Refinitiv plans to supplement existing fallback rates with new Federal Reserve Board selected benchmark replacements

New York – 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.

¹ Once live, accessible via Refinitiv products using the <USDCFIFCADA1M=> RIC identifier

² Once live, accessible via Refinitiv products using the <USDCFIFCADB3M=> RIC identifier

³ Once live, accessible via Refinitiv products using the <USDCFIFCADB6M=> RIC identifier

⁴ Once live, accessible via Refinitiv products using the <USDCFIFCADB1Y=> RIC identifier

About Refinitiv, an LSEG business

Refinitiv, an LSEG (London Stock Exchange Group) business, is one of the world’s largest providers of financial markets data and infrastructure. With over 40,000 customers and 400,000 end users across 190 countries, Refinitiv is powering participants across the global financial marketplace. We provide information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence. By combining a unique open platform with best-in-class data and expertise, we connect people to choice and opportunity – driving performance, innovation and growth for our customers and partners. www.lseg.com

About Refinitiv

Refinitiv, an LSEG (London Stock Exchange Group) business, is one of the world’s largest providers of financial markets data and infrastructure. With $6.25 billion in revenue, over 40,000 customers and 400,000 end users across 190 countries, Refinitiv is powering participants across the global financial marketplace. We provide information, insights, and technology that enable customers to execute critical investing, trading and risk decisions with confidence. By combining a unique open platform with best-in-class data and expertise, we connect people with choice and opportunity – driving performance, innovation and growth for our customers and partners. 

Contact

Lemuel Brewster
London Stock Exchange Group
Communications Director
Mobile +1 (917) 805-1089
lemuel.brewster@refinitiv.com