ISDA Fallback rates play a pivotal role for OTC Derivatives within the LIBOR transition and wider IBORs reform
ISDA Fallback rates are relevant to derivatives trades referencing a specific IBOR and play a key role in the event of a permanent cessation of that interbank offered rate (IBOR). Specific fallback rates are set out in the 2006 ISDA Definitions. ISDA released robust Fallback rates that would apply in the event of a permanent cessation of a key interbank offered rate (IBOR).
What are ISDA Fallback rates?
More than $350 trillion worth of financial instruments reference LIBOR – the benchmark that is expected to cease at the end of 2021. Current financial contracts documentation does not include the relevant language to cover the end of a benchmark. So, as LIBOR ends, contracts will not have a new rate to fall back on or rely on. But the new available ISDA protocol and its adoption enable a fallback rate to be inserted, covering the move out from LIBOR or any other benchmark.
LSEG has made ISDA Fallback rates available in Eikon and across all platforms
LSEG has supported the ISDA IBOR Fallbacks available across all services since November 6, 2020, including the adjusted risk-free rate RFR that is compounded in arrears and the spread adjustment rate. We also support the IBOR fallback rate for the following IBORs: the Australian dollar bank bill swap rate (BBSW), the Canadian Dollar Offered Rate (CDOR), Swiss franc LIBOR, EURIBOR, euro LIBOR, sterling LIBOR, HIBOR, euro-yen TIBOR, yen LIBOR, TIBOR and US dollar. We provide access to all ISDA fallback rates, covering the following IBORs:
- the Australian dollar bank bill swap rate (BBSW)
- the Canadian Dollar Offered Rate (CDOR)
- Swiss Franc LIBOR
- Euro LIBOR
- Sterling LIBOR
- Hong Kong Interbank Offered Rate (HIBOR)
- Euroyen TIBOR
- Yen LIBOR
- Tokyo Interbank Offered Rate (TIBOR)
- USD LIBOR
LSEG is an authorised redistributor of ISDA IBOR Fallback rates on its products. Products include Eikon/Refinitiv Workspace, RKD, LSEG Datastream®, LSEG Real-Time - Optimized, LSEG DataScope Select and LSEG Tick History. To become permissioned, contact us or get in touch with your LSEG Account Manager. LSEG supports all the same real-time data and historical rates with the same commercial set-up.
How can ISDA Fallback rates benefit you?
LSEG is committed to providing you with tools to monitor the Libor transition, assess risks and impacts
LSEG is undertaking a range of proactive changes and is able to deliver the data, news, expertise and analytics needed for a smooth transition.
The data you need is delivered when you need it. ISDA Fallback Rates are available across all LSEG services. 24-hour delayed data is available, but also requires permissioning (free of charge until cessation date)
The ISDA Fallback Rates will be free of charge for now, for standard use cases
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