MOVEFORWARDS

Refinitiv USD IBOR Cash
Fallbacks®

The industry challenge
LIBOR previously underpinned hundreds of trillions of dollars of financial instruments andcontracts, making it one of the most widely-used benchmarks in the world. Immediately
following 31 December 2021, one-week and two-month USD LIBOR settings permanently
ceased, and immediately following 30 June 2023, the remaining USD LIBOR tenors either
ceased publication or became no longer representative.
The Alternative Reference Rates Committee (ARRC) Progress Report, published on 31 March 2021, estimated there
will be approximately $5 trillion USD LIBOR referencing contracts in business loans, consumer loans, bonds andsecuritisations maturing after June 2023. Many of these exposures have adopted ARRC-recommended fallback
language that includes a pre-cessation trigger, and as of the first interest reset date after 30 June 2023, will transition toan ARRC-recommended rate. A subset of instruments will have no effective means to transition away from LIBOR – forexample debt and securitisation instruments issued under US law typically require unanimous consent of all holders toamend the reference rate. These instruments, where governed by US law, will likely become reliant on new Federal
Legislation – the LIBOR Act. Following 30 June 2023, these contracts will move to the Federal Reserve Board’s
selected fallback rate.
Further details of the ARRC’s recommended fallback language are available here.

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.

An LSEG BusinessRefinitiv USD IBOR Cash Fallbacks

2

Our offering

Refinitiv USD IBOR Consumer Cash Fallbacks

The Refinitiv® USD IBOR Cash Fallbacks provide the ARRC’s
recommended fallback rates. These comprise:

The Refinitiv USD IBOR Consumer Cash Fallbacks have twoalternative adjusted SOFR components: either CME Term
SOFR or compound SOFR in advance. For those rates basedon compound SOFR in advance, the adjusted SOFR uses the
SOFR averages published by the Federal Reserve Bank of
New York. The one-week and two-month settings are based on
the one-month SOFR averages. The one-month, three-monthand six-month settings use the respective one-month, threemonth and six-month SOFR averages.

– Adjusted Secured Overnight Financing Rate (SOFR): theaverage SOFR rate for each tenor– Spread adjustment: difference between the USD LIBOR and
SOFR for each tenor– An ‘all-in’ fallback rate: the sum of the adjusted SOFR andthe spread adjustment for each tenor
Refinitiv USD IBOR Cash Fallbacks are available for both
institutional and consumer products.

Refinitiv USD IBOR Institutional Cash Fallbacks
Refinitiv USD IBOR Institutional Cash Fallbacks support
a number of different conventions. The adjusted SOFR
component comprises (i) CME Term SOFR, (ii) compound
SOFR in arrears, (iii) simple SOFR in arrears (including single
daily SOFR rates for overnight tenors), (iv) compound SOFR
in advance (using SOFR averages published by the Federal
Reserve Bank of New York), and (v) compound SOFR in
advance (using only the 30-day SOFR average published by
the Federal Reserve Bank of New York). Each of the compoundand simple SOFR in arrears versions is available with(depending on tenor):– No lookback, no observation shift, no lockout– Lookback without an observation shift (three, five and 10 days)– Lookback with an observation shift (two, three and five days)– Lockout (two and three days)
The corresponding spread adjustment is added to eachadjusted SOFR rate, calculated as the median of the historicaldifferences between USD LIBOR for each tenor and thecompounded in arrears SOFR for that tenor over a five-year
period prior to 5 March 2021. In contrast to Refinitiv USD IBOR
Consumer Cash Fallbacks, there is no transition period.
Refinitiv USD IBOR Institutional Cash Fallbacks are published to
five decimal places in seven tenors (overnight, one-week, onemonth, two-month, three-month, six-month and 12-month).
These production rates are administered by Refinitiv Benchmark
Services (UK) Limited (RBSL) and are designed for use infinancial and non-financial corporate contracts.

Unlike the institutional rates, the spread adjustment is gradually
introduced during a one-year transition period. For two-weekand one-month settings the transition period took place fromthe start of January to the end of December 2022. For theother tenors the transition period takes place from the start ofJuly 2023 to the end of June 2024.
During the transition period the spread adjustment is the linear
interpolation between (i) the average difference between
LIBOR and adjusted SOFR over the 10 London and SIFMA
business days leading up to 30 June and the (ii) median of
the historical differences between LIBOR and compounded inarrears SOFR over the five-year period prior to 5 March 2021.
Following the transition period, the spread adjustment remains
static at the median of the historical differences between
LIBOR and compounded in arrears SOFR over the five-year
period prior to 5 March 2021.
Refinitiv USD IBOR Consumer Cash Fallbacks are published to
five decimal places in six tenors (one-week, one-month, twomonth, three-month, six-month and 12-month). For each tenor
they are available with a floor of zero applied to the all-in rate
and without a floor.
The USD IBOR Consumer Cash Fallbacks are production
benchmarks administered by RBSL and designed for use infinancial contracts.

How to access the rates
The tables on the following page show the different versionsof the Refinitiv USD IBOR Cash Fallbacks that are available
and the associated identifiers (RICs). These can be accessed
through the full suite of Refinitiv products, including Refinitiv®
Eikon, Refinitiv® Real-Time and Refinitiv® Datascope.
Refinitiv USD IBOR Cash Fallbacks are also available on the
Refinitiv website.

Refinitiv USD IBOR Cash Fallbacks

Refinitiv USD IBOR Consumer Cash Fallbacks
Refinitiv USD IBOR Consumer Cash Fallbacks (Term)
Calculated using CME Term SOFR
‘All-in’ fallbacks
Feature

3M

6M

12M

No floor

O/N

1W

USDCFCFCTSA1M=

1M

2M

USDCFCFCTSA3M=

USDCFCFCTSA6M=

USDCFCFCTSA1Y=Floor

USDCFCFCTSE1M=

USDCFCFCTSE3M=

USDCFCFCTSE6M=

USDCFCFCTSE1Y=

3M

6M

12M

USDCFCSCTSA3M=

USDCFCSCTSA6M=

USDCFCSCTSA1Y=

Spread adjustments
Feature

O/N

1W

1M

N/A

2M

USDCFCSCTSA1M=

Refinitiv USD IBOR Consumer Cash Fallbacks (In Advance)
Calculated using 30, 90 and 180 day Federal Reserve Bank of New York average SOFR
‘All-in’ fallbacks
Feature

O/N

1W

1M

2M

3M

6M

No floor

USDCFCFCADA1W= USDCFCFCADA1M= USDCFCFCADA2M= USDCFCFCADA3M= USDCFCFCADA6M=

Floor

USDCFCFCADE1W= USDCFCFCADE1M= USDCFCFCADE2M= USDCFCFCADE3M= USDCFCFCADE6M=

12M

Adjusted SOFR
Feature

O/N

N/A

1W

1M

2M

3M

6M

SOFR1MAVG=

SOFR1MAVG=

SOFR1MAVG=

SOFR3MAVG=

SOFR6MAVG=

1W

1M

2M

3M

6M

12M

Spread adjustments
Feature

N/A

O/N

12M

USDCFCSCADA1W= USDCFCSCADA1M= USDCFCSCADA2M= USDCFCSCADA3M= USDCFCSCADA6M=

The USD IBOR Consumer Cash Fallbacks are production benchmarks administered by RBSL and are designed for use in financial
corporate contracts.

3Refinitiv USD IBOR Cash Fallbacks

4

Refinitiv USD IBOR Institutional Cash Fallbacks
Refinitiv USD IBOR Institutional Cash Fallbacks (Term)
Calculated using CME Term SOFR
‘All-in’ fallbacks
Feature

O/N

1W

N/A

1M

2M

USDCFIFCTSA1M=

3M

6M

12M

USDCFIFCTSA3M=

USDCFIFCTSA6M=

USDCFIFCTSA1Y=

Refinitiv USD IBOR Institutional Cash Fallbacks (Compounded in Arrears)
Calculated using overnight SOFR published by Federal Reserve Bank of New York
‘All-in’ fallbacks
FeatureNo lookback or
lockout

O/N

1W

1M

2M

3M

6M

12M

USDCFIFSARAON=USDCFIFCARA1W=

USDCFIFCARA1M=

USDCFIFCARA2M=

USDCFIFCARA3M=

USDCFIFCARA6M=

USDCFIFCARA1Y=

Three-daylookback (noobservation shift)

USDCFIFCAR3B1W= USDCFIFCAR3B1M= USDCFIFCAR3B2M= USDCFIFCAR3B3M= USDCFIFCAR3B6M= USDCFIFCAR3B1Y=

Five-day lookback(no observation
shift)USDCFIFCAR5B1M= USDCFIFCAR5B2M= USDCFIFCAR5B3M= USDCFIFCAR5B6M= USDCFIFCAR5B1Y=

10-day lookback(no observation
shift)USDCFIFCAR10B1M= USDCFIFCAR10B2M= USDCFIFCAR10B3M= USDCFIFCAR10B6M= USDCFIFCAR10B1Y=

Two-day lookback(observation shift)

USDCFIFCAR2C1W= USDCFIFCAR2C1M= USDCFIFCAR2C2M= USDCFIFCAR2C3M= USDCFIFCAR2C6M= USDCFIFCAR2C1Y=

Three-daylookback(observation shift)

USDCFIFCAR3C1W= USDCFIFCAR3C1M= USDCFIFCAR3C2M= USDCFIFCAR3C3M= USDCFIFCAR3C6M= USDCFIFCAR3C1Y=

Five-day lookback(observation shift)

USDCFIFCAR5C1M= USDCFIFCAR5C2M= USDCFIFCAR5C3M= USDCFIFCAR5C6M= USDCFIFCAR5C1Y=

Two-day lockout

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

Three-day lockout

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

Adjusted SOFR
FeatureNo lookback or
lockout

O/N

1W

1M

2M

3M

6M

12M

USDSOFR=USDCFIJCARA1W=

USDCFIJCARA1M=

USDCFIJCARA2M=

USDCFIJCARA3M=

USDCFIJCARA6M=

USDCFIJCARA1Y=

Three-daylookback (noobservation shift)

USDCFIJCAR3B1W= USDCFIJCAR3B1M= USDCFIJCAR3B2M= USDCFIJCAR3B3M= USDCFIJCAR3B6M= USDCFIJCAR3B1Y=

Five-day lookback(no observation
shift)USDCFIJCAR5B1M= USDCFIJCAR5B2M= USDCFIJCAR5B3M= USDCFIJCAR5B6M= USDCFIJCAR5B1Y=

10-day lookback(no observation
shift)USDCFIJCAR10B1M= USDCFIJCAR10B2M= USDCFIJCAR10B3M= USDCFIJCAR10B6M= USDCFIJCAR10B1Y=

Two-day lookback(observation shift)

USDCFIJCAR2C1W= USDCFIJCAR2C1M= USDCFIJCAR2C2M= USDCFIJCAR2C3M= USDCFIJCAR2C6M= USDCFIJCAR2C1Y=

Three-daylookback(observation shift)

USDCFIJCAR3C1W= USDCFIJCAR3C1M= USDCFIJCAR3C2M= USDCFIJCAR3C3M= USDCFIJCAR3C6M= USDCFIJCAR3C1Y=

Five-day lookback(observation shift)

USDCFIJCAR5C1M= USDCFIJCAR5C2M= USDCFIJCAR5C3M= USDCFIJCAR5C6M= USDCFIJCAR5C1Y=

Two-day lockout

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

Three-day lockout

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

Refinitiv USD IBOR Cash Fallbacks

5

Refinitiv USD IBOR Institutional Cash Fallbacks (Simple In Arrears)
Calculated using overnight SOFR
‘All-in’ fallbacks
FeatureNo lookback or
lockout

O/N

1W

1M

2M

3M

6M

12M

USDCFIFSARAON=USDCFIFSARA1W=

USDCFIFSARA1M=

USDCFIFSARA2M=

USDCFIFSARA3M=

USDCFIFSARA6M=

USDCFIFSARA1Y=

Three-daylookback (noobservation shift)

USDCFIFSAR3B1W= USDCFIFSAR3B1M= USDCFIFSAR3B2M= USDCFIFSAR3B3M= USDCFIFSAR3B6M= USDCFIFSAR3B1Y=

Five-day lookback(no observation
shift)USDCFIFSAR5B1M= USDCFIFSAR5B2M= USDCFIFSAR5B3M= USDCFIFSAR5B6M= USDCFIFSAR5B1Y=

10-day lookback(no observation
shift)USDCFIFSAR10B1M= USDCFIFSAR10B2M= USDCFIFSAR10B3M= USDCFIFSAR10B6M= USDCFIFSAR10B1Y=

Two-day lookback(observation shift)

USDCFIFSAR2C1W= USDCFIFSAR2C1M= USDCFIFSAR2C2M= USDCFIFSAR2C3M= USDCFIFSAR2C6M= USDCFIFSAR2C1Y=

Three-daylookback(observation shift)

USDCFIFSAR3C1W= USDCFIFSAR3C1M= USDCFIFSAR3C2M= USDCFIFSAR3C3M= USDCFIFSAR3C6M= USDCFIFSAR3C1Y=

Five-day lookback(observation shift)

USDCFIFSAR5C1M= USDCFIFSAR5C2M= USDCFIFSAR5C3M= USDCFIFSAR5C6M= USDCFIFSAR5C1Y=

Two-day lockout

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

Three-day lockout

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

Adjusted SOFR
Feature

O/N

1W

1M

2M

3M

6M

12M

USDSOFR=USDCFIJSARA1W=

USDCFIJSARA1M=

USDCFIJSARA2M=

USDCFIJSARA3M=

USDCFIJSARA6M=

USDCFIJSARA1Y=USDCFIJSAR3B1W=

USDCFIJSAR3B1M= USDCFIJSAR3B2M= USDCFIJSAR3B3M= USDCFIJSAR3B6M=

USDCFIJSAR3B1Y=

Five-day lookback(no observation
shift)USDCFIJSAR5B1M= USDCFIJSAR5B2M= USDCFIJSAR5B3M= USDCFIJSAR5B6M=

USDCFIJSAR5B1Y=

10-day lookback(no observation
shift)USDCFIJSAR10B1M= USDCFIJSAR10B2M= USDCFIJSAR10B3M= USDCFIJSAR10B6M= USDCFIJSAR10B1Y=

No lookback or
lockout
Three-daylookback (noobservation shift)Two-day lookback(observation shift)

USDCFIJSAR2C1W= USDCFIJSAR2C1M= USDCFIJSAR2C2M= USDCFIJSAR2C3M= USDCFIJSAR2C6M= USDCFIJSAR2C1Y=

Three-daylookback(observation shift)

USDCFIJSAR3C1W=

Five-day lookback(observation shift)

USDCFIJSAR3C1M= USDCFIJSAR3C2M= USDCFIJSAR3C3M= USDCFIJSAR3C6M=

USDCFIJSAR3C1Y=USDCFIJSAR5C1M= USDCFIJSAR5C2M= USDCFIJSAR5C3M= USDCFIJSAR5C6M= USDCFIJSAR5C1Y=

Two-day lockout

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

Three-day lockout

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

Refinitiv USD IBOR Institutional Cash Fallbacks (In Advance)
Calculated using 30-, 90- and 180-day average SOFR published by Federal Reserve Bank of New York
‘All-in’ fallbacks
Feature

O/N

1W

N/A

1M

2M

USDCFIFCADA1M=

3M

6M

12M

USDCFIFCADA3M= USDCFIFCADA6M=

Adjusted SOFR
Feature
N/A

O/N

1W

1M
SOFR1MAVG=

2M

3M

6M

SOFR3MAVG=

SOFR6MAVG=

12M

Refinitiv USD IBOR Cash Fallbacks

6

Refinitiv USD IBOR Institutional Cash Fallbacks (In Advance, 30-day Average SOFR)
Calculated using 30-day average SOFR published by Federal Reserve Bank of New York
‘All-in’ fallbacks
Feature

O/N

1W

N/A

1M

2M

USDCFIFCADA1M=

3M

6M

12M

USDCFIFCADB3M= USDCFIFCADB6M= USDCFIFCADB1Y=

Adjusted SOFR
Feature

O/N

1W

N/A

1M

2M

SOFR1MAVG=

3M

6M

12M

SOFR1MAVG=

SOFR1MAVG=

SOFR1MAVG=

USD IBOR Institutional Cash Fallbacks are production benchmarks administered by RBSL and are designed for use in financial andnon-financial corporate contracts.

2023 ©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 or for 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 yourpersonal data in order to determine whether we believe you are using the Fallback Rates for Commercial Purposes and, if we reasonably believe this is the case, 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 not guarantee the quality, accuracy and/or completeness ofthe 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 Fallback Rates or as to the results to be obtained by you, or any other person or entity from the use of 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 withrespect 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 non-infringement, 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 for publication of the Fallback Rates by Refinitiv, does
not sanction or endorse any particular republication, and has no liability 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 andshall not have any liability for any errors, omissions, or interruptions therein. There are no third-party beneficiaries of any agreements or arrangements between CMEGroup and Refinitiv.

Visit refinitiv.com
An LSEG BusinessRE2923950_B/06-23|@Refinitiv

Refinitiv