Market welcomes SOR fallback consensus

Clarification of five-year median spread adjustment is helpful, but “no magic bullet”


Publication of an industry-wide methodology for re-pegging contracts referencing Singapore’s outgoing swap offer rate, or SOR, to its overnight successor, Sora, has been welcomed by market participants, with one calling it a “breakthrough” in a complex, multi-step transition.

In a July 18 response to a consultation on adjustment spreads for the conversion of legacy contracts, the steering committee for SOR and Sibor transition (SC-STS) settled on a five-year historic median between the two

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