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Libor transition

Refinitiv USD IBOR Cash Fallbacks

An overview of Refinitiv USD IBOR Cash Fallbacks

The Refinitiv USD IBOR Cash Fallbacks are a family of rates that support participants of the markets migrate away from USD LIBOR. ICE LIBOR® and LIBOR® are registered trade marks of ICE Benchmark Administration Limited (IBA), and are used by Refinitiv with permission under licence by IBA.

In light of the LIBOR cessation notice, market participants must be prepared for what happens to their existing USD LIBOR referencing contracts once USD LIBOR is no longer published.

Policy makers with support from the Alternative Reference Rates Committee (ARRC) have signed new legislation into State of New York law, which reduces the adverse economic outcomes associated with legacy LIBOR fallback language. Where the contract has no fallback or the fallback is based upon LIBOR the law strikes out any existing language and replaces it with the ARRC’s recommended fallback language. If the legacy language gives a party the right to exercise discretion or judgment regarding the fallback, that party can decide whether to use the ARRC’s fallback language and benefit from the statutory safe-harbor.

The ARRC’s fallback rates seek to be commercially substantially equivalent to USD LIBOR by capturing both a risk-free rate, which is measured by different forms of Secured Overnight Financing Rate (SOFR), plus a fixed spread adjustment that measures the average difference between USD LIBOR and SOFR. Different markets adopt different conventions so rather than having a single fallback rate there are a family of rates, each of which is suitable in different markets.

Refinitiv USD IBOR Cash Fallbacks are in prototype status and consequently we anticipate changes to the methodology prior to publication of the production rates. Refinitiv intend to include spread-adjusted Term SOFR rates and may amend existing settings based on user feedback to ensure full alignment with industry standards.

Features & benefits

What you get with USD IBOR Cash Fallbacks

  • The Refinitiv USD IBOR Cash Fallbacks seek to be commercially substantially equivalent to USD LIBOR by capturing both a risk-free rate, which is measured by different forms of Secured Overnight Financing Rate (SOFR), plus a fixed spread adjustment that measures the average difference between USD LIBOR and SOFR. Different markets adopt different conventions so rather than having a single fallback rate there are a family of rates, each of which is suitable in different markets.
  • There are two distinct families of the Refinitiv USD IBOR Cash Fallbacks: one for consumer products and the other for institutional products. Within these families a range of conventions are supported.
  • At Refinitiv, we have leveraged our many years’ experience administering regulated benchmarks such as WMR, CDOR and Refinitiv Term SONIA to create the Refinitiv USD IBOR Cash Fallbacks.

Disclaimer

2021 © Refinitiv. All rights reserved. This is a prototype of the USD IBOR Cash Fallbacks (“Prototype Fallback Rates”) and is provided for informational purposes only.  Refinitiv Limited, its affiliates (“Refinitiv”) and its third party providers (together “Refinitiv and Third Parties”) do not guarantee the quality, accuracy and/or completeness of the Prototype Fallback Rates or any data included therein.  Refinitiv and Third Parties make no express or implied warranties, representations or guarantees concerning the accuracy or completeness of the Prototype Fallback Rates or as to the results to be obtained by you, or any other person or entity from the use of the Prototype Fallback Rates or any data included therein. In no event shall Refinitiv and Third Parties have any liability for any loss of profits, special, punitive indirect, incidental or consequential relating to any use of the Prototype Fallback Rates.

No information provided, displayed or contained in the Prototype Fallback Rates is intended to be, or should be construed or used as, a benchmark, whether as a reference rate in financial instruments, or financial contract; or for valuation and pricing activities ("Prohibited Use").  Whether you have entered into a contract with Refinitiv or not, you are not permitted to access or use in any way such information for the Prohibited Use and may breach the Benchmark Regulation and/or any contract with Refinitiv if you do.  Refinitiv does not warrant that the Prototype Fallback Rates are provided in accordance with the Benchmark Regulation.  "Benchmark Regulation" means, in respect of the EEA, EU Regulation 2016/1011 and in respect of another country, the equivalent legislation. If you are in any doubt about the meaning of Prohibited Use or your obligations under the Benchmark Regulation, you should seek professional advice. 

USD ICE LIBOR, which is administered and published by ICE Benchmark Administration Limited (IBA), serves as an input for the Prototype Fallback Rates.  LIBOR®, ICE LIBOR® and ICE Benchmark Administration® are registered trade marks of IBA and/or its affiliates. USD ICE LIBOR, and the registered trade marks LIBOR, ICE LIBOR and ICE Benchmark Administration, are used by Refinitiv with permission under licence by IBA. The Prototype Fallback Rates are not sponsored, endorsed or provided by IBA or any of IBA’s affiliates. IBA and its affiliates make no claim, predication, warranty or representation whatsoever, express or implied, as to the results to be obtained from any use of LIBOR® or Prototype Fallback Rates, or the appropriateness or suitability of LIBOR® or the Prototype Fallback Rates for any particular purpose to which it might be put, including with respect to the Prototype Fallback Rates. To the fullest extent permitted by applicable law, all implied terms, conditions and warranties, including, without limitation, as to quality, merchantability, fitness for purpose, title or non-infringement, in relation to LIBOR® and Prototype Fallback Rates, are hereby excluded and none of IBA or any of its affiliates will be liable in contract or tort (including negligence), for breach of statutory duty or nuisance, for misrepresentation, or under antitrust laws or otherwise, in respect of any inaccuracies, errors, omissions, delays, failures, cessations or changes (material or otherwise) in LIBOR® or Prototype Fallback Rates, or for any damage, expense or other loss (whether direct or indirect) you may suffer arising out of or in connection with LIBOR® or Prototype Fallback Rates or any reliance you may place upon it.

How it works

Accessing the dataset

This dataset can be used by the following products. Talk to us to learn more about different packages and offerings.

Refinitiv Data Platform

The Refinitiv Data Platform delivers a single, consistent data experience to access, distribute and build with Refinitiv and third party data. With cloud-enabled platform capabilities and flexible distribution options, the Refinitiv Data Platform enables faster deployment of applications, greater scale with workflow-critical analytics and a reimagined approach to technology innovation, data distribution and management.

Data Formats: JSON
Delivery Mechanisms: API
Publishing Frequencies: Daily ・ Real-Time

Refinitiv Datastream

Welcome to Datastream, our historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 14 million economic indicators. It features 100+ years of data, across 175 countries – the information and tools you need to interpret market trends, economic cycles, and the impact of world events. Datastream is available via Datastream Advance (EOL Sept 2021) or via Eikon DFO, Eikon R&A, Refinitiv Workspace for Students, Refinitiv Workspace for Academics, Refinitiv Workspace for Wealth. It is expected to be included in many more variants of Refinitiv Workspace during 2021. Datafeed access is via Datastream Data Loader & Datastream Web Service (which includes Matlab, EViews, Python, R & codebook integration) Client desktop tools include DFO (Datastream for Office) Datastream Charting, including Chartbook Navigator - Search & Navigation tool.

Data Formats: HTML
Delivery Mechanisms: API ・ Desktop ・ Excel
Publishing Frequencies: Daily ・ Event-Based

Eikon

Refinitiv Eikon delivers a powerful combination of information, analytics and exclusive news on financial markets – delivered in an elegant and intuitive desktop and mobile interface.

Data Formats: CSV ・ JSON ・Python ・ User Interface ・ XML
Delivery Mechanisms: API ・ Desktop ・ Excel
Publishing Frequencies: Daily ・ Real-Time

Knowledge Direct

Knowledge Direct API uses industry standard protocols (SOAP and XML) to deliver Refinitiv content for inclusion within internal or external client applications. Using XML request/response, clients can access a comprehensive offering of company and economic Data (fundamentals, estimates, significant developments, etc.), market data, news and quotes and the associated capabilities, including charts, search and timeseries.

Data Formats: XML
Delivery Mechanisms: API
Publishing Frequencies: Daily

Refinitiv DataScope

Refinitiv DataScope is a strategic custom delivery platform that supports a full cross-asset offering for pricing, reference data, and derived analytics. Covering all major asset classes, including fixed income, equities, futures and options, money, funds, loans, CDS/IRS and OTC equity options, as well as corporate actions data, estimates, entity data and news, Refinitiv DataScope Select provides flexible extraction capabilities, including file customization, scheduling and trigger options, intraday snaps and third-party entitlements. Cross-platform support is available for data retrieval and includes a zero-footprint web interface, FTP connection (internet or private network (BT Radianz (MPLS) or Delivery Direct) and API internet client server. Fee-liable, subject to terms and conditions.

Data Formats: CSV
Delivery Mechanisms: API ・ FTP
Publishing Frequencies: Daily ・ End of Day

Workspace

Refinitiv Workspace delivers a powerful combination of information, analytics and exclusive news on financial markets – delivered in an elegant and intuitive desktop and mobile interface.

Data Formats: CSV ・ JSON ・User Interface ・ Python
Delivery Mechanisms: API ・ Desktop ・ Excel
Publishing Frequencies: Daily ・ Real-Time

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