Configuration
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All USD LIBOR settings ceased 30 June 2023. GBP/EUR/JPY/CHF LIBOR ceased 31 Dec 2021.
The IBOR rate in your legacy contract. Tool computes the economically equivalent RFR rate.
About this tool
ISDA 2020 IBOR Fallback spread adjustments use a 5-year historical median of the spread between the relevant IBOR and its compounded RFR equivalent, calculated as of each IBOR's cessation date. These are fixed values, not updated daily.
Compounding convention: All RFRs are overnight rates compounded in arrears over the relevant period. Term SOFR and Term SONIA are available for certain tenors but remain distinct from the ISDA fallback compounded rate.
EURIBOR: Not discontinued. BMR-reformed in 2020. €STR is provided as a reference alternative, not a fallback.
- ISDA 2020 IBOR Fallbacks Supplement — effective 25 Jan 2021
- ARRC — SOFR conventions and best practices guide (2024)
- Bank of England — SONIA compounded index methodology
- ECB — €STR publication methodology (2019, updated 2023)
- FSB — Global transition away from LIBOR: 2023 progress report
IBOR → RFR Reference
| Parameter | Legacy IBOR | RFR Equivalent |
|---|