Floating Rate Notes and Securitizations

Approach to Using SOFR in New Issuances of a Variety of Securitized Products

March 29, 2021
The ARRC published a white paper that outlines a model for using SOFR, the ARRC's preferred alternative to USD LIBOR, in ABS products. For the purposes of this paper, it refers to ABS products as collectively representing non-CLO ABS, mortgage-backed securities, and commercial mortgage-backed securities products.

SOFR Floating Rate Notes Conventions Matrix, Appendix, and Comparison Chart

November 21, 2019
The matrix identifies considerations relevant to using SOFR in new floating rate notes (FRNs) and the Appendix includes SOFR FRN term sheets and fallback language. The Comparison Chart highlights key differences of structures used in the market. These documents were developed to help market participants as they consider issuing or investing in SOFR-based FRNs and may be updated or supplemented periodically. The Matrix and Comparison Chart were issued on August 1, 2019, while the Appendix was issued on November 21, 2019.

Statement on Use of the SOFR Index

May 6, 2020
The ARRC’s Floating Rate Notes Working Group released a statement to provide market participants with information about how the New York Fed’s published SOFR Index may be referenced in floating rate notes. The statement includes structuring considerations as well as a sample term sheet for floating rate notes referencing the SOFR Index.

Securitizations Fallback Language

April 25, 2019
The ARRC released final recommended contractual fallback language for USD LIBOR denominated securitizations. These provisions are for market participants’ voluntary use in new contracts that reference LIBOR and were developed with the goal of reducing the risk of serious market disruption in the event that LIBOR is no longer usable. They were developed following an associated consultation and webcast (comments received).

Appendix to SOFR Floating Rate Notes Conventions Matrix

November 2019
The ARRC today released an Appendix to the SOFR Floating Rate Notes Conventions Matrix. The Matrix, which was issued in August 2019, identifies considerations relevant to using SOFR in new FRNs.

SOFR Floating Rate Notes Comparison Chart

August 2019
The ARRC released a SOFR FRNs Comparison Chart, which accompanies the SOFR Floating Rate Notes Conventions Matrix. The Comparison Chart outlines conventions already being used in the market. Both documents were developed to help market participants as they consider issuing or investing in a SOFR-based FRN and may be updated or supplemented periodically.

Floating Rate Notes Fallback Language

April 25, 2019
The ARRC released final recommended contractual fallback language for USD LIBOR denominated floating rate notes. These provisions are for market participants’ voluntary use in new contracts that reference LIBOR and were developed with the goal of reducing the risk of serious market disruption in the event that LIBOR is no longer usable. They were developed following an associated consultation and webcast (comments received).