federal Reserve Bank of New York (FRBNY) plus the applicable static tenor spread adjustment used in other USD IBOR Institutional Cash Fallbacks.
Refinitiv already calculated the 1-month rate based on 30-day average SOFR and has complemented it with the new 3-months, 6-months and 12-months rates. In the methodology document these rates are referred to as:
- Refinitiv USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) 1 Month¹
- Refinitiv USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) 3 Months²
- Refinitiv USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) 6 Months³
- Refinitiv USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) 12 Months⁴
Firms can receive the new versions of Refinitiv USD IBOR Cash Fallbacks through the full suite of Refinitiv products, including Refinitiv Workspace, Refinitiv Eikon, Refinitiv Real-Time and Refinitiv DataScope as well as via the Refinitiv website.
Find out more - Refinitiv USD IBOR Cash Fallbacks.
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¹ Accessible via Refinitiv products using the <USDCFIFCADA1M=> RIC identifier
² Accessible via Refinitiv products using the <USDCFIFCADB3M=> RIC identifier
³ Accessible via Refinitiv products using the <USDCFIFCADB6M=> RIC identifier
⁴ Accessible via Refinitiv products using the <USDCFIFCADB1Y=> RIC identifier
