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ISDA likely to use same fallback adjustments in US dollar Libor as sterling Libor

( July 30, 2019, 21:46 GMT | Official Statement) -- MLex Summary: The International Swaps and Derivatives Association said it is likely to proceed with the same adjustments for fallbacks in derivatives referencing  interbank offered rates  such as the US dollar Libor, Hong Kong’s Hibor and Canada’s CDOR as for the sterling Libor, Swiss franc Libor, yen Libor, yen Tibor euroyen Tibor and the Australian bank bill swap rate, subject to a final decision by the ISDA  board benchmark committee. The adjustments are the “compounded setting in arrears rate” for the adjusted risk-free rate and the “historical mean/median approach” for the spread adjustment, ISDA said. The association, charged by the Financial Stability Board with developing fallbacks in the event that certain interbank offered rates are permanently discontinued, said it aims to publish changes to its definitions by year-end.Statement follows in full. Also see document below. ...

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