Refinitiv Publishes New Versions of USD IBOR Cash Fallbacks

Effective yesterday, 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.