In Q1 2023, Refinitiv intends to publish new USD IBOR Cash Fallbacks that are consistent with the Federal Reserve Board’s benchmark replacements for FHFA-regulated-entity contracts (except Federal Home Loan Bank advances) and Federal Family Education Loan Program Asset-Backed Securitizations. 

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. 

In 2021 the Alternative Reference Rates Committee (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, and supports a range of different conventions for both consumer and institutional products. 

Refinitiv intends to supplement existing USD IBOR Cash Fallbacks with new rates that are consistent with the Federal Reserve Board’s December 2022 announcement. These new rates will adopt 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 Federal Family Education Loan Program (FFELP) Asset-Backed Securitizations (ABS). They will be 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 calculates the 1-month rate based on 30-day average SOFR and will complement this with the new 3-months, 6-months and 12-months rates. In an updated methodology document these rates will be 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 

Following the launch of these new rates as production-regulated benchmarks in Q1 2023, firms will be able to 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.  

For more information about Refinitiv USD IBOR Cash Fallbacks. 

Refinitiv has many years’ experience designing, calculating, governing, administering and publishing financial benchmarks that lie at the heart of the global financial system.  For more information about Refinitiv benchmarks.