IBOR Fallback Rule Book and FAQs

In light of recent LIBOR cessation announcements, it may be helpful to revisit the IBOR Fallback Rate Adjustments Rule Book published by ISDA and Bloomberg last year in conjunction with Bloomberg’s recently published “Frequently Asked Questions” on the topic.

ISDA has chosen Bloomberg as the adjustment services vendor for IBOR fallback calculations. “The calculations are based on the methodology developed by ISDA through a series of market consultations which can be viewed on ISDA’s website.” This includes the Adjusted Risk-Free Rate, the Spread Adjustment, and the ‘all in’ Fallback Rate.

The spread adjustment was fixed for all LIBOR currencies and tenors on March 5, 2021.

About Principia Partners
Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.