Fallback Rate (SOR) Factsheet
Last Updated: 30 September 2020

List of Questions
1: What is a benchmark fallback?
2: Why are changes to the fallbacks inthe 2006 ISDA Definitions necessary?
3: What is the benchmark fallback for
SOR derivatives?
4: What is the fallback adjustment for
Fallback Rate (SOR)?
5: How can I adopt the Fallback Rate(SOR)?
6: Under what circumstances will
Fallback Rate (SOR) come into effect?
7: Can I use Fallback Rate (SOR) totransition from SOR?
8: Where can I find Fallback Rate(SOR)?
9: What will be published on theFallback Rate (SOR) screen?
10: What time will the Fallback Rate(SOR) be published?

Definitions necessary?
Current fallbacks under the 2006 ISDA
Definitions typically require the counterparty
that is the calculation agent to obtain quotes
from major dealers in the relevantinterdealer market. If an IBOR (e.g. USD
LIBOR, SOR etc.) has been permanently
discontinued, it is likely that major dealers
would be unwilling and/or unable to givesuch quotes. It is also likely that quotes could
go vary materially across the market.
More immediately, with respect to LIBOR,
the UK Financial Conduct Authority (FCA) has
stated that it will not compel or persuadebanks to make LIBOR submissions after theend of 2021, raising the likelihood that LIBOR
will cease to exist after that date. The
cessation of USD LIBOR, which is used incomputing SOR, will have implications for
SOR publication.

3: What is the benchmark
fallback for SOR
derivatives?
Fallback Rate (SOR)1 will be the primary
fallback reference rate for SOR derivatives.

1: What is a benchmark
fallback?
Benchmark fallbacks or fallback referencerates are replacement rates that would applyto derivatives trades referencing a particularbenchmark. These would take effect if therelevant benchmark (e.g. USD LIBOR, SGD
Swap Offer Rate (SOR) etc.) becomes
unavailable while market participants
continue to have exposure to that rate.
Specific fallback rates are set out in the 2006
ISDA Definitions. ISDA is working on new
robust fallbacks that would apply in theevent of a permanent cessation of a key
interbank offered rate (IBOR) or, in the caseof LIBOR, upon a determination that it is nolonger representative.

2: Why are changes to thefallbacks in the 2006 ISDA

Similar to SOR, Fallback Rate (SOR) is an FXimplied rate, based on actual transactions in
the USD/SGD FX swap market, and available inthe same tenors as SOR (i.e. Overnight, 1month, 3-month and 6-month). Fallback Rate(SOR) rates will use the fallback for USD LIBOR
contracts (i.e. “Fallback Rate (SOFR)”
published by Bloomberg Index Services
Limited (BISL), which is calculated bycompounding USD Secured Overnight
Financing Rate (SOFR) and adding the relevant
spread adjustment) in place of USD LIBOR
rates in their computation. Overnight Fallback
Rate (SOR) will use SOFR in place of overnight
USD LIBOR in its computation.
Adoption of Fallback Rate (SOR) as theprimary fallback reference rate for SOR
derivatives followed ISDA’s May 2019consultation, which showed support amongmarket participants for the use of Fallback
Rate (SOR), and the Steering Committee for
SOR Transition to SORA (SC-STS)’s review on

the relative merits of Fallback Rate (SOR) andfallback rates based on the Singapore
Overnight Rate Average (SORA). SC-STS notedthat Fallback Rate (SOR) is more similar to andcorrelated with SOR relative to fallback rates
based on SORA, and therefore the use ofFallback Rate (SOR) as the fallback reference
rate would reduce the risk of value transfer
and is expected to receive greater market
support.
The calculation methodology for Fallback Rate(SOR) is available here.

4: What is the fallback
adjustment for Fallback
Rate (SOR)?
Fallback Rate (SOR) uses Fallback Rate (SOFR)
as an input in its calculation. Hence as thespread adjustment calculated and publishedby BISL for Fallback Rate (SOFR) is alreadyfactored in Fallback Rate (SOR), there is nofurther spread adjustment calculated inrelation to Fallback Rate (SOR).
For information on the 11 Fallback Rates
including Fallback Rate (SOFR) to be
published by BISL, please refer to the IBOR
Fallback Factsheet published by ISDA,
Linklaters and BISL.

5: How can I adopt theFallback Rate (SOR)?
ISDA will publish the IBOR Fallback
Supplement amending the 2006 ISDA
Definitions to incorporate the newfallbacks. These changes will automatically
apply to cleared and non-cleared
derivatives referencing the 2006 ISDA
Definitions that are executed on or after
the date the supplement comes intoeffect. The ISDA IBOR Fallback Protocol2
that will also be published, will enable
market participants to choose toincorporate the new fallbacks into theirlegacy non-cleared derivatives trades withcounterparties that also opt to adhere tothe Protocol. Parties could also agree toincorporate the new fallbacks bybilaterally amending their legacy non-1 “Fallback Rate (SOR)” was referred to as “Adjusted SOR” in the ISDA’s supplemental consultation on technical issues related to fallbacks for derivatives contracts

that reference USD LIBOR, CDOR, and HIBOR and certain aspects of fallbacks for derivatives referencing SOR published on May 16, 2019 and “Summary of Responses
to the ISDA Supplemental Consultation on Spread and Term Adjustments” published on September 18, 2019.
2 A protocol is a multilateral contractual amendment mechanism that is used to make standard amendments to ISDA documentation among adhering counterparties,
providing an efficient way to implement industry standard contractual changes to legacy trades and avoiding the need to bilaterally negotiate the same amendmentswith each party individually.

1Fallback Rate (SOR) Factsheet
cleared contracts. Clearing houses haveindicated they will use the powers in theirrule books to implement the fallbacks in allof their legacy cleared derivatives
transactions as of the effective date of theIBOR Fallback Supplement. In Singapore,
the SC-STS has outlined its support formarket participants to adhere to the ISDA
IBOR Fallback Protocol.

6: Under whatcircumstances will Fallback
Rate (SOR) come intoeffect?
For derivatives that reference SOR, which
relies on USD LIBOR in its computation, theFallback Rate (SOR) would apply following
a permanent cessation of USD LIBOR. Inaddition, the Fallback Rate (SOR) would
also apply as a fallback following adetermination by the UK Financial Conduct
Authority (FCA) that USD LIBOR is no longer
representative of its underlying market,
even if it continues to be published.3 Thesefallback triggers are aligned with those for
USD LIBOR derivatives contracts.
An exception to this triggering of thefallback will apply when a particular tenorof USD LIBOR that has been permanently
discontinued or determined to be nonrepresentative can be replaced by a linear
interpolation of a shorter USD LIBOR tenor
and a longer USD LIBOR tenor that are not
non-representative. In such an event, ABS
Co will continue to publish SOR based on
the interpolated USD LIBOR. Such SOR
rates will be accompanied by a footnote on
the screens where they are published, toindicate the use of an interpolated USD
LIBOR in the computation of an affected
SOR rate.
This approach to the use of an interpolated
USD LIBOR rate is also aligned to thecontractual fallback language in ISDA’s
IBOR Fallback Supplement and Protocol.
This provides that contracts referencing
USD LIBOR should reference a rate basedon interpolation of a shorter USD LIBOR
tenor and a longer USD LIBOR tenor, if aparticular tenor of USD LIBOR has beenpermanently discontinued or becomes
non-representative4.
SOR will be discontinued when suchinterpolation is no longer possible i.e.
when there are no available andrepresentative shorter and/or longer USD
LIBOR tenors. In the event, the relevantcontractual fallbacks will then apply.

7: Can I use Fallback Rate(SOR) to transition fromSOR?
Fallback Rate (SOR) should not be used as ameans to transition from SOR.
The SC-STS had identified the Singapore
Overnight Rate Average (SORA) as the riskfree-rate to replace SOR, and it is in theinterest of financial markets and participants
to voluntarily transition to SORA well ahead ofend-2021. This would ensure that parties totransactions have good control over thetiming and execution of their transition fromSOR. The contractual fallback to Fallback Rate(SOR) thus serves mainly to address the risk
for contracts that have not been transitioned
to SORA despite the best efforts of market
participants to do so.
Fallback Rate (SOR) is intended solely as afallback reference rate, and is not intended
for usage in new contracts. Fallback Rate(SOR) will be discontinued after about three
years following the fallback trigger, during
which time market participants should seek
to transition legacy contracts to SORA as soon
as possible.

8: Where can I find
Fallback Rate (SOR)?
Fallback Rate (SOR) is provided by ABS
Benchmarks Administration Co Pte Ltd (ABSCo) and calculated by ABS Co’s calculation

agent, Refinitiv. Fallback Rate (SOR) ispublished on Refinitiv screen <FBKSORFIX>
from 30 September 2020 and will be madeavailable on Bloomberg screen <ABSI>
shortly after the go-live on Refinitiv.
There will be no subscription or licence fees
applicable to the use of indicative Fallback
Rate (SOR). Nevertheless, ABS Co reserves
the right to amend the commercial terms.
Users will be able to access Fallback Rate(SOR) on a screen in the same way they access
SOR today (although Fallback Rate (SOR) will
be available in arrears i.e. towards the end ofeach interest rate period instead of thebeginning).

9: What will be publishedon the Fallback Rate (SOR)
screen?
Users will be able to view:
1.

Fallback Rate (SOR) for Overnight, 1month, 3-month and 6-month tenors –each Fallback Rate (SOR) published will
be tagged to a unique Original SOR Rate
Record Day5.

2.

USD/SGD Forward Points and Spot Ratefor each tenor on the day of theUSD/SGD FX swap transactions (i.e.
Original SOR Rate Record Day) will alsobe published.

3.

Publication date and “Last Updated”
timeValues for Fallback Rate (SOR) are currently
calculated on an indicative basis and willcontinue as such until the time when anIndex Cessation Event with respect to a USD
LIBOR tenor is triggered and the spreadadjustment in the respective Fallback Rate(SOFR) tenor becomes fixed. The current
indicative rates are provided on an “what-if”
basis i.e. what the fallback rates would be if
the Index Cessation Event were to occur on
any given day. These indicative rates are notmeant to predict what the value of Fallback
Rate (SOR) would be if cessation or nonrepresentativeness of USD LIBOR actuallyoccurs and the fallbacks take effect.

3 For LIBOR, SOR and THBFIX, the fallbacks apply upon the earlier to occur of (i) the permanent discontinuation or (ii) the non-representativeness (as determinedby the UK FCA) (a so-called “pre-cessation” trigger) of LIBOR in the relevant currency (based on pre-determined, objective triggers). For SOR and THBFIX the relevant
currency is USD LIBOR. The combined permanent discontinuation and pre-cessation trigger is defined as “Index Cessation Event” in the LIBOR Rate Options.
4 See Section 8.5 (Discontinued Rates Maturities) of the Supplement on Amendments to the 2006 ISDA Definitions to include new IBOR fallbacks.
5 Fallback Rates (SOR) will be published in arrears for every Original SOR Rate Record Day:

•For every Singapore, London and New York Business Day on which an Overnight SOR would have been published with respect to an Overnight Fallback
Rate (SOR); and•For every Singapore and London Business Day on which a 1-month, 3-month and 6-month SOR would have been published with respect to 1-month, 3month and 6-month Fallback Rates (SOR).

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Fallback Rate (SOR) Factsheet
10: What time will theFallback Rate (SOR) bepublished?
Overnight, 1-month, 3-month and 6-month
Fallback Rate (SOR) rates will be publishedrespectively one day and approximately one
month, three months, and six months inarrears prior to or at 9.15am New York time
(9.15pm/10.15pm Singapore time), following
shortly after the SOFR publication by Federal
Reserve Bank of New York and BISL’s
publication of the Fallback Rate (SOFR).
Fallback Rate (SOR) will be published on
Singapore Business Days.
It is possible for multiple Fallback Rates (SOR)of the same tenor to be published on thesame day, with each Fallback Rate (SOR)
tagged to a unique Original SOR Rate Record
Day. Likewise, there could also be goodSingapore Business Days when no Fallback
Rate (SOR) will be published.
A Fallback Rate (SOR) publication schedule
for Original SOR Rate Record Days, up to one
year in advance, is accessible on Refinitiv’s
platform, following the convention ofselecting the two-character tenor identifier(e.g. ON, 1M, 3M or 6M) and numericalmonth a user wishes to view. For example,
the 6-month Fallback Rate (SOR) publication
schedule for September 2020 can beaccessed using Refinitiv page code
<FBKSOR6MACAL9>.
More information on new benchmark
fallbacks for derivatives is available on theISDA website: bit.ly/2y3R47N and the SOR toSORA website: https://abs.org.sg/benchmar
k-rates/sor-discontinuation-and-contractualfallbacks

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