(a) Derivative transactions.
(1) A LIBOR contract
subject to the requirements of this part that is a derivative transaction
shall use the benchmark replacement identified as the “Fallback Rate
(SOFR)” in the ISDA protocol (see appendix A to this part)
for each day on which LIBOR would ordinarily be observed occurring
on or after the LIBOR replacement date. For clarity, the reference
to “spread relating to U.S. dollar LIBOR” in the definition of “Fallback
Rate (SOFR)” in the ISDA protocol is equal to the applicable tenor
spread adjustment identified in paragraph (c) of this section.
(2) The benchmark replacement used
to calculate the payment due for the relevant calculation period shall
be determined on the derivative transaction fallback observation day
in respect of the day that, under the LIBOR contract, would have been
used to determine the LIBOR-based rate that is being replaced or,
if the Board-selected benchmark replacement in respect of that day
is not available on the derivative transaction fallback observation
day, the most recently available publication on the derivative transaction
fallback observation day shall be used.
(b) All other transactions. On the LIBOR replacement
date, a LIBOR contract subject to the requirements of this part that
is not a derivative transaction shall use the following benchmark
replacements:
(1) For a
LIBOR contract that is not a consumer loan, an FHFA-regulated-entity
contract, or a FFELP ABS—
(i) In place of overnight LIBOR, the
benchmark replacement shall be SOFR plus the tenor spread adjustment
identified in paragraph (c)(1) of this section; and
(ii) In place of one-, three-, six-,
or 12- month tenors of LIBOR, the benchmark replacement shall be the
corresponding one-, three-, six-, or 12-month CME Term SOFR plus the
applicable tenor spread adjustment identified in paragraph (c) of
this section.
(2) For
a LIBOR contract that is a consumer loan—
(i) During the one-year period beginning
on the LIBOR replacement date:
(A) In place of overnight LIBOR, the benchmark
replacement shall be SOFR plus an amount that transitions linearly
for each business day during that period from:
(1)
The difference between SOFR and overnight LIBOR determined as of the
day immediately before the LIBOR replacement date; to
(2) The tenor spread adjustment identified
in paragraph (c)(1) of this section; or
(B) In place of the one-, three-, six-, or
12-month tenors of LIBOR, the benchmark replacement shall be the corresponding
one-, three-, six-, or 12- month CME Term SOFR plus an amount that
transitions linearly for each business day during that period from:
(1) The difference between the relevant CME Term SOFR and
the relevant LIBOR tenor determined as of the day immediately before
the LIBOR replacement date; to
(2) The
applicable tenor spread adjustment identified in paragraph (c) of
this section.
(ii) On the date one year after the
LIBOR replacement date and thereafter:
(A) In place of overnight LIBOR, the benchmark
replacement shall be SOFR plus the tenor spread adjustment identified
in paragraph (c)(1) of this section; and
(B) In place of one-, three-, six-, or 12-month tenors of LIBOR,
the benchmark replacement shall be the corresponding one-, three-,
six-, or 12-month CME Term SOFR plus the applicable tenor spread adjustment
identified in paragraph (c) of this section.
(iii) The rates published or provided
by Refinitiv Limited as “USD IBOR Cash Fallbacks” for “Consumer” products
shall be deemed equal to the rates identified in paragraphs (b)(2)(i)
and (ii) of this section.
(3) For a LIBOR contract that is an FHFA-regulated-entity contract—
(i) For an FHFA-regulated-entity
contract that is not a Federal Home Loan Bank advance—
(A) In place of overnight LIBOR, the benchmark
replacement shall be SOFR plus the tenor spread adjustment identified
in paragraph (c)(1) of this section; and
(B) In place of one-, three-, six-, or 12-month tenors of LIBOR,
the benchmark replacement shall be the 30-day Average SOFR plus the
applicable tenor spread adjustment identified in paragraph (c) of
this section.
(ii) For an FHFA-regulated-entity contract that is a Federal Home
Loan Bank advance—
(A)
The benchmark replacement shall be the “Fallback Rate (SOFR)” in the
ISDA protocol (see appendix A to this part) for each day on
which LIBOR would ordinarily be observed occurring on or after the
LIBOR replacement date. For clarity, the reference to “spread relating
to U.S. dollar LIBOR” in the definition of “Fallback Rate (SOFR)”
in the ISDA protocol is equal to the applicable tenor spread adjustment
identified in paragraph (c) of this section.
(B) The benchmark replacement used to calculate
the payment due for the relevant calculation period shall be determined
on the derivative transaction fallback observation day in respect
of the day that, under the LIBOR contract, would have been used to
determine the LIBOR-based rate that is being replaced or, if the Board-selected
benchmark replacement in respect of that day is not available on the
derivative transaction fallback observation day, the most recently
available publication on the derivative transaction fallback observation
day shall be used.
(4) For a LIBOR contract that is a FFELP
ABS—
(i) In place
of one-month LIBOR, the benchmark replacement shall be 30-day Average
SOFR plus the tenor spread adjustment identified in paragraph (c)(2)
of this section;
(ii) In place
of three-month LIBOR, the benchmark shall be 90-day Average SOFR plus
the tenor spread adjustment identified in paragraph (c)(3) of this
section; and
(iii) In place of
six- or 12-month tenors of LIBOR, the benchmark replacement shall
be 30-day Average SOFR plus the tenor spread adjustment identified
in paragraph (c)(4) or (5) of this section, as applicable.
(c) Tenor spread adjustments. The following tenor spread adjustments shall be included as part
of the Board-selected benchmark replacements as indicated in paragraphs
(a) and (b) of this section:
(1) 0.00644 percent for overnight LIBOR;
(2) 0.11448 percent for one-month LIBOR;
(3) 0.26161 percent for three-month
LIBOR;
(4) 0.42826 percent for six-month
LIBOR; and
(5) 0.71513 percent for
12-month LIBOR.
