## Fallback Ibor Oi Def

**is a direct subtype of Fallback Def with functions Fallback Ibor Oi Def Functions, keys Fallback Ibor Oi Def keys and example object FbackIbOiDef that represents specification data that define how the fallback rate**

*Fallback Ibor Oi Def***is constructed out of the original ibor rate**

*F***when the latter ceases to exist.**

*L***is given by:**

*F*

*F = mR + s*where

**is a fixed multiplier constructed as the ratio**

*m***where:**

*DCᴸ/DCᴿ***is the denominator of the daycount convention of the ibor rate, eg 360**

*DCᴸ***is the denominator of the daycount convention of the overnight rate, eg 360**

*DCᴿ*and

**is a fixed constant known as**

*s***and must be supplied as exogenous input.**

*Spread Adjustment*Note the product

**is referred in Bloomberg as Adjusted Reference Rate.**

*mR*The rate

**is an appropriately defined term overnight rate, i.e. the selected overnight rate compounded over a time interval constructed from**

*R***according to the following Bloomberg rules.**

*L*Let

**the time when the ibor rate**

*Tᴸ***is set, which is usually 2 business days before the respective accrual period.**

*L*

*Step 1:*Define the time

**as :**

*T'*

*T' = Tᴸ + Δᴿ*where

**is a fixed number of business days according to the overnight index calendar and referred by Bloomberg as**

*Δᴿ*

*Reference Spot Lag*

*Step 2:*Define the time

**as :**

*T₁*

*T₁ = T' - Δᴼ*where

**is a fixed number of business days according to the overnight index calendar and referred by Bloomberg as**

*Δᴼ*

*Offset Lag*

*Step 3:*Define the time

**as :**

*T₂*

*T₂ = T₁ + Δᴸ*where

**is the tenor of the ibor rate according to the ibor index calendar and ibor index date bump convention.**

*Δᴸ*

*Step 4:*Define the time

**as :**

*Tᴾ*

*Tᴾ = T₂ + Δᴾ*where

**is a fixed number of business days according to a given payment calendar and referred as**

*Δᴾ*

*Payment Lag*

*Step 5:*If

**is equal or less than the actual payment time associated with the initial ibor cash flow, the constructed times**

*Tᴾ***and**

*T₁***are the times that define the beginning and end of the overnight index accrual period.**

*T₂*Otherwise,

**is shifted backwards by one business day according to the overnight index calendar and the end time**

*T₁***is recalculated.**

*T₂*This step is repeated until the produced time

**is equal or less than the actual payment time of the referenced cash flow.**

*Tᴾ*