The Alternative Reference Rates Committee ("ARRC") expressed support for the launch of Refinitiv's prototype publication of ARRC-recommended LIBOR cash fallback spreads and rates. In March 2021, ARRC recommended Refinitiv, a London Stock Exchange Group business, as publisher of spread adjustments and spread adjusted rates for cash products.
The initial prototype will not have Secured Overnight Financing Rate ("SOFR") term rate-based fallbacks, but such fallbacks will be included in Refinitiv's second iteration based on the ARRC's Chicago Mercantile Exchange term rates recommendation.
The Refinitiv USD IBOR Cash Fallbacks will be published to five decimal places and in the following two versions:
- the Refinitiv USD IBOR Consumer Cash Fallbacks, based currently on compound SOFR in advance as well as the ARRC's recommended spread adjustment, which will be introduced gradually during the 12 months following June 30, 2023. The fallbacks will be published both with and without a floor in one-month, three-month and six-month tenors; and
- the Refinitiv USD IBOR Institutional Cash Fallbacks, of which there are several versions, set to be available in up to seven tenors: (i) overnight, (ii) one-week, (iii) one-month, (iv) two-month, (v) three-month, (vi) six-month and (vii) 12-month. Unlike with the consumer version, there will be no transition period.
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