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Calculating Interest

bbalibor is not a compounded rate but is calculated on the basis of actual days in funding period/360*. Therefore, the formula is as follows:

bbalibor image

*Please note that for GBP the calculation basis is 365 days.

It is also important to work out the exact/actual number of days in the funding period, which is not always 90 days for a 3-month deposit but could e.g. be 89 or 91 days.

If you have a funding period of, for example, 45 days you could extrapolate between the one and the two month rate to arrive at the correct bbalibor rate.

 
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