In December 2020, AverageLIBOR.com was transitioned to the LSTA in response to a strong demand by market participants that the website continue to operate. Given the important service that it provides to the market, the LSTA is pleased to say that AverageLIBOR.com has run seamlessly without interruption in service.
With the advent of new benchmarks and the eventual discontinuance of LIBOR, the cost of carry calculation, as evidenced by the LSTA’s Standard Terms and Conditions for Primary Allocations and Par/Near Par and Distressed Trades, has been revised. For all trades entered into on and after December 1, 2021, the Cost of Carry Rate for the Delay Period means (i) (a) the sum of all the individual daily SOFRs for each day in the period from (and including) the date two (2) Business Days before the Commencement Date and to (but excluding) the date that is two (2) Business Days before the Delayed Settlement Date divided by the total number of days in such period plus (ii) a spread adjustment equal to 11.448 basis points. To assist with this change, AverageLIBOR.com has added functionality to enable loan market participants to calculate the average daily SOFR applicable to the Delay Period.
When performing a SOFR search, enter the Commencement Date as the “Start Date” and enter the Delayed Settlement Date as the “End Date”. The platform is programmed to account for the lookback days.
When searching for the average LIBO rate, continue to enter the date that is two (2) Business Days prior to the Commencement Date as the “Start Date” and enter the date two (2) Business Days plus one additional day prior to the Delayed Settlement Date as the “End Date”. The platform will not account for the lookback periods in connection with LIBOR, so when using the LIBOR benchmark, please use the system as you always have.
We hope that adding this SOFR functionality will facilitate trade settlement. If you have any questions, please go to our FAQs.