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Joined: December 20th, 2021, 7:56 am

Ibor fallback technicalities

January 12th, 2022, 11:58 am


most of the methodology of how to calculate the fallback rate is described in the "IBOR Fallback Rate Adjustments Rule Book". But I'm missing out on the part demanding at least 2bd between the Accrual End Date and the Payment Date of the respective period (if this condition is not met the Accrual Start Date is shifted by -1bd until it is). Have I not read carefully or is this rule described in some ammendment of e.g. some working group?

I'm especially interested in the information which calendar to use to assess the business day difference between the Accrual End Date and the Payment Date. Is it the calendar of the RFR-Index, like it is for everything else, or is the calendar of the trade (i.e. the one used to roll out the periods of the trade)?