Refinitiv to Publish Spread-Adjusted USD Libor Replacement
Posted by Colin Lambert. Last updated: March 19, 2021
The Alternative Reference Rates Committee (ARRC), which was formed by the US Federal Reserve, has announced it has selected LSEG’s Refinitiv to publish its recommended spread adjustments and spread-adjusted rates to the Secured Overnight Financing Rate (SOFR)-based rates and spread-adjusted SOFR-based rates for cash products that transition away from US dollar Libor.
The published rates are for use in cash product contracts that contain ARRC-recommended fallback provisions to address instances where USD Libor ceases or is non-representative. In those instances, contracts that contain ARRC-recommended fallback provisions will switch to a spread-adjusted “fallback rate,” the rate that a contract indicates should be used if its base rate is not available.
These are analogous to the fallback rates included in International Swaps and Derivatives Association’s Ibor protocol for derivative contracts. The recommended fallbacks for both derivatives and cash products referencing USD Libor will fall back to forms of SOFR plus the relevant fixed spread adjustment.
Refinitiv will provide the recommended fixed spreads and spread-adjusted rates through the ARRC’s fallback provisions and will make them readily accessible on a daily basis to the general public without cost.
ARRC says five firms submitted proposals in response to an RFP.