Benchmarks

FTSE USD IBOR Cash Fallbacks

An overview of FTSE USD IBOR Cash Fallbacks

The FTSE USD IBOR Cash Fallbacks capture both a risk-free rate, which is measured by different forms of Secured Overnight Financing Rate (SOFR), plus a fixed spread adjustment that measures the average difference between USD LIBOR and SOFR. Different markets adopt different conventions so rather than having a single fallback rate there are a family of rates, each of which is suitable in different markets.

Following the cessation of LIBOR, market participants must ensure that their legacy USD LIBOR referencing contracts have a suitable alternative benchmark.

Key Facts 

  • Geographical coverage
    North America
  • History
    From 2021
  • Data format
    CSV
    Delimited
    GZIP
    HTML
    JSON
    Python
    User Interface
    XML
    Zip Archive
  • Delivery mechanism
    API
    Desktop
    Excel
    FTP
    SFTP
  • Data frequency
    Continuous

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Features & Benefits

What you get with FTSE USD IBOR Cash Fallbacks

  • The FTSE USD IBOR Cash Fallbacks capture both a risk-free rate, which is measured by different forms of Secured Overnight Financing Rate (SOFR), plus a fixed spread adjustment that measures the average difference between USD LIBOR and SOFR. Different markets adopt different conventions so rather than having a single fallback rate there are a family of rates, each of which is suitable in different markets.
  • There are two distinct families of the FTSE USD IBOR Cash Fallbacks: one for consumer products and the other for institutional products. Within these families a range of conventions are supported.
  • We have leveraged our many years’ experience administering regulated benchmarks such as WMR, CDOR and FTSE Term SONIA to create the FTSE USD IBOR Cash Fallbacks.

How it works

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