IBOR Fallbacks

Bloomberg Professional Services

IBOR Fallbacks
Technical Note

BISL
Update on Phase 2 Roll Out

As previously announced, there will be a phased approach to As part of this first set of weekly updates, users should note
the publication of the IBOR Fallbacks. that effective July 27, 2020, the Spread Adjustment and the
Fallback Rate for USD LIBOR Overnight, the Spread
The first phase of the roll out was effective on July 17, 2020. Adjustment for EUR LIBOR 1-month, and the Fallback Rate for
In this initial phase, the buildout of the calculations and full CAD CDOR 12-month were republished. The impacted date
dissemination and display of all associated data fields range for USD LIBOR Overnight updates was from July 2,
remains a work-in-progress and should be viewed on that 2020 to July 27, 2020, for EUR LIBOR 1-month from May 15,
basis. Below are the key Bloomberg channels through which 2020 to July 27, 2020, and for CAD CDOR 12-month from its
this initial set of indicative data is currently available: inception to July 18, 2019. Users should re-download the
previously published data to see the updated values.
• Bloomberg Terminal
• Bloomberg Data License Additionally, the HP <GO> page on Bloomberg is being
• Bloomberg’s LIBOR Transition website (on a enhanced to feature the calculation date related to the
delayed basis) Adjusted Reference Rate, the Spread Adjustment and the
Fallback Rates . This is expected to be available to users on
Additional details of this first phase of the launch, as the Bloomberg Terminal effective August 14, 2020. For
provided in the previous announcement, have been included example, a user can go to FBAK <GO> (or a given index
in the subsequent pages. Please note that that certain ticker) and subsequently go to the HP <GO> screen on the
updates for access through the Data License and through the Bloomberg Terminal to view this.
Bloomberg website are also included in this update.
In the coming weeks, we will continue to provide updates to
In the second phase of the roll out, targeted for several users on the developments related to the Phase 2 roll out.
weeks following the go-live on July 17, these various channels
will be augmented for an enhanced experience and
interaction with the data.

During this initial phase, as operational improvements are

identified and implemented, previously published data may
be updated on a weekly basis.
IBOR Fallbacks

Details of July 17, 2020 Launch (Phase 1)

Bloomberg Terminal

The latest available data can be accessed on FBAK<GO> via Figure 3

a spreadsheet built by Bloomberg’s Desktop Build Group. Bloomberg Description Page (DES <GO>)
Figure 1 below provides an overview of FBAK <GO> and
Figure 2 of the related spreadsheet.

Figure 1
Fallback Screen (FBAK <GO>)

Key Associated Fields

Below are the key Bloomberg API fields associated with IBOR
Figure 2 Fallbacks. Figure 4 provides an overview of how these could
Bloomberg Excel Sheet on FBAK <GO> be associated with a given ticker on the Bloomberg Terminal.

• PR371 (LAST_UPDATE_DT)
• PR005 (PX_LAST)
• DW521 (IBOR_FALLBCK_CALC_DT)
• DW523 (IBOR_FALLBCK_TYPE)
• DW522 (IBOR_FALLBCK_TENOR)

Figure 4
Key associated Bloomberg API Fields (FLDS <GO>)

Ticker Convention

The Fallback Rate for an IBOR ticker can be found by adding

‘F’ before the relevant IBOR ticker (e.g., 3-month USD LIBOR
has the ticker US0003M <Index> and the Fallback Rate for 3-
month USD LIBOR has the ticker FUS0003M <Index>).
Similarly, the Spread Adjustment for an IBOR ticker can be
found by adding ‘S’ before the relevant ticker. For the Additional Resources
Adjusted RFRs, the tickers usually follow the convention of
adding the two-character ‘tenor’ identifier to the RFR name Additional resources (such as the Rule Book and the Fact
(e.g., the Adjusted RFR for 1-week compounded SOFR is Sheet) can be found on ISDA <GO> on the Terminal.
SOFR1W <Index> and for the 3-month compounded SOFR
tenor is SOFR3M <Index>). Note the exceptions in the table Figure 5
for SONIA and for TONA where it is the Adjusted RFR for JPY Additional Resources (ISDA <GO>)
TIBOR. For the Overnight (O/N) or Spot Next (S/N) tenors,
the ‘/’ is removed, and in the case of €STR O/N the ticker is
ESTRONON <Index>). The associated full list of tickers can
be found in Appendix 1.

Below is an overview of the description (DES) pages. Please

note that this is under construction and users are referred to
the excel spreadsheet for the data download. Figure 3 below
provides an overview of this.

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IBOR Fallbacks

Bloomberg’s Data License Bloomberg’s LIBOR Transition Website (Delayed Access)

Delayed data will be publicly available on Bloomberg’s LIBOR

The IBOR Fallbacks data can be accessed in Data License via
transition website alongside other resources such as IBOR
Per Security requests. In the subsequent weeks, the data will
Fallback Rule Book and Fact Sheet.
also be made available via a bulk product offering.

Figure 6
Per Security Bloomberg’s LIBOR Transition Website (Resources)

Due to the nature of the calculations, certain Calculation

Dates may include publications related to multiple original
IBOR Rate Record Days. For the access of IBOR Fallbacks
data through per security in Data License, users are
encouraged to use the ‘gethistory’ request. Please see below
a sample request for per security. Users can refer to the
Appendix for the tenors and types associated with the
tickers.

START-OF-FILE
FIRMNAME=firmabc
REPLYFILENAME=bbgIborFallbacksHist.out
PROGRAMNAME=gethistory
PROGRAMFLAG=daily Figure 7
TIME=1700 Bloomberg’s LIBOR Transition Website (Delayed Data)
DATERANGE=90
HIST_FORMAT=horizontal

START-OF-FIELDS
PX_LAST
IBOR_FALLBCK_CALC_DT
END-OF-FIELDS

START-OF-DATA
FBBSW1M Index
FSF0001M Index
FEUR001M Index
FEE0001M Index
FUS0001M Index
FUS0001W Index
FBP0001W Index
FJY0001W Index
FJY0001M Index
END-OF-DATA

END-OF-FILE

Bulk Datasets

Please contact your Enterprise Data sales representative if

you are interested in the bulk product offering.

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IBOR Fallbacks

Appendix 1: Bloomberg Tickers

Tickers for IBOR Fallbacks

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 12M

AUD BBSW n/a n/a n/a n/a FBBSW1M FBBSW2M FBBSW3M FBBSW4M FBBSW5M FBBSW6M n/a
CAD CDOR n/a n/a n/a n/a FCDOR01 FCDOR02 FCDOR03 n/a n/a FCDOR06 FCDOR12
CHF LIBOR n/a FSF00SN FSF0001W n/a FSF0001M FSF0002M FSF0003M n/a n/a FSF0006M FSF0012M
EUR EURIBOR n/a n/a FEUR001W n/a FEUR001M n/a FEUR003M n/a n/a FEUR006M FEUR012M
EUR LIBOR FEE00ON n/a FEE0001W n/a FEE0001M FEE0002M FEE0003M n/a n/a FEE0006M FEE0012M
GBP LIBOR FBP00ON n/a FBP0001W n/a FBP0001M FBP0002M FBP0003M n/a n/a FBP0006M FBP0012M
HKD HIBOR FHIHDON n/a FHIHD01W FHIHD2W FHIHD01M FHIHD02M FHIHD03M n/a n/a FHIHD06M FHIHD12M
JPY EuroYen TIBOR n/a n/a FEUYN01W n/a FEUYN01M n/a FEUYN03M n/a n/a FEUYN06M FEUYN12M
JPY LIBOR n/a FJY00SN FJY0001W n/a FJY0001M FJY0002M FJY0003M n/a n/a FJY0006M FJY0012M
JPY TIBOR n/a n/a FTI0001W n/a FTI0001M n/a FTI0003M n/a n/a FTI0006M FTI0012M
USD LIBOR FUS00ON n/a FUS0001W n/a FUS0001M FUS0002M FUS0003M n/a n/a FUS0006M FUS0012M

Tickers for Adjusted RFRs

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 12M
AUD BBSW n/a n/a n/a n/a AONIA1M AONIA2M AONIA3M AONIA4M AONIA5M AONIA6M n/a
CAD CDOR n/a n/a n/a n/a CORRA1M CORRA2M CORRA3M n/a n/a CORRA6M CORRA12M
CHF LIBOR n/a SARONSN SARON1W n/a SARON1M SARON2M SARON3M n/a n/a SARON6M SARON12M
EUR EURIBOR n/a n/a ESTR1W n/a ESTR1M n/a ESTR3M n/a n/a ESTR6M ESTR12M
EUR LIBOR ESTRONON n/a ESTR1W n/a ESTR1M ESTR2M ESTR3M n/a n/a ESTR6M ESTR12M
GBP LIBOR SONIAON n/a SONIA1W n/a SONIA1M SONIA2M SONIA3M n/a n/a SONIA6M SONIA12M
HKD HIBOR HONIAON n/a HONIA1W HONIA2W HONIA1M HONIA2M HONIA3M n/a n/a HONIA6M HONIA12M
JPY EuroYen TIBOR n/a n/a TONA1W n/a TONA1M n/a TONA3M n/a n/a TONA6M TONA12M
JPY LIBOR n/a TONASN TONA1W n/a TONA1M TONA2M TONA3M n/a n/a TONA6M TONA12M
JPY TIBOR n/a n/a TONAT1W n/a TONAT1M n/a TONAT3M n/a n/a TONAT6M TONAT12M
USD LIBOR SOFRON n/a SOFR1W n/a SOFR1M SOFR2M SOFR3M n/a n/a SOFR6M SOFR12M

Tickers for Spread Adjustments

IBOR Name O/N S/N 1W 2W 1M 2M 3M 4M 5M 6M 12M
AUD BBSW n/a n/a n/a n/a SBBSW1M SBBSW2M SBBSW3M SBBSW4M SBBSW5M SBBSW6M n/a
CAD CDOR n/a n/a n/a n/a SCDOR01 SCDOR02 SCDOR03 n/a n/a SCDOR06 SCDOR12
CHF LIBOR n/a SSF00SN SSF0001W n/a SSF0001M SSF0002M SSF0003M n/a n/a SSF0006M SSF0012M
EUR EURIBOR n/a n/a SEUR001W n/a SEUR001M n/a SEUR003M n/a n/a SEUR006M SEUR012M
EUR LIBOR SEE00ON n/a SEE0001W n/a SEE0001M SEE0002M SEE0003M n/a n/a SEE0006M SEE0012M
GBP LIBOR SBP00ON n/a SBP0001W n/a SBP0001M SBP0002M SBP0003M n/a n/a SBP0006M SBP0012M
HKD HIBOR SHIHDON n/a SHIHD01W SHIHD2W SHIHD01M SHIHD02M SHIHD03M n/a n/a SHIHD06M SHIHD12M
JPY EuroYen TIBOR n/a n/a SEUYN01W n/a SEUYN01M n/a SEUYN03M n/a n/a SEUYN06M SEUYN12M
JPY LIBOR n/a SJY00SN SJY0001W n/a SJY0001M SJY0002M SJY0003M n/a n/a SJY0006M SJY0012M
JPY TIBOR n/a n/a STI0001W n/a STI0001M n/a STI0003M n/a n/a STI0006M STI0012M
USD LIBOR SUS00ON n/a SUS0001W n/a SUS0001M SUS0002M SUS0003M n/a n/a SUS0006M SUS0012M

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IBOR Fallbacks

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and Derivatives Association, Inc. ("ISDA"). Bloomberg Index Services Limited ("BISL" and, collectively with BFLP and their affiliates, "Bloomberg")
maintains and calculates the ‘fallback’ data comprising the 'all in' fallback rates and their component parts, the adjusted ‘risk-free’ reference rates
and the spread adjustment (collectively with any other data or information relating thereto or contained herein, the "Data") under an engagement
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