FTSE USD IBOR Institutional Cash Fallbacks (Term)
Calculated using CME Term SOFR
All in fallbacks
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| N/A |
USDCFIFCTSA1M= | USDCFIFCTSA3M= | USDCFIFCTSA6M= | USDCFIFCTSA1Y= |
FTSE USD IBOR Institutional Cash Fallbacks (Compounded In-Arrears)
Calculated using overnight SOFR
All In Fallbacks
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| No lookback or lockout |
USDCFIFSARAON= |
USDCFIFCARA1W= |
USDCFIFCARA1M= |
USDCFIFCARA2M= |
USDCFIFCARA3M= |
USDCFIFCARA6M= |
USDCFIFCARA1Y= |
| 3 day lookback (no observation shift) |
USDCFIFCAR3B1W= |
USDCFIFCAR3B1M= |
USDCFIFCAR3B2M= |
USDCFIFCAR3B3M= |
USDCFIFCAR3B6M= |
USDCFIFCAR3B1Y= |
|
| 5 day lookback (no observation shift) |
USDCFIFCAR5B1M= |
USDCFIFCAR5B2M= |
USDCFIFCAR5B3M= |
USDCFIFCAR5B6M= |
USDCFIFCAR5B1Y= |
||
| 10 day lookback (no observation 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= |
Adjusted SOFR
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| No lookback or lockout |
USDSOFR= |
USDCFIJCARA1W= |
USDCFIJCARA1M= |
USDCFIJCARA2M= |
USDCFIJCARA3M= |
USDCFIJCARA6M= |
USDCFIJCARA1Y= |
| 3 day lookback (no observation shift) |
USDCFIJCAR3B1W= |
USDCFIJCAR3B1M= |
USDCFIJCAR3B2M= |
USDCFIJCAR3B3M= |
USDCFIJCAR3B6M= |
USDCFIJCAR3B1Y= |
|
| 5 day lookback (no observation shift) |
USDCFIJCAR5B1M= |
USDCFIJCAR5B2M= |
USDCFIJCAR5B3M= |
USDCFIJCAR5B6M= |
USDCFIJCAR5B1Y= |
||
| 10 day lookback (no observation 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= |
FTSE USD IBOR Institutional Cash Fallbacks (Simple In-Arrears)
Calculated using overnight SOFR
All in fallbacks
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| No lookback or lockout | USDCFIFSARAON= | USDCFIFSARA1W= | USDCFIFSARA1M= | USDCFIFSARA2M= | USDCFIFSARA3M= | USDCFIFSARA6M= | USDCFIFSARA1Y= |
| 3 day lookback (no observation shift) | USDCFIFSAR3B1W= | USDCFIFSAR3B1M= | USDCFIFSAR3B2M= | USDCFIFSAR3B3M= | USDCFIFSAR3B6M= | USDCFIFSAR3B1Y= | |
| 5 day lookback (no observation shift) | USDCFIFSAR5B1M= | USDCFIFSAR5B2M= | USDCFIFSAR5B3M= | USDCFIFSAR5B6M= | USDCFIFSAR5B1Y= | ||
| 10 day lookback (no observation 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= |
Adjusted SOFR
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| No lookback or lockout | USDSOFR= | USDCFIJSARA1W= | USDCFIJSARA1M= | USDCFIJSARA2M= | USDCFIJSARA3M= | USDCFIJSARA6M= | USDCFIJSARA1Y= |
| 3 day lookback (no observation shift) | USDCFIJSAR3B1W= | USDCFIJSAR3B1M= | USDCFIJSAR3B2M= | USDCFIJSAR3B3M= | USDCFIJSAR3B6M= | USDCFIJSAR3B1Y= | |
| 5 day lookback (no observation shift) | USDCFIJSAR5B1M= | USDCFIJSAR5B2M= | USDCFIJSAR5B3M= | USDCFIJSAR5B6M= | USDCFIJSAR5B1Y= | ||
| 10 day lookback (no observation 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= |
USDCFIFSAR5C2M= | USDCFIJSAR5C3M= | USDCFIJSAR5C6M= | USDCFIJSAR5C1Y= | ||
| 2 day lockout | USDCFIJSAR2D1W= | USDCFIJSAR2D1M= | USDCFIJSAR2D2M= | USDCFIJSAR2D3M= | USDCFIJSAR2D6M= | USDCFIJSAR2D1Y= | |
| 3 day lockout | USDCFIJSAR3D1W= | USDCFIJSAR3D1M= | USDCFIJSAR3D2M= | USDCFIJSAR3D3M= | USDCFIJSAR3D6M= | USDCFIJSAR3D1Y= |
FTSE 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 |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| N/A | USDCFIFCADA1M= | USDCFIFCADA3M= | USDCFIFCADA6M= |
Adjusted SOFR
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| N/A |
SOFR1MAVG= |
SOFR3MAVG= |
SOFR6MAVG= |
FTSE 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 |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| N/A |
USDCFIFCADA1M= | USDCFIFCADB3M= | USDCFIFCADB6M= | USDCFIFCADB1Y= |
Adjusted SOFR
| Feature |
O/N |
1W |
1M |
2M |
3M |
6M |
12M |
|---|---|---|---|---|---|---|---|
| N/A |
SOFR1MAVG= | SOFR1MAVG= | SOFR1MAVG= | SOFR1MAVG= |
FTSE USD IBOR Consumer Cash Fallbacks (Term)
Calculated using CME Term SOFR
All in fallbacks
| Feature | O/N | 1W | 1M | 2M | 3M | 6M | 12M |
|---|---|---|---|---|---|---|---|
| No floor | USDCFCFCTSA1M= | USDCFCFCTSA3M= | USDCFCFCTSA6M= | USDCFCFCTSA1Y= | |||
| Floor | USDCFCFCTSE1M= | USDCFCFCTSE3M= | USDCFCFCTSE6M= | USDCFCFCTSE1Y= |
Spread adjustments
| Feature | O/N | 1W | 1M | 2M | 3M | 6M | 12M |
|---|---|---|---|---|---|---|---|
| N/A | USDCFCSCTSA1M= | USDCFCSCTSA3M= | USDCFCSCTSA6M= | USDCFCSCTSA1Y= |
FTSE USD IBOR Consumer 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 | 1M | 2M | 3M | 6M | 12M |
|---|---|---|---|---|---|---|---|
| No floor | USDCFCFCADA1W= | USDCFCFCADA1M= | USDCFCFCADA2M= | USDCFCFCADA3M= | USDCFCFCADA6M= | ||
| Floor | USDCFCFCADE1W= | USDCFCFCADE1M= | USDCFCFCADE2M= | USDCFCFCADE3M= | USDCFCFCADE6M= |
Adjusted SOFR
| Feature | O/N | 1W | 1M | 2M | 3M | 6M | 12M |
|---|---|---|---|---|---|---|---|
| N/A | SOFR1MAVG= | SOFR1MAVG= | SOFR1MAVG= | SOFR3MAVG= | SOFR6MAVG= |
Spread adjustments
| Feature | O/N | 1W | 1M | 2M | 3M | 6M | 12M |
|---|---|---|---|---|---|---|---|
| N/A | USDCFCSCADA1W= | USDCFCSCADA1M= | USDCFCSCADA2M= | USDCFCSCADA3M= | USDCFCSCADA6M= |
