LIBOR fallback calculator

This calculator rebuilds what a USD LIBOR setting turns into under the ISDA fallbacks: SOFR compounded in arrears over the tenor, with the observation window shifted back two U.S. government securities business days, plus the fixed spread adjustment for that tenor. It is meant for people still servicing, reconciling or auditing legacy LIBOR swaps, loans and notes who want to check a fallback figure line by line. It reproduces the published methodology; it is not the official fallback rate that Bloomberg publishes.

Features

• The ISDA shift, not a plain average. Both ends of the observation window move back two U.S. government securities business days, and each SOFR print is weighted by the calendar days it covers in that shifted window.
• Tenor-driven dates. Pick a tenor and start date and the end date is set for you, rolled to a business day with modified following. Override it when your confirmation shows different dates.
• All seven fixed spreads. The overnight, 1-month, 3-month, 6-month and 12-month values that Regulation ZZ codifies, plus the 1-week and 2-month values Bloomberg fixed for tenors that ended in 2021.
• Independent check against the SOFR Index. For observation periods from March 2, 2020 on, the compounded rate is recomputed from two published SOFR Index values.
• Cross-tenor table. Every tenor ending on your end date, side by side, with the spread split from SOFR.
• CSV audit trail. The download lists each SOFR print in the shifted window with its days and running compounding factor, then the spread, margin and interest.

How to use the LIBOR fallback calculator

1. Choose the LIBOR tenor your contract referenced. The 1-week and 2-month options, which ended after December 31, 2021, are there for methodology checks.
2. Enter the first day of the interest period. The end date fills in from the tenor; change it if your schedule says otherwise.
3. Add your contract margin in basis points and a notional if you want the dollar interest.
4. Read the all-in rate and the breakdown, and download the CSV for your reconciliation file. If the period ends beyond the data, use Latest complete period to jump to the most recent period that can be computed.

How the fallback rate is built

The formula

ISDA's March 2023 guidance describes the fallback that Bloomberg Index Services Limited (BISL) publishes as an "all-in" rate: an overnight risk-free rate "compounded over the relevant IBOR tenor with a two-day backward shift", plus "a fixed spread adjustment representing the median over five-years of the difference" between the IBOR tenor and the compounded rate. For USD LIBOR the risk-free rate is SOFR. In the notation this calculator uses:

The spread is added to the compounded rate, not compounded with it: in ISDA's description the all-in rate is the sum of the two parts. The shift exists so the rate is more likely to be known two business days before payment: BISL subtracts an "Offset Lag (which is always 2 Reference Rate Business Days)" when it sets the start of compounding, according to the ISDA guidance.

Where the spread adjustments come from

The UK Financial Conduct Authority's announcement of March 5, 2021 was an index cessation event under ISDA's fallbacks, and Bloomberg's technical notice names that day the "Spread Adjustment Fixing Date" for every LIBOR tenor. The five-year median method had been chosen in ISDA's 2019 consultation, where most respondents preferred "a historical median approach over a five-year lookback period" and a clear majority favored the two-banking-day backward shift. The values have not moved since:

The source is Bloomberg's spread fixing notice, which says its data "are for illustrative purposes only"; the five tenors still in use also appear in 12 CFR 253.4(c).

Worked example: 3-month LIBOR, July 8 to October 8, 2026

Most of the move in the window came late. SOFR was 3.62% on September 16, 2026 and 3.85% on September 17, the first day EFFR data show the federal funds target range at 3.75%–4.00%, up from 3.50%–3.75%. Because the shift pulls the window back, the July 6 and 7 prints (3.63% and 3.62%) are in and the October 6 and 7 prints (3.90% and 3.88%) are out. Compounding the unshifted period, July 8 to October 8, gives 3.70347%, about 0.6 bp higher. The SOFR Index gives the same shifted figure: 1.26167305 on October 6 over 1.24986240 on July 6, annualized over 92 days, is 3.69765%.

Derivatives versus cash products

The calculator follows the derivatives route. ISDA launched the IBOR Fallbacks Supplement and the 2020 IBOR Fallbacks Protocol on October 23, 2020, both effective January 25, 2021; the protocol let adhering parties write the fallback into legacy non-cleared trades. Regulation ZZ points derivatives without a workable fallback to the same ISDA "Fallback Rate (SOFR)". It is set in arrears, so ISDA notes it "cannot be calculated and published until around the end of the relevant IBOR tenor period", and BISL publishes the USD rate on a T+1 basis.

Cash products mostly took a different base rate with the same spread. The ARRC said in June 2020 that its recommended spread for non-consumer cash products would "match the value of ISDA's spread adjustments", with a one-year transition period for consumer products. Under Regulation ZZ, most non-consumer cash contracts that lacked a workable fallback moved from 1-, 3-, 6- or 12-month LIBOR to the matching CME Term SOFR plus that tenor's spread. Overnight LIBOR moved to SOFR plus 0.00644%. Contracts of FHFA-regulated entities other than FHLB advances use 30-day Average SOFR plus the spread. Term SOFR is a forward-looking, licensed CME Group benchmark that this site does not display. For a contract on the Term SOFR route, this calculator gives the in-arrears comparison, not the rate you were charged. The Term SOFR guide covers the difference.

Synthetic USD LIBOR used the cash-style formula. From July 2023 the FCA required the 1-, 3- and 6-month settings to be published as "the relevant CME Term SOFR Reference Rate plus the respective ISDA fixed spread adjustment" for legacy use only, and they were published for the last time on September 30, 2024. The FCA then confirmed that "All 35 LIBOR settings have now permanently ceased." The transition timeline sets out each date.

What this replica does and does not reproduce

When a figure here disagrees with your agent's notice, compare the observation dates first, then the rounding step. If your document uses a lookback without a shift, or a lockout, the compounded SOFR calculator handles those conventions; for a contract that simply moved to SOFR plus a spread, the SOFR interest calculator is the quicker route.

Frequently asked questions

Is this the official ISDA fallback rate?

No. The official rates are published by Bloomberg Index Services Limited, and under the ISDA Definitions those publications bind parties to the fallbacks. This page recomputes the same method from New York Fed SOFR so you can see every input; differences in date rules or rounding can make the last decimal differ.

Why are the observation days different from the accrual days?

Because holidays fall differently once the window moves back. A 1-month period from September 8 to October 8, 2026 accrues for 30 days, but its shifted window runs from September 3 to October 6, which is 33 days, since September 8 shifts back past the Labor Day holiday on September 7. Compounding uses the observation days; interest uses the accrual days.

What did the fallback look like right after LIBOR ended?

For a 3-month period from July 3, 2023, the first London banking day after June 30, 2023, to October 3, 2023, the shifted window is June 29 to September 29, 2023. Compounded SOFR over it is 5.26348%, and adding 0.26161% gives a fallback of 5.52509%. Enter those dates above to see the daily detail.

Why can't I compute a period that ends next month?

The rate is in arrears: it needs SOFR for the whole shifted window, which closes two business days before the period ends. This page knows business days only as far as the New York Fed data confirm them, through October 9, 2026, so the latest period it computes ends then. Latest complete period sets those dates.

Why are 1-week and 2-month LIBOR marked informational?

The FCA's March 5, 2021 announcement ended the 1-week and 2-month USD settings immediately after December 31, 2021, and the overnight, 1-, 3-, 6- and 12-month settings immediately after June 30, 2023. Bloomberg still fixed spreads for all seven tenors, but Regulation ZZ covers only the five that lasted until 2023.

Does the spread adjustment ever change?

No. It was fixed on March 5, 2021 and is a constant per tenor. Only the compounded SOFR part moves. Consumer products had a one-year transition to the fixed value under the ARRC recommendation and Regulation ZZ, which this calculator does not model.

Does the calculator apply a floor?

No. If your contract floors LIBOR or the all-in rate, apply the floor to the result yourself and check whether it applies before or after the spread adjustment; documents differ.

Privacy and data

The calculation runs entirely in your browser. Daily SOFR and the SOFR Index come from a dated snapshot of Federal Reserve Bank of New York data served from this site, and nothing you enter, including the notional and margin, is sent anywhere. Sources and update timing are on the methodology page.