Would you pay 1,000,000,000 USD for public information?
The IBOR fallback has been a hot topic over the last years. Will it soon also be an expensive topic? Don't worry, dear Reader, I do not plan to charge for my blogs ( multi-curve and muRisQ ). You will continue to get the most accurate and independent information available at the best price possible (0 USD). You may even find from time to time some open source code. No, my question is related to the adjusted RFRs and adjustment spreads. According to a recently published Bloomberg FAQ , " Yes, a license will be required from Bloomberg for usage of the ISDA fallback rates. " Those rates are based on publicly available information. In USD, this is based on SOFR , available on the Federal Bank of New York website and some past LIBOR rates. From those public rate, a public formula of interest rate composition, which has been public for more than 500 years (see for example Pratica della mercatura published around 1340), is used. I have myself published more recently (onl...