Bloomberg Publishes Rulebook on IBOR Fallback Methodology

The rulebook’s final methodology, rules and conventions are based on the results of four market-wide consultations ISDA conducted between 2018 and 2020. 

Bloomberg has published a rulebook setting out the final methodologies for the IBOR fallbacks that ISDA expects to implement via a Supplement to the 2006 ISDA Definitions and related Protocol.

The rulebook’s publication follows ISDA’s July 2019 announcement that Bloomberg Index Services Limited (BISL) was selected to calculate and publish RFR (risk free rate) adjustments related to these fallbacks – including the Adjusted Reference Rate, the Spread Adjustment and the resulting Fallback Rate.

The final methodology, rules and conventions in the rulebook are based on the results of four market-wide consultations that ISDA conducted between 2018 and 2020.

Bloomberg expects to publish indicative data on a currency-by-currency basis in the coming weeks.

Bloomberg and ISDA will also publish additional educational materials to help market participants understand the IBOR fallback methodologies and how they will be implemented in ISDA documentation, and expect to host a webinar on these issues.

The rulebook does not yet include pre-cessation fallbacks for LIBOR, but it will be updated to cover this as work on how to implement precessation fallbacks for LIBOR evolves.

The rulebook is available here.

 

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