LIBOR Fallback Rate Curve


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IBOR Replacement Rate Curve


FinPricing offers the following curves for various currencies via API:

  • OIS curves
  • RFR (risk free rate) curves
  • SOFR, €STR (ESTR, ESTER), SONIA, TONA, CORRA, AONIA, SARON curves
  • IBORs (LIBOR, EURIBOR, TIBOR, CDOR, EONIA, etc.) replacement fallback rate curves
  • Swap rate curves
  • Basis curves
  • Spot rate or zero rate curves
  • Forward rate curves
  • Discount curves
  • Inflation Swap rate (CPI, RPI, HICP) curves
  • Nordic electricity futures curve
  • VIX futures curve
  • S&P 500 futures curve

The worldwide manipulation scandal of interest rate benchmarks like the London Interbank Offered Rate (LIBOR) was uncovered in 2012. Other reference rates like the Euro Interbank Offered Rate (EURIBOR) and the Tokyo Interbank Offered Bank Rate (TIBOR) were affected as well.

The manipulation scandal with LIBOR and other benchmarks undermined confidence in the reliability and robustness of major reference rates. This created a source of vulnerability and systemic risk. The Financial Stability Board (FSB) published a report with a focus on the most widely used IBORs (LIBOR, EURIBOR and TIBOR) in 2014.

The FSB recommends to replace IBOR with alternative risk-free reference rates (RFRs). It also develops fallback rates to improve contract robustness to address risks of discontinuation of widely used interest rate benchmarks. The continued reliance of global financial markets on LIBOR poses risks to financial stability. There was a common view across FSB member jurisdictions that overnight RFR should be encouraged across the markets and that contracts referencing IBORs should have robust fallbacks

To replace LIBOR with a daily rate would require substantial changes in the way interest rates are calculated and reported. Many LIBOR benchmark settings are now being synthetically produced due to the cessation of some LIBOR publishing. People needed to figure out the most advantageous replacement rate to plug into existing contracts. The existing contract based on IBORs should have robust fallbacks.

Robust fallback rates were identified for derivatives linked to IBORs and serve as the replacements. A methodology for the IBOR Fallbacks was developed based on the RFRs. The idea was to include fallback rates to the existing IBORs as a safety net against benchmark cessation or similar events in new and legacy derivatives contracts under ISDA documentation. Precessation announcements engage contractual triggers for the application of LIBOR fallbacks.

Adjustments are needed due to differences between the IBORs and the RFRs. The adjustments apply to alternative RFRs if fallbacks took effect for USD LIBOR, Canadian Dollar Offered Rate (CDOR), Hong Kong Interbank Offered Rate (HIBOR), and Singapore Dollar Swap Offer Rate (SOR).

The fallback rate would be made up of a forward-looking term version of the relevant RFR (i.e. SONIA for GBP and TONA for JPY) and the fixed ISDA spread adjustment published for the purposes of the IBOR Fallbacks Supplement and Protocol for the respective LIBOR setting.

FinPricing provides iBor replacement rates and fallback rates data for anyone who is trying to phase out Libor and replace it with the new interest rates.


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