CORPORATEREFINITIV BENCHMARKSERVICES (UK) LIMITEDUSD IBOR INSTITUTIONAL CASH FALLBACKS BENCHMARKUSD IBOR CONSUMER CASH FALLBACKS BENCHMARKMETHODOLOGY

Effective Date: 17 June 2024

Document Classification: Public

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS

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Contents
1.1

INTRODUCTION ...............................................................................................................................................................4
Overview .......................................................................................................................................................................4

1.2

Benchmark Administrator ..............................................................................................................................................4

1.3

Description of the Refinitiv USD IBOR Cash Fallbacks .................................................................................................4

1.4

Purpose of the Benchmarks ..........................................................................................................................................7

2.1

REFINITIV USD IBOR CASH FALLBACKS .....................................................................................................................8
USD IBOR Institutional Cash Fallbacks (In-Arrears) .....................................................................................................8

2.2

USD IBOR Institutional Cash Fallbacks (In-Advance) ...................................................................................................8

2.3

USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) .............................................................9

2.4

USD IBOR Institutional Cash Fallbacks (Term) .............................................................................................................9

2.5

USD IBOR Consumer Cash Fallbacks (In-Advance).....................................................................................................9

2.6

USD IBOR Consumer Cash Fallbacks (Term) ............................................................................................................ 10

3.1

INPUT DATA ...................................................................................................................................................................11
Daily SOFR and SOFR Averages ............................................................................................................................... 11

3.2

USD LIBOR .................................................................................................................................................................11

3.3

CME Term SOFR ........................................................................................................................................................ 11

4.1

DETERMINATION OF THE BENCHMARK .................................................................................................................... 12
USD IBOR Institutional Cash Fallbacks (In-Arrears) Benchmark ................................................................................ 12

1.

2.

3.

4.

4.1.1

Adjusted SOFR for Overnight Tenor ..................................................................................................................... 12

4.1.2

Adjusted SOFR for 1W to 12M Tenors ................................................................................................................. 12

4.1.3

Spread Adjustment ............................................................................................................................................... 13

4.1.4

All In USD IBOR Institutional Cash Fallbacks (In-Arrears) .................................................................................... 13

4.2

USD IBOR Institutional Cash Fallbacks (In-Advance) .................................................................................................14

4.3

USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) ........................................................... 14

4.4

USD IBOR Institutional Cash Fallbacks (Term) ........................................................................................................... 14

4.5

USD IBOR Consumer Cash Fallbacks (In-Advance)...................................................................................................14

4.5.1

Transition Period for 1W and 2M Benchmark Tenors ........................................................................................... 14

4.5.2

Transition Period for 1M, 3M and 6M Benchmark Tenors ..................................................................................... 14

4.5.3

All In USD IBOR Consumer Cash Fallbacks Benchmark ...................................................................................... 15

4.6
4.6.1

Transition Period for USD IBOR Consumer Cash Fallback (Term)....................................................................... 15

4.6.2

All In USD IBOR Consumer Cash Fallbacks (Term) Benchmark .......................................................................... 16

5.1

PUBLICATION AND REFIX POLICY .............................................................................................................................. 17
Publication ...................................................................................................................................................................17

5.2

Delayed Publication..................................................................................................................................................... 17

5.3

Refix Policy .................................................................................................................................................................17

5.4

Publication RIC Identifiers ........................................................................................................................................... 17

6.1

METHODOLOGY REVIEW AND CHANGE PROCEDURES .......................................................................................... 24
Review of the Methodology and Input Data Providers .................................................................................................24

6.2

Changes to the Methodology ...................................................................................................................................... 24

6.3

Objective of the Methodology ...................................................................................................................................... 24

6.4

Identification of Potential Limitations of the Benchmark .............................................................................................. 24

5.

6.

7.

USD IBOR Consumer Cash Fallbacks (Term) ............................................................................................................ 15

GOVERNANCE AND FURTHER INFORMATION .......................................................................................................... 25

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS

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7.1

Benchmark Administrator ............................................................................................................................................ 25

7.2

Oversight Committee................................................................................................................................................... 25

7.3

Benchmark Manager ................................................................................................................................................... 25

7.4

User Feedback ............................................................................................................................................................ 25

7.5

Further Information ...................................................................................................................................................... 25

8.
DISCLAIMER ..................................................................................................................................................................26
ANNEX: CLIMATE RELATED DISCLOSURES .......................................................................................................................... 272024 © Refinitiv. All rights reserved. See disclaimer in Section 8.

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS

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1. INTRODUCTION
1.1

Overview
This document specifies the methodology (“Methodology”) of (i) the USD IBOR Institutional Cash Fallbacks
benchmark and (ii) the USD IBOR Consumer Cash Fallbacks benchmark (together the “Benchmarks”).
This Methodology and the Benchmarks are subject to the disclaimer in Section 8 below.
The purpose of the USD IBOR Institutional Cash Fallbacks benchmark and the USD IBOR Consumer
Cash Fallbacks benchmark is to provide fallbacks for existing institutional and consumer cash financial
products such as adjustable rate mortgages, bilateral business loans, floating rate notes, securitizations,syndicated loans and variable rate private student loans that currently reference US dollar LIBOR. ICE
LIBOR® and LIBOR® are registered trade marks of ICE Benchmark Administration Limited (IBA), and areused by Refinitiv with permission under licence by IBA.
The UK Financial Conduct Authority (FCA) has confirmed that all LIBOR settings will either cease to beprovided by any administrator or no longer be representative 1:•

Immediately after December 31st 2021, in the case of all sterling, euro, Swiss franc and Japanese yen
settings, and the 1-week and 2-month US dollar settings, and•

1.2

Immediately after June 30th 2023, in the case of the remaining US dollar settings.

Benchmark Administrator
Refinitiv Benchmark Services (UK) Limited ("RBSL") is the Administrator of the USD IBOR Institutional
Cash Fallbacks benchmark and the USD IBOR Consumer Cash Fallbacks benchmark. RBSL isincorporated in England and Wales and is a wholly owned subsidiary of Refinitiv Limited (“RL”), itself awholly owned indirect subsidiary of London Stock Exchange Group plc (“LSEG”).
RBSL is authorised and regulated in the UK by the Financial Conduct Authority ("FCA"), FCA Reference
Number 610678.
As Administrator, RBSL is responsible for collecting input data, determining and publishing thebenchmarks, and for all aspects of governance, oversight, compliance and integrity of the benchmarks.

1.3

Description of the Refinitiv USD IBOR Cash Fallbacks
The USD IBOR Institutional Cash Fallbacks benchmark comprises four types of rates:•

In-Arrears for institutional cash financial products,•

In-Advance for institutional cash financial products,•

In-Advance (30-day Average SOFR) for institutional cash financial products,

1 www.fca.org.uk/publication/documents/future-cessation-loss-representativeness-libor-benchmarks.pdf

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS•

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Term for institutional cash financial products.

The USD IBOR Consumer Cash Fallbacks benchmark comprises two types of rate:•

In-Advance for consumer cash financial products,•

Term for consumer cash financial products.

Each “All In” fallback rate is composed of an “Adjusted SOFR” rate, which is based on either the daily
SOFR rate published by the Federal Reserve Bank of New York or the CME Term SOFR Reference Rate,and a “Spread Adjustment”.
USD IBOR INSTITUTIONAL CASH FALLBACKS BENCHMARK

Adjusted SOFR for USD IBOR Institutional Cash Fallbacks (In-Arrears) is the average of daily SOFR overthe interest accrual period following the publication of a LIBOR setting 2. Two versions of the average areproduced resulting in two All In rates for each type of In-Arrears fallback (except for the O/N tenor):compounded SOFR and simple SOFR.
The Spread Adjustment is calculated in accordance with the ISDA USD LIBOR fallback rate methodology
for each USD LIBOR tenor as of March 5th, 2021. Each Spread Adjustment for a specific USD LIBOR tenor
is added to the Adjusted SOFR to produce the All In USD IBOR Institutional Cash Fallback (In-Arrears)
benchmark of the equivalent tenor on both a compound and simple basis. Each USD IBOR Institutional
Cash Fallback (In-Arrears) benchmark setting is published toward the end of the interest accrual periodthat follows the publication of the corresponding LIBOR setting once the final required daily SOFR rate isavailable.
The three Adjusted SOFRs for USD IBOR Institutional Cash Fallbacks (In-Advance) are the threecompounded averages of daily SOFR with tenors of 30-, 90-, and 180-calendar days published daily by theFederal Reserve Bank of New York. The Spread Adjustment calculation methodology is consistent with the
ISDA USD LIBOR fallback rate for the corresponding tenor (1 month, 3 months and 6 months respectively)
as of March 5th, 2021.
The Adjusted SOFR for all four USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average
SOFR) is the compounded average of daily SOFR with a tenor of 30-calendar days published daily by theFederal Reserve Bank of New York. The Spread Adjustment calculation methodology is consistent with the
ISDA USD LIBOR fallback rate for the corresponding tenor (1 month, 3 months, 6 months and 12 months
respectively) as of March 5th, 2021.
The four Adjusted SOFRs for the USD IBOR Institutional Cash Fallbacks (Term) are the CME Term SOFR
Reference Rates with tenors 1 month, 3 months, 6 months and 12 months published daily by CME Group
Benchmark Administration Limited. The Spread Adjustment calculation methodology is consistent with the
2 Following the final cessation of LIBOR in June 2023, a LIBOR setting date shall mean a London business day and a LIBOR

setting shall mean the LIBOR setting that would have occurred on a London business day had LIBOR not ceased to be
published.

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ISDA USD LIBOR fallback rate for the corresponding tenor (1 month, 3 months, 6 months and 12 months
respectively) as of March 5th, 2021.
USD IBOR CONSUMER CASH FALLBACKS BENCHMARKThe Adjusted SOFR for the USD IBOR Consumer Cash Fallbacks (In-Advance) with tenors of 1 week, 1month and 2 months is the compounded average of daily SOFR with a tenor of 30-calendar days publisheddaily by the Federal Reserve Bank of New York. The Adjusted SOFRs for the USD IBOR Consumer Cash
Fallbacks (In-Advance) with tenors of 3 months and 6 months are the compounded averages of daily
SOFR with tenors of 90- and 180-calendar days published daily by the Federal Reserve Bank of New York
respectively.
The Spread Adjustment for each USD IBOR Consumer Cash Fallback (In-Advance) is a linear interpolation
over one year (the relevant “Transition Period”) between (i) the average SOFR-LIBOR spread over the ten
business days leading up to the cessation of publication or date of non-representativeness of each LIBOR
tenor and (ii) the spread calculated in accordance with the ISDA USD LIBOR fallback rate methodology forthe corresponding USD LIBOR tenor as of March 5th, 2021.
For each of the USD IBOR Consumer Cash Fallbacks (In-Advance) benchmark tenors, two versions of the
All In rate are published: one version that is floored at zero (USD IBOR Consumer Cash Fallbacks Floored)
and another that is not floored (USD IBOR Consumer Cash Fallbacks).
The four Adjusted SOFRs for the USD IBOR Consumer Cash Fallbacks (Term) are the CME Term SOFR
Reference Rates with tenors 1 month, 3 months, 6 months and 12 months published daily by CME Group
Benchmark Administration Limited.
The Spread Adjustment for each USD IBOR Consumer Cash Fallback (Term) is a linear interpolation over
one year (the “Transition Period”) between (i) the average Term SOFR-LIBOR spread over the ten
business days leading up to the cessation of publication or date of non-representativeness of each LIBOR
tenor and (ii) the spread calculated in accordance with the ISDA USD LIBOR fallback rate methodology forthe corresponding USD LIBOR tenor as of March 5th, 2021.
For each of the USD IBOR Consumer Cash Fallbacks (Term) benchmark tenors, two versions of the All In
rate are published: one version that is floored at zero and another that is not floored.
PUBLICATIONAll USD IBOR Cash Fallbacks benchmarks are published at approximately 08:20am ET, around 20
minutes after the Federal Reserve Bank of New York publishes the daily SOFR rate and the SOFR
averages. SOFR is published at approximately 08:00am ET. CME Term SOFR Reference Rates are
published at 06:00am ET.

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS

1.4

7

Purpose of the Benchmarks
The purpose of the USD IBOR Institutional Cash Fallbacks benchmark and USD IBOR Consumer Cash
Fallbacks benchmark is to provide fallbacks for existing institutional and consumer cash financial products
such as bilateral business loans, floating rate notes, securitizations, syndicated loans, adjustable rate
mortgages and student loans that currently reference the relevant US dollar LIBOR tenors. On March 17th,
2021, the Alternative Reference Rates Committee (ARRC) announced 3 that it had selected Refinitiv topublish its recommended spread adjustments and spread-adjusted rates for cash products that transition
away from USD LIBOR. The benchmarks provides such spread adjustments and spread-adjusted rates for
institutional and consumer cash products that reference the relevant US dollar LIBOR tenors.

3 www.newyorkfed.org/medialibrary/Microsites/arrc/files/2021/20210317-press-release-Spread-Adjustment-Vendor-Refinitiv.pdf

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2. REFINITIV USD IBOR CASH FALLBACKS
2.1

USD IBOR Institutional Cash Fallbacks (In-Arrears)
The USD IBOR Institutional Cash Fallbacks (In-Arrears) comprise the following 103 rates:

Tenor

No Lookback or
Lockout

Lookback(no observation
shift)

Lookback(with observation
shift)

Lockout

O/N

✓

-

-

-

1-Week✓3 days2 and 3 days

2 and 3 days

1-Month

✓3, 5 and 10 days

2, 3 and 5 days

2 and 3 days

2-Month

✓3, 5 and 10 days

2, 3 and 5 days

2 and 3 days

3-Month

✓3, 5 and 10 days

2, 3 and 5 days

2 and 3 days

6-Month

✓3, 5 and 10 days

2, 3 and 5 days

2 and 3 days

12-Month✓

3, 5 and 10 days

2, 3 and 5 days

2 and 3 days

Compounded Rates

6

16

17

12

Simple Rates

7

16

17

12

Total Rates

13

32

34

24

Each rate has both an All In value and an Adjusted SOFR value.

2.2

USD IBOR Institutional Cash Fallbacks (In-Advance)
The USD IBOR Institutional Cash Fallbacks (In-Advance) comprise the following three rates. Each rate hasboth an All In value and an Adjusted SOFR value. The Adjusted SOFR used for each rate is thecompounded average of daily SOFR published daily by the Federal Reserve Bank of New York withcorresponding tenor.
•

1-Month•

3-MonthAn LSEG Business•

6-MonthREFINITIV USD IBOR CASH FALLBACKS

2.3

USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average
SOFR)
The USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) comprise the following
four rates. Each rate has both an All In value and an Adjusted SOFR value. For each rate, the Adjusted
SOFR used is the compounded average of daily SOFR published daily by the Federal Reserve Bank of
New York with 30 day tenor.

2.4•

1-Month•

6-Month•

3-Month•

12-Month

USD IBOR Institutional Cash Fallbacks (Term)
The USD IBOR Institutional Cash Fallbacks (Term) comprise the following four rates. Each rate has an All
In value. The Adjusted SOFR values are the corresponding CME Term SOFR Reference Rates.

2.5•

1-Month•

6-Month•

3-Month•

12-Month

USD IBOR Consumer Cash Fallbacks (In-Advance)
The USD IBOR Consumer Cash Fallbacks (In-Advance) comprise the following ten benchmarks. Each is
published with an All In rate and a Spread Adjustment (the Spread Adjustment is the same for floored andunfloored benchmarks with the same tenor). The Adjusted SOFR rates are published by the Federal
Reserve Bank of New York.
Tenor

Adjusted SOFR

Adjusted SOFR

Benchmark Status

1-Week30-day SOFR
Average30-day SOFR Average
All In Rate Floored at Zero

Benchmark1-Month30-day SOFR
Average30-day SOFR Average
All In Rate Floored at Zero

Benchmark2-Month30-day SOFR
Average30-day SOFR Average
All In Rate Floored at Zero

Benchmark3-Month90-day SOFR
Average90-day SOFR Average
All In Rate Floored at Zero

Benchmark6-Month

180-day SOFR
Average180-day SOFR Average
All In Rate Floored at Zero

BenchmarkAn LSEG Business9

REFINITIV USD IBOR CASH FALLBACKS

2.6

USD IBOR Consumer Cash Fallbacks (Term)
The USD IBOR Consumer Cash Fallbacks (Term) comprise the following benchmarks. Each is publishedwith an All In rate and a Spread Adjustment (the Spread Adjustment is the same for floored and unflooredbenchmarks with the same tenor).
Tenor

Adjusted SOFR

Adjusted SOFR

Benchmark Status

1-Month

1M CME Term SOFR

1M CME Term SOFRAll In Rate Floored at Zero

Benchmark3-Month

3M CME Term SOFR

3M CME Term SOFRAll In Rate Floored at Zero

Benchmark6-Month

6M CME Term SOFR

6M CME Term SOFRAll In Rate Floored at Zero

Benchmark12-Month

12M CME Term SOFR

12M CME Term SOFRAll In Rate Floored at Zero

BenchmarkAn LSEG Business10

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3. INPUT DATA
3.1

Daily SOFR and SOFR Averages
Daily SOFR rates and the 30-, 90- and 180-day SOFR averages are published on each SIFMA business
day by the Federal Reserve Bank of New York. Daily SOFR rates are used to calculate Adjusted SOFR
rates for USD IBOR Institutional Cash Fallbacks (In-Arrears) and the SOFR averages are used as Adjusted
SOFR rates for all In-Advance USD IBOR Cash Fallbacks.

3.2

USD LIBOR
Overnight, 1-Week, 1-Month, 2-Month, 3-Month, 6-Month and 12-Month USD LIBOR is published on eachLondon business day by ICE Benchmark Administration Limited.
USD LIBOR® is used to calculate the Spread Adjustment in accordance with the ISDA USD LIBOR
fallback rate methodology for each USD LIBOR tenor as of March 5th, 2021. 1-Month, 3-Month and 6Month USD LIBOR® are also used to calculate the interpolated Spread Adjustment for the USD IBOR
Consumer Cash Fallbacks (In-Advance) benchmark during the relevant Transition Period.

3.3

CME Term SOFR
1-Month, 3-Month, 6-Month and 12-Month CME Term SOFR Reference Rates are published on each
SIFMA business day by CME Group Benchmark Administration Limited.
CME Term SOFR Reference Rates are used to calculate the interpolated Spread Adjustment for the USD
IBOR Consumer Cash Fallbacks (Term) benchmark during its Transition Period.

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS

4. DETERMINATION OF THE BENCHMARK
4.1

USD IBOR Institutional Cash Fallbacks (In-Arrears) Benchmark

4.1.1 Adjusted SOFR for Overnight Tenor
𝑠𝑖𝑚𝑝

The Adjusted SOFR 𝐴𝑆𝑅𝑂/𝑁,𝑡 for the overnight tenor and LIBOR setting date4 𝑡 is the SOFR rate for thedate 𝑡. As only one SOFR rate is used for the Adjusted SOFR rate, there is no compound version of the
Adjusted SOFR rate for the overnight tenor.

4.1.2 Adjusted SOFR for 1W to 12M Tenors
𝑐𝑜𝑚𝑝

Adjusted SOFR on a compound basis 𝐴𝑆𝑅𝑓,𝑡

for tenor 𝑓 and LIBOR setting date 𝑡, is calculated inaccordance with equation 1.

𝒄𝒐𝒎𝒑

𝑨𝑺𝑹𝒇,𝒕=𝟑𝟔𝟎
𝒏𝒖−𝒓,𝒖−𝒓+𝟏∙ [ ∏ (𝟏 +∙ 𝑺𝑶𝑭𝑹𝑫(𝒖) ) − 𝟏]
𝑵(𝒕𝟎 − 𝒓, 𝑻𝒇,𝒕 − 𝒓)
𝟑𝟔𝟎

(1)

𝒖∈𝑨𝑷𝒇,𝒕𝟎

𝑠𝑖𝑚𝑝

Adjusted SOFR on a simple basis 𝐴𝑆𝑅𝑓,𝑡

for tenor 𝑓 and LIBOR setting date 𝑡, is calculated inaccordance with equation 2.

𝒔𝒊𝒎𝒑

𝑨𝑺𝑹𝒇,𝒕=𝟑𝟔𝟎
𝒏𝒖−𝒓,𝒖−𝒓+𝟏∙[ ∑∙ 𝑺𝑶𝑭𝑹𝑫(𝒖) ]𝑵(𝒕𝟎 − 𝒓, 𝑻𝒇,𝒕 − 𝒓)
𝟑𝟔𝟎

(2)

𝒖∈𝑨𝑷𝒇,𝒕𝟎

The following definitions apply to equations 1 and 2:•

𝑡0 is the start of the LIBOR interest accrual period corresponding to a LIBOR setting on day 𝑡 andis defined for the 1W to 12M tenors as 𝑡 + 2 London business days and if such day is not both aLondon and a SIFMA business day, 𝑡 is rolled forward to the first subsequent day that is both aLondon and SIFMA business day.

•For the 1W tenor, 𝑇𝑓,𝑡 is 𝑡0 plus 7 calendar days. If such day is not both a London and SIFMA
business day, 𝑇𝑓,𝑡 is rolled forward to the first subsequent day that is both a London and SIFMA
business day.

•For the 1M-12M tenors, 𝑇𝑓,𝑡 is 𝑡0 plus the relevant number of calendar months. If there is nocorresponding day in the final month, 𝑇𝑓,𝑡 is set as the last calendar day of the final month (forexample, for March 31st plus 1 calendar month, 𝑇𝑓,𝑡 would be April 30th). If such day is not both aLondon and a SIFMA business day, 𝑇𝑓,𝑡 is adjusted to the nearest day that is both a London and
SIFMA business day in accordance with the modified following day adjustment convention.

4 Following the final cessation of LIBOR in June 2023, a LIBOR setting date shall mean a London business day and a LIBOR

setting shall mean the LIBOR setting that would have occurred on a London business day had LIBOR not ceased to be
published.

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REFINITIV USD IBOR CASH FALLBACKS•Interest accrual period 𝐴𝑃𝑓,𝑡0 is from and including 𝑡0 up to but excluding 𝑇𝑓,𝑡 .

•𝑢 is a SIFMA business day in the interest accrual period 𝐴𝑃𝑓,𝑡0 and r is the number of SIFMA

13

business days for the observation shift for USD IBOR Institutional Cash Fallbacks (In-Arrears) withsuch an observation shift (and is zero otherwise).
•𝐷(𝑢) is the SIFMA business day 𝑢 adjusted for USD IBOR Institutional Cash Fallbacks (In-Arrears)
with a lookback or lockout as applicable. If a lookback applies, 𝐷(𝑢) is 𝑢 minus the number of
SIFMA business days in the lookback period. If a lockout applies, 𝐷(𝑢) is the earlier of (i) 𝑢 and (ii)the final 𝑢 in the Interest accrual period 𝐴𝑃𝑓,𝑡0 minus the number of SIFMA business days in thelockout. If no lookback or lockout applies for the IBOR Cash Fallback being calculated, 𝐷(𝑢) is
simply 𝑢.

•

𝑆𝑂𝐹𝑅𝐷(𝑢) is the daily SOFR rate published by the Federal Reserve Bank of New York in respect of
day 𝐷(𝑢).

•𝑛𝑢−𝑟,𝑢−𝑟+1 is the number of calendar days from 𝑢 − 𝑟 to 𝑢 − 𝑟 plus one SIFMA business day.

•𝑁(𝑡0 − 𝑟, 𝑇𝑓,𝑡 − 𝑟) is the number of calendar days from 𝑡0 − 𝑟 to 𝑇𝑓,𝑡 − 𝑟 where r is the number of
SIFMA business days for the observation shift for USD IBOR Institutional Cash Fallbacks (InArrears) with such an observation shift (and is zero otherwise).

4.1.3 Spread Adjustment
The Spread Adjustment 𝑆𝑓 for tenor 𝑓 is calculated in accordance with the ISDA USD LIBOR fallback rate
methodology for each USD LIBOR tenor and is the median of the spread between each LIBOR tenor andcompounded SOFR over the five year period ending on March 5th, 2021. The values are:
Tenor

Spread Adjustment

O/N

0.00644%1W

0.03839%1M

0.11448%

2M

0.18456%

3M

0.26161%

6M

0.42826%

12M

0.71513%4.1.4 All In USD IBOR Institutional Cash Fallbacks (In-Arrears)
The All In USD IBOR Institutional Cash Fallbacks 𝐶𝐹𝑅𝑓,𝑡 for tenor 𝑓 and LIBOR setting date 𝑡 is calculated
in accordance with equation 3.
𝒄𝒐𝒎𝒑/𝒔𝒊𝒎𝒑

𝑪𝑭𝑹𝒇,𝒕An LSEG Business𝒄𝒐𝒎𝒑/𝒔𝒊𝒎𝒑= 𝑨𝑺𝑹𝒇,𝒕

+ 𝑺𝒇

(3)

REFINITIV USD IBOR CASH FALLBACKS

4.2

14

USD IBOR Institutional Cash Fallbacks (In-Advance)
Each USD IBOR Institutional Cash Fallback (In-Advance), 𝐶𝐹𝑅𝑓,𝑡 , is calculated using the SOFR average
𝐴𝑉𝑆𝑓,𝑡 with corresponding tenor 𝑓 as published on day 𝑡 by the Federal Reserve Bank of New York and the
Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3 in accordance with equation 4.
𝑪𝑭𝑹𝒇,𝒕 = 𝑨𝑽𝑺𝒇,𝒕 + 𝑺𝒇

4.3

(4)

USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average
SOFR)
Each USD IBOR Institutional Cash Fallback (In-Advance, 30-day Average SOFR), 𝐶𝐹𝑅𝑓,𝑡 , is calculatedusing the SOFR average 𝐴𝑉𝑆30𝑑,𝑡 with 30-day tenor as published on day 𝑡 by the Federal Reserve Bank of
New York and the Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3 in accordance with equation
5.
𝑪𝑭𝑹𝒇,𝒕 = 𝑨𝑽𝑺𝟑𝟎𝒅,𝒕 + 𝑺𝒇

4.4

(5)

USD IBOR Institutional Cash Fallbacks (Term)
Each USD IBOR Institutional Cash Fallback (Term), 𝐶𝐹𝑅𝑓,𝑡 , is calculated using CME Term SOFR 𝑇𝑆𝑓,𝑡 withcorresponding tenor 𝑓 as published on day 𝑡 by CME Group Benchmark Administration Limited and the
Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3 in accordance with equation 6.
𝑪𝑭𝑹𝒇,𝒕 = 𝑻𝑺𝒇,𝒕 + 𝑺𝒇

4.5

(6)

USD IBOR Consumer Cash Fallbacks (In-Advance)

4.5.1 Transition Period for 1W and 2M Benchmark Tenors
The Transition Period for the 1 week and 2 month benchmark tenors was from Monday January 3rd 2022 to
Friday December 30th 2022.
Following the Transition Period (i.e. from Monday January 2nd 2023 onwards), the daily spread is therelevant constant Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3.

4.5.2 Transition Period for 1M, 3M and 6M Benchmark Tenors
The Transition Period for the 1 month, 3 month and 6 month benchmark tenors is from Monday July 3rd
2023 to Friday June 28th 2024. During the Transition Period, a linearly interpolated daily spread is derived
using an initial spread and the final Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3.

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15

The initial spread, 𝑆𝑓,0, is the spread between LIBOR, 𝐿𝐼𝐵𝑂𝑅𝑓,𝑡 , and the SOFR average, 𝐴𝑉𝑆𝑓,𝑡 ofcorresponding tenor 𝑓, and is calculated in accordance with equation 7. Only days that are both London
and SIFMA business days are included in equation 75.
𝟑𝟎.𝑱𝒖𝒏.𝟐𝟑

𝑺𝒇,𝟎 = ∑𝒕=𝟏𝟔.𝑱𝒖𝒏.𝟐𝟑[𝑳𝑰𝑩𝑶𝑹𝒇,𝒕 − 𝑨𝑽𝑺𝒇,𝒕 ]⁄𝟏𝟎

(7)

𝐼𝑛𝑡
During the Transition Period, the interpolated daily spread, 𝑆𝑓,𝑡
, is derived in accordance with equation 8

where 𝑛30.𝐽𝑢𝑛.23,𝑡 is the number of calendar days from June 30th 2023 to 𝑡6.
𝑺𝑰𝒏𝒕
𝒇,𝒕 = 𝑺𝒇,𝟎 + [𝑺𝒇 − 𝑺𝒇,𝟎 ] ∙𝒏𝟑𝟎.𝑱𝒖𝒏.𝟐𝟑,𝒕
𝟑𝟔𝟔

(8)

𝐼𝑛𝑡
Following the Transition Period (from Monday July 1st 2024 onwards), 𝑆𝑓,𝑡= 𝑆𝑓 .

4.5.3 All In USD IBOR Consumer Cash Fallbacks Benchmark
Each USD IBOR Consumer Cash Fallbacks benchmark 𝐶𝐹𝑅𝑓,𝑡 of tenor f is derived in accordance withequation 9. For the 1 week and 2 month tenors 𝑆𝒇,𝒕 = 𝑆𝒇 , the constant Spread Adjustment for tenor 𝑓
described in section 4.1.3. For the 1 month, 3 month and 6 month tenors 𝑆𝒇,𝒕 = 𝑆𝐼𝑛𝑡
𝑓,𝑡 , the interpolated daily
spread defined by equation 8.
𝑪𝑭𝑹𝒇,𝒕 = 𝑨𝑽𝑺𝒇,𝒕 + 𝑺𝒇,𝒕(9)𝑓𝑙𝑜𝑜𝑟𝑒𝑑Each USD IBOR Consumer Cash Fallbacks Floored benchmark 𝐶𝐹𝑅𝑓,𝑡of tenor f is derived inaccordance with equation 10.
𝒇𝒍𝒐𝒐𝒓𝒆𝒅

𝑪𝑭𝑹𝒇,𝒕= 𝑴𝒂𝒙[𝑨𝑽𝑺𝒇,𝒕 + 𝑺𝑰𝒏𝒕
𝒇,𝒕 , 𝟎](10)

In both cases, the USD IBOR Consumer Cash Fallbacks benchmarks of tenors 1-Week, 1-Month and 2Month use the 30-day SOFR average, 𝐴𝑉𝑆30𝐷,𝑡 , whereas the USD IBOR Consumer Cash Fallbackbenchmarks of tenors 3 month and 6 month use the SOFR average, 𝐴𝑉𝑆𝑓,𝑡 of corresponding tenor 90-days
and 180-days.

4.6

USD IBOR Consumer Cash Fallbacks (Term)

4.6.1 Transition Period for USD IBOR Consumer Cash Fallback (Term)
The Transition Period for the 1, 3, 6 and 12 month tenors is from Monday July 3rd 2023 to Friday June 28th
2024. During the Transition Period, a linearly interpolated daily spread is derived using an initial spread andthe final the Spread Adjustment 𝑆𝑓 for tenor 𝑓 described in section 4.1.3.

5 Note that Monday June 19th 2023 is Juneteenth, a SIFMA non-business day and the 03 January 2022 Methodology has been

updated to reflect this in equation 8.
6 The Transition Period for 1, 3 and 6 month tenors is 366 days as 2024 is a leap year.

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The initial spread, 𝑆𝑓,0, is the spread between LIBOR, 𝐿𝐼𝐵𝑂𝑅𝑓,𝑡 , and Term SOFR, 𝑇𝑆𝑓,𝑡 of corresponding
tenor 𝑓, and is calculated in accordance with equation 11. Only days that are both London and SIFMA
business days are included in equation 117.
𝟑𝟎.𝑱𝒖𝒏.𝟐𝟑

𝑺𝒇,𝟎 = ∑𝒕=𝟏𝟔.𝑱𝒖𝒏.𝟐𝟑[𝑳𝑰𝑩𝑶𝑹𝒇,𝒕 − 𝑻𝑺𝒇,𝒕 ]⁄𝟏𝟎

(11)

𝐼𝑛𝑡
During the Transition Period, the interpolated daily spread, 𝑆𝑓,𝑡
, is derived in accordance with equation 12

where 𝑛30.𝐽𝑢𝑛.23,𝑡 is the number of calendar days from June 30th 2023 to 𝑡8.
𝑺𝑰𝒏𝒕
𝒇,𝒕 = 𝑺𝒇,𝟎 + [𝑺𝒇 − 𝑺𝒇,𝟎 ] ∙𝒏𝟑𝟎.𝑱𝒖𝒏.𝟐𝟑,𝒕
𝟑𝟔𝟔

(12)

𝐼𝑛𝑡
Following the Transition Period (from Monday July 1st 2024 onwards), 𝑆𝑓,𝑡= 𝑆𝑓 .

4.6.2 All In USD IBOR Consumer Cash Fallbacks (Term) Benchmark
The USD IBOR Institutional Cash Fallback (Term) benchmark, 𝐶𝐹𝑅𝑓,𝑡 , is derived in accordance withequation 13.
𝑪𝑭𝑹𝒇,𝒕 = 𝑻𝑺𝒇,𝒕 + 𝑺𝑰𝒏𝒕
𝒇,𝒕

(13)
𝑓𝑙𝑜𝑜𝑟𝑒𝑑The USD IBOR Institutional Cash Fallback (Term) floored at zero, 𝐶𝐹𝑅𝑓,𝑡, is derived in accordance withequation 14.
𝒇𝒍𝒐𝒐𝒓𝒆𝒅

𝑪𝑭𝑹𝒇,𝒕= 𝑴𝒂𝒙[𝑻𝑺𝒇,𝒕 + 𝑺𝑰𝒏𝒕
𝒇,𝒕 , 𝟎](14)

The All In USD IBOR Consumer Cash Fallbacks (Term) benchmark use CME Term SOFR, 𝑇𝑆𝑓,𝑡 , and daily𝐼𝑛𝑡spread, 𝑆𝑓,𝑡
, of corresponding tenor 𝑓 and publication date 𝑡.

7 Note that Monday June 19th 2023 is Juneteenth, a SIFMA non-business day.
8 The Transition Period for 1, 3 and 6 month tenors is 366 days as 2024 is a leap year.

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5. PUBLICATION AND REFIX POLICY
5.1

Publication
The USD IBOR Institutional Cash Fallbacks benchmark and the USD IBOR Consumer Cash Fallbacks
benchmark are published at approximately 08:20am ET, around 20 minutes after the Federal Reserve
Bank of New York publishes the daily SOFR rate and SOFR averages. SOFR is published at
approximately 08:00am ET. CME Term SOFR Reference Rates are published at 06:00am ET.
The USD IBOR Institutional Cash Fallbacks (In-Arrears) are published toward the end of the interest
accrual period that follows the publication of the corresponding LIBOR setting once the final required daily
SOFR rate has been published by the Federal Reserve Bank of New York. The In-Advance USD IBOR
Cash Fallbacks benchmark is published on the same day that the corresponding SOFR averages are
published.

5.2

Delayed Publication
The Administrator of the USD IBOR Institutional Cash Fallbacks benchmark and the USD IBOR Consumer
Cash Fallbacks benchmark, RBSL, may at its discretion delay publication of the benchmarks in the eventthat technical difficulties prevent receipt of input data or if RBSL has reason to believe that either the input
data or the determination of the benchmarks includes a potential error. In such cases, all reasonable efforts
will be made to publish the benchmarks at the earliest opportunity.

5.3

Refix Policy
If following publication, a material error is identified in the input data or the determination of thebenchmarks before 12:00 ET, Refinitiv shall endeavour to refix the benchmarks. A material error is one that
results in a change of + or – 0.001 basis points to the published value.
If there are any revisions to the published SOFR or the three compounded averages of daily SOFR withtenors of 30-, 90-, and 180-calendar days by the Federal Reserve Bank of New York at or prior toapproximately 14:30 ET, Refinitiv will refix the benchmarks.
Refinitiv will aim to refix the benchmarks in such scenarios by 16:00 ET. No refix will be issued after
23:59ET in either scenario.

5.4

Publication RIC Identifiers
The USD IBOR Institutional Cash Fallbacks benchmark and USD IBOR Consumer Cash Fallbacks
benchmark are made available on the Refinitiv RICs listed below. The benchmarks are also published on adelayed basis at www.refinitiv.com/USDIBORCashFallbacks.

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18

Consumer benchmark products

USD IBOR Consumer Cash Fallbacks (In-Advance)
Calculated using 30-, 90- and 180-day average SOFR published by Federal Reserve Bank of New YorkAll In Fallbacks:
Feature

1W

1M

2M

3M

6M

N/A

USDCFCFCADA1W=USDCFCFCADA1M=USDCFCFCADA2M=

USDCFCFCADA3M=

USDCFCFCADA6M=

FlooredUSDCFCFCADE1W=

USDCFCFCADE1M=

USDCFCFCADE2M=

USDCFCFCADE3M=

USDCFCFCADE6M=

Adjusted SOFR:
Feature

1W

1M

2M

3M

6M

SOFR1MAVG=

SOFR1MAVG=

SOFR1MAVG=

SOFR3MAVG=

SOFR6MAVG=

1W

1M

2M

3M

6M

USDCFCSCADA1W=USDCFCSCADA1M=USDCFCSCADA2M=

USDCFCSCADA3M=

USDCFCSCADA6M=

N/A

Spread Adjustment:
FeatureN/A

USD IBOR Consumer Cash Fallbacks (Term)
Calculated using CME Term SOFRAll In Fallbacks:
Feature

1M

3M

6M

12M

N/A

USDCFCFCTSA1M=

USDCFCFCTSA3M=

USDCFCFCTSA6M=

USDCFCFCTSA1Y=

FlooredUSDCFCFCTSE1M=

USDCFCFCTSE3M=

USDCFCFCTSE6M=

USDCFCFCTSE1Y=

1M

3M

6M

12M

USDCFCSCTSA1M=

USDCFCSCTSA3M=

USDCFCSCTSA6M=

USDCFCSCTSA1Y=

Spread Adjustment:
FeatureN/A

USD IBOR Consumer Cash Fallbacks (Term) on a delayed basis are also available atwww.refinitiv.com/usdiborconsumercashfallbacks.

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19

Institutional benchmark products

USD IBOR Institutional Cash Fallbacks (Compounded In-Arrears)
Calculated using overnight SOFRAll In Fallbacks:
FeatureNo lookback
or lockout

O/N

1W

USDCFIFSARAON= USDCFIFCARA1W=

1M

2M

3M

6M

12M

USDCFIFCARA1M=

USDCFIFCARA2M=

USDCFIFCARA3M=

USDCFIFCARA6M=

USDCFIFCARA1Y=

3 day
lookback (noobservation
shift)USDCFIFCAR3B1W= USDCFIFCAR3B1M= USDCFIFCAR3B2M= USDCFIFCAR3B3M= USDCFIFCAR3B6M= USDCFIFCAR3B1Y=

5 day
lookback (noobservation
shift)USDCFIFCAR5B1M= USDCFIFCAR5B2M= USDCFIFCAR5B3M= USDCFIFCAR5B6M= USDCFIFCAR5B1Y=

10 daylookback (noobservation
shift)USDCFIFCAR10B1M= USDCFIFCAR10B2M= USDCFIFCAR10B3M= USDCFIFCAR10B6M= USDCFIFCAR10B1Y=

2 day
lookback(observation
shift)USDCFIFCAR2C1W= USDCFIFCAR2C1M= USDCFIFCAR2C2M= USDCFIFCAR2C3M= USDCFIFCAR2C6M= USDCFIFCAR2C1Y=

3 day
lookback(observation
shift)USDCFIFCAR3C1W= USDCFIFCAR3C1M= USDCFIFCAR3C2M= USDCFIFCAR3C3M= USDCFIFCAR3C6M= USDCFIFCAR3C1Y=

5 day
lookback(observation
shift)USDCFIFCAR5C1M= USDCFIFCAR5C2M= USDCFIFCAR5C3M= USDCFIFCAR5C6M= USDCFIFCAR5C1Y=

2 day lockout

USDCFIFCAR2D1W= USDCFIFCAR2D1M= USDCFIFCAR2D2M= USDCFIFCAR2D3M= USDCFIFCAR2D6M= USDCFIFCAR2D1Y=

3 day lockout

USDCFIFCAR3D1W= USDCFIFCAR3D1M= USDCFIFCAR3D2M= USDCFIFCAR3D3M= USDCFIFCAR3D6M= USDCFIFCAR3D1Y=

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS20

USD IBOR Institutional Cash Fallbacks (Simple In-Arrears)
Calculated using overnight SOFRAll In Fallbacks:
FeatureO/N

1W

No lookback
USDCFIFSARAON= USDCFIFSARA1W=
or lockout

1M

2M

3M

6M

12M

USDCFIFSARA1M=

USDCFIFSARA2M=

USDCFIFSARA3M=

USDCFIFSARA6M=

USDCFIFSARA1Y=

3 day
lookback (noobservation
shift)USDCFIFSAR3B1W= USDCFIFSAR3B1M= USDCFIFSAR3B2M= USDCFIFSAR3B3M= USDCFIFSAR3B6M= USDCFIFSAR3B1Y=

5 day
lookback (noobservation
shift)USDCFIFSAR5B1M= USDCFIFSAR5B2M= USDCFIFSAR5B3M= USDCFIFSAR5B6M= USDCFIFSAR5B1Y=

10 daylookback (noobservation
shift)USDCFIFSAR10B1M= USDCFIFSAR10B2M= USDCFIFSAR10B3M= USDCFIFSAR10B6M= USDCFIFSAR10B1Y=

2 day
lookback(observation
shift)USDCFIFSAR2C1W= USDCFIFSAR2C1M= USDCFIFSAR2C2M= USDCFIFSAR2C3M= USDCFIFSAR2C6M= USDCFIFSAR2C1Y=

3 day
lookback(observation
shift)USDCFIFSAR3C1W= USDCFIFSAR3C1M= USDCFIFSAR3C2M= USDCFIFSAR3C3M= USDCFIFSAR3C6M= USDCFIFSAR3C1Y=

5 day
lookback(observation
shift)USDCFIFSAR5C1M= USDCFIFSAR5C2M= USDCFIFSAR5C3M= USDCFIFSAR5C6M= USDCFIFSAR5C1Y=

2 day lockout

USDCFIFSAR2D1W= USDCFIFSAR2D1M= USDCFIFSAR2D2M= USDCFIFSAR2D3M= USDCFIFSAR2D6M= USDCFIFSAR2D1Y=

3 day lockout

USDCFIFSAR3D1W= USDCFIFSAR3D1M= USDCFIFSAR3D2M= USDCFIFSAR3D3M= USDCFIFSAR3D6M= USDCFIFSAR3D1Y=

USD IBOR Institutional Cash Fallbacks (In-Advance)
Calculated using 30-, 90- and 180-day average SOFR published by Federal Reserve Bank of New YorkAll In Fallbacks:
FeatureN/A

An LSEG Business

1M

3M

6M

USDCFIFCADA1M=USDCFIFCADA3M=

USDCFIFCADA6M=

REFINITIV USD IBOR CASH FALLBACKSUSD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR)9
Calculated using 30-day average SOFR published by Federal Reserve Bank of New YorkAll In Fallbacks:
Feature
N/A

1M

3M

6M

12M

USDCFIFCADA1M=USDCFIFCADB3M=

USDCFIFCADB6M=

USDCFIFCADB1Y=

USD IBOR Institutional Cash Fallbacks (Term)
Calculated using CME Term SOFRAll In Fallbacks:
Feature
N/A

1M

3M

6M

12M

USDCFIFCTSA1M=

USDCFIFCTSA3M=

USDCFIFCTSA6M=

USDCFIFCTSA1Y=

9 Note, the USD IBOR Institutional Cash Fallbacks (In-Advance, 30-day Average SOFR) 1-Month rate is identical to the USD

IBOR Institutional Cash Fallbacks (In-Advance) 1-Month rate and is published on the same RIC (USDCFIFCADA1M=).

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REFINITIV USD IBOR CASH FALLBACKS22

USD IBOR Institutional Cash Fallbacks (Compounded In-Arrears)
Calculated using overnight SOFR
Adjusted SOFR:
Feature

1M

2M

3M

6M

12M

USDCFIJCARA1M=

USDCFIJCARA2M=

USDCFIJCARA3M=

USDCFIJCARA6M=

USDCFIJCARA1Y=

3 day
lookback (noobservation
shift)USDCFIJCAR3B1W= USDCFIJCAR3B1M=

USDCFIJCAR3B2M=

USDCFIJCAR3B3M=

USDCFIJCAR3B6M=

USDCFIJCAR3B1Y=

5 day
lookback (noobservation
shift)USDCFIJCAR5B1M=

USDCFIJCAR5B2M=

USDCFIJCAR5B3M=

USDCFIJCAR5B6M=

USDCFIJCAR5B1Y=

10 daylookback (noobservation
shift)USDCFIJCAR10B1M= USDCFIJCAR10B2M= USDCFIJCAR10B3M= USDCFIJCAR10B6M= USDCFIJCAR10B1Y=

2 day
lookback(observation
shift)USDCFIJCAR2C1W= USDCFIJCAR2C1M= USDCFIJCAR2C2M= USDCFIJCAR2C3M= USDCFIJCAR2C6M= USDCFIJCAR2C1Y=

3 day
lookback(observation
shift)USDCFIJCAR3C1W= USDCFIJCAR3C1M= USDCFIJCAR3C2M= USDCFIJCAR3C3M= USDCFIJCAR3C6M= USDCFIJCAR3C1Y=

5 day
lookback(observation
shift)USDCFIJCAR5C1M= USDCFIJCAR5C2M= USDCFIJCAR5C3M= USDCFIJCAR5C6M= USDCFIJCAR5C1Y=

2 day lockout

USDCFIJCAR2D1W= USDCFIJCAR2D1M= USDCFIJCAR2D2M= USDCFIJCAR2D3M= USDCFIJCAR2D6M= USDCFIJCAR2D1Y=

3 day lockout

USDCFIJCAR3D1W= USDCFIJCAR3D1M= USDCFIJCAR3D2M= USDCFIJCAR3D3M= USDCFIJCAR3D6M= USDCFIJCAR3D1Y=

No lookback
or lockout

O/N

1W

USDSOFR= USDCFIJCARA1W=

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKS23

USD IBOR Institutional Cash Fallbacks (Simple In-Arrears)
Calculated using overnight SOFR
Adjusted SOFR:
Feature

O/N

1M

2M

3M

6M

12M

USDCFIJSARA1M=

USDCFIJSARA2M=

USDCFIJSARA3M=

USDCFIJSARA6M=

USDCFIJSARA1Y=

3 day
lookback (noobservation
shift)USDCFIJSAR3B1W= USDCFIJSAR3B1M=

USDCFIJSAR3B2M=

USDCFIJSAR3B3M=

USDCFIJSAR3B6M=

USDCFIJSAR3B1Y=

5 day
lookback (noobservation
shift)USDCFIJSAR5B1M=

USDCFIJSAR5B2M=

USDCFIJSAR5B3M=

USDCFIJSAR5B6M=

USDCFIJSAR5B1Y=

10 daylookback (noobservation
shift)USDCFIJSAR10B1M= USDCFIJSAR10B2M= USDCFIJSAR10B3M= USDCFIJSAR10B6M= USDCFIJSAR10B1Y=

2 day
lookback(observation
shift)USDCFIJSAR2C1W= USDCFIJSAR2C1M= USDCFIJSAR2C2M= USDCFIJSAR2C3M= USDCFIJSAR2C6M= USDCFIJSAR2C1Y=

3 day
lookback(observation
shift)USDCFIJSAR3C1W= USDCFIJSAR3C1M= USDCFIJSAR3C2M= USDCFIJSAR3C3M= USDCFIJSAR3C6M= USDCFIJSAR3C1Y=

5 day
lookback(observation
shift)USDCFIJSAR5C1M= USDCFIJSAR5C2M= USDCFIJSAR5C3M= USDCFIJSAR5C6M= USDCFIJSAR5C1Y=

2 day lockout

USDCFIJSAR2D1W= USDCFIJSAR2D1M= USDCFIJSAR2D2M= USDCFIJSAR2D3M= USDCFIJSAR2D6M= USDCFIJSAR2D1Y=

3 day lockout

USDCFIJSAR3D1W= USDCFIJSAR3D1M= USDCFIJSAR3D2M= USDCFIJSAR3D3M= USDCFIJSAR3D6M= USDCFIJSAR3D1Y=

No lookback
or lockout

1W

USDSOFR= USDCFIJSARA1W=

USD IBOR Institutional Cash Fallbacks (In-Advance)
Calculated using 30-, 90- and 180-day average SOFR published by Federal Reserve Bank of New York
Adjusted SOFR:
FeatureN/A

An LSEG Business

1M

3M

6M

SOFR1MAVG=

SOFR3MAVG=

SOFR6MAVG=

REFINITIV USD IBOR CASH FALLBACKS

24

6. METHODOLOGY REVIEW AND CHANGE
PROCEDURES
6.1

Review of the Methodology and Input Data Providers
RBSL will carry out a review of the Methodology in respect of the USD IBOR Institutional Cash Fallbacks
benchmark and the USD IBOR Consumer Cash Fallbacks benchmark on at least an annual basis.
Additional reviews may be conducted at RBSL’s discretion. Reviews will include an analysis of theunderlying market that the benchmarks seek to represent and the availability and sufficiency of input data.
The aim of the review will be to ensure that the benchmarks continue to be a suitable fallback forinstitutional and consumer financial products that reference USD dollar LIBOR and that the input data
continues to be available in an accurate and timely manner. The oversight committee will provide input into
the review.

6.2

Changes to the Methodology
Changes to the Methodology in respect of the USD IBOR Institutional Cash Fallbacks benchmark and the
USD IBOR Consumer Cash Fallbacks benchmark shall be made in accordance with the RBSL Benchmark
Methodology Change and Cessation Policy in order to seek feedback from a range of stakeholders
including the Federal Reserve and the ARRC (or any successor to the ARRC). The combined RBSL
Benchmark Methodology Change and Cessation Policy is available atwww.refinitiv.com/content/dam/marketing/en_us/documents/methodology/rbsl-benchmark-methodologychange-cessation-policy.pdf.

6.3

Objective of the Methodology
The objective of this Methodology in respect of the USD IBOR Institutional Cash Fallbacks benchmark andthe USD IBOR Consumer Cash Fallbacks benchmark is to provide a suitable fallback for institutional andconsumer financial products that reference USD dollar LIBOR. The dependence of the benchmarks onother benchmarks as input data minimizes the risk of data insufficiency. The Methodology shall also
comply with UK Benchmark Regulation (BMR).

6.4

Identification of Potential Limitations of the Benchmark
The principal limitation of the USD IBOR Institutional Cash Fallbacks benchmark and the USD IBOR
Consumer Cash Fallbacks benchmarks are their dependence on the availability of SOFR, the SOFR
averages (both published by the Federal Reserve Bank of New York) and the CME Term SOFR Reference
Rates (published by CME Group Benchmark Administration Limited) as input data. In the event that SOFR,
the SOFR averages or the CME Term SOFR Reference Rates are unavailable, RBSL will consult withstakeholders as well as the oversight committee.

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25

7. GOVERNANCE AND FURTHER INFORMATION
7.1

Benchmark Administrator
Refinitiv Benchmark Services (UK) Limited (RBSL) is the Administrator of the USD IBOR Institutional Cash
Fallbacks benchmark and the USD IBOR Consumer Cash Fallbacks benchmark. As Administrator of thebenchmarks, RBSL is responsible for collecting input data, determining and publishing the benchmarks,
and for all aspects of governance, oversight, compliance and integrity of the benchmarks.

7.2

Oversight Committee
The oversight committee is responsible for oversight of all aspects of the provision of the benchmarks
including the reviews of the Methodology at least annually, overseeing any changes to the benchmarks
Methodology or cessation of the benchmarks, and overseeing RBSL’s control framework, management
and operation of the benchmarks.

7.3

Benchmark Manager
A benchmark manager is appointed from time to time by the Administrator who will be a subject matter
expert responsible for interpreting the Methodology in respect of the benchmarks.

7.4

User Feedback
RBSL may communicate periodically with stakeholders in order to assess the ongoing fitness andsuitability of the Methodology in respect of the benchmarks. Such feedback may be used as part of theperiodic review of the Methodology in respect of the benchmarks.

7.5

Further Information
Further information is available at www.refinitiv.com/USDIBORCashFallbacks.
Refinitiv welcomes feedback. Any comments or questions regarding this Methodology, the USD IBOR
Institutional Cash Fallbacks benchmark or the USD IBOR Consumer Cash Fallbacks benchmark should besent to index_queries@refinitiv.com and include ‘USD IBOR Cash Fallbacks’ in the email subject line.

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8. DISCLAIMER
2024 © Refinitiv. All rights reserved.
USD IBOR Cash Fallbacks.
If you have not signed up to a licensing agreement with Refinitiv for the use of Refinitiv USD IBOR Cash Fallbacks(“Fallback Rates”) you are not permitted to use Fallback Rates for any Commercial Purposes. “Commercial Purposes”
includes but is not limited to (i) using Fallback Rates as a reference rate in financial instruments, financial contracts orfor valuation and pricing activities, (ii) using Fallback Rates as an input into a benchmark or an index or otherwise, (iii)
this website being accessed by or on behalf of the same group of companies at least once per month for 3 consecutive
months for the purpose of viewing or downloading Fallback Rates. We may use your personal data in order to determine
whether we believe you are using the Fallback Rates for Commercial Purposes and, if we reasonably believe this is thecase, we may contact you in order to arrange for a licensing agreement to be put in place.
Refinitiv Limited, its affiliates (“Refinitiv”) and its third party providers (together “Refinitiv and Third Parties”) do notguarantee the quality, accuracy and/or completeness of the Fallback Rates or any data included therein. Refinitiv andThird Parties make no express or implied warranties, representations or guarantees concerning the accuracy orcompleteness of the Fallback Rates or as to the results to be obtained by you, or any other person or entity from the useof the 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 damages or loss, relating to any use of the Fallback
Rates.
Third party accreditation/disclaimers
USD ICE LIBOR, which is administered and published by ICE Benchmark Administration Limited (IBA), serves as an
input for the 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 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 Fallback
Rates, or the appropriateness or suitability of LIBOR® or the Fallback Rates for any particular purpose to which it might
be put, including with respect to the 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 noninfringement, in relation to LIBOR® and 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 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 Fallback Rates or any reliance you may place upon it.
The Fallback Rates are subject to the Terms of Use posted at newyorkfed.org. The New York Fed is not responsible forpublication of the Fallback Rates by Refinitiv, does not sanction or endorse any particular republication, and has noliability for your use. Refinitiv is not affiliated with the New York Fed. The New York Fed does not sanction, endorse, or
recommend any products or services offered by Refinitiv.
CME Group Benchmark Information is used under license as a source of information for certain Refinitiv products. CME
Group has no other connection to Refinitiv products and services and does not sponsor, endorse, recommend, or
promote any Refinitiv products or services. CME Group has no obligation or liability in connection with the Refinitiv
products and services. CME Group does not guarantee the accuracy and/or the completeness of any benchmark
information licensed to Refinitiv and shall not have any liability for any errors, omissions, or interruptions therein. There
are no third-party beneficiaries of any agreements or arrangements between CME Group and Refinitiv.

An LSEG BusinessREFINITIV USD IBOR CASH FALLBACKSANNEX: CLIMATE RELATED DISCLOSURES
EXPLANATION OF HOW ESG FACTORS ARE REFLECTED IN THE KEY ELEMENTS OF THE BENCHMARKMETHODOLOGY
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark Services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Other

Choose the relevant underlying asset from the list provided in
Annex II to Commission Delegated Regulation (EU)2020/1816.
Item 3. Name of the benchmark or family of benchmarks.

Refinitiv USD IBOR Cash Fallbacks

Item 4. Does the benchmark methodology for the benchmark or ☐ Yes ☒ No
family of benchmarks take into account ESG factors?
Date on which information has been last updated and reason

June 17, 2024

for the update:
Methodology updated to clarify LIBOR setting dates

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REFINITIV USD IBOR CASH FALLBACKS

Refinitiv is one of the world’s largest providers of financial markets data and infrastructure, serving over 40,000 institutions in approximately
190 countries. It provides leading data and insights, trading platforms, and open data and technology platforms that connect a thriving global
financial markets community – driving performance in trading, investment, wealth management, regulatory compliance, market data
management, enterprise risk and fighting financial crime.

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