Refinitiv launches term ARRC fallbacks for legacy cash products

Candle chart 12 Aug 2020


Refinitiv launches forward looking term rate versions of ARRC

Refinitiv has begun the publication of forward-looking term rate versions of its ARRC recommended USD IBOR Cash Fallbacks.This follows the ARRC's March 2021 announcement that it had selected Refinitiv to publish its recommended fallback rates for cash products.


“There are trillions of dollars of cash products such as loans, bonds and securitized products that reference LIBOR and mature after June 30, 2023, which will use the ARRC’s recommended fallback rates. USD IBOR Cash Fallbacks help these legacy contracts to smoothly transition away from USD LIBOR," Refinitiv says.


The new forward-looking term rate versions of USD IBOR Cash Fallbacks are based upon CME Term SOFR plus the ARRC’s recommended spread adjustments. They are available as all-in spread adjusted rates in 1-month, 3-month 6-month and 12-month tenors. The institutional versions are available today as production benchmarks and the consumer versions are available as prototype rates with the intention that these rates will enter production immediately following June 30, 2023, when the ARRC’s recommended spread-adjustments for consumer products will be officially set.


The ARRC’s recommended USD IBOR Consumer Cash Fallbacks are unfloored. Refinitiv also publishes a version of its fallbacks where the all-in rate is floored at zero - USD IBOR Consumer Cash Fallbacks Floored - which may be suitable where contractual fallbacks refer to a floored rate.


"Since November 2021, Refinitiv USD IBOR Institutional Cash Fallbacks based upon SOFR compounded in arrears, daily simple SOFR in arrears and SOFR compounded in advance plus a spread adjustment have been available for use in financial and nonfinancial corporate contracts. Refinitiv also produces USD IBOR Consumer Cash Fallbacks based upon compounded SOFR in advance plus a spread adjustment. Except for the 1-week and 2-month USD IBOR Consumer Cash Fallbacks these consumer rates are prototypes."


Jacob Rank-Broadley, Head of LIBOR Transition, Benchmarks & Indices at Refinitiv, said: “With forward-looking term rate versions of Refinitiv USD IBOR Cash Fallbacks now available, market participants have an easy-to-use replacement benchmark that can be used in their legacy LIBOR contracts.”


Tom Wipf, ARRC Chairman and Vice Chairman of Institutional Securities at Morgan Stanley, added: “With the end of U.S. dollar LIBOR’s publication nearly upon us, it is critical to smoothly transition legacy contracts that will mature after then.”


For more information about the Refinitiv USD IBOR Cash Fallbacks, please visit here