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The supplemental consultation was launched in May, and set out options for spread and term adjustments if fallbacks are triggered for derivatives referencing US dollar LIBOR, Hong Kong’s HIBOR and Canada’s CDOR. Feedback was also sought on a proposed fallback for Singapore’s SOR following a permanent cessation of US dollar LIBOR, given US dollar LIBOR is currently used as an input to calculate the Singapore rate.
The supplemental consultation follows a similar exercise last year that covered sterling LIBOR, Swiss franc LIBOR, yen LIBOR, yen TIBOR, euroyen TIBOR and the Australian Bank Bill Swap Rate.
“Once finalized, the results of this consultation will enable us to further progress in our work to develop and implement robust fallbacks for derivatives. As a next step, ISDA will publish a further consultation on the final parameters of the adjustments, with the aim of publishing amendments to the ISDA definitions by the end of this year. This will go a long way to reducing the systemic threat posed by a permanent discontinuation of an IBOR,” said Scott O’Malia, ISDA’s Chief Executive.