| Fallbacks reporting: FRO field reporting for 6/28/2024 transition date when fallbacks are triggered/applied* - for CFTC and CSA reporting | |||||||||||||
| Industry P45 reporting from 6/28/24 | Industry P45 reporting for tenor | ||||||||||||
| Cessation Date | IBOR FRO (ISDA 2006) | IBOR FRO (ISDA 2021) 1 | Fallback RFR under the ISDA 2020 IBOR Fallbacks Protocol 2 | IBOR ISO Code Name 3 | IBOR ISO Code 3 | FRO field: Leg 1 - Floating Rate Index; Leg 2 - Floating Rate Index |
#26 Action Type | #28 Amendment Indicator | #30 Event Timestamp (Thh:mm:ssZ to be left to discretion of party) | Spread-Leg 1; Spread-Leg 2; Spread notation-Leg 1; Spread notation-Leg 2; | TENOR examples: #56 Floating Rate Reset Freq Period Multiplier-Num(3,0) |
TENOR examples: #55 Floating Rate Reset Freq Period-Char(4) |
|
| 28-Jun-24 | CAD-CDOR | CAD-CDOR | Fallback Rate (CORRA) | CORRA | CORA | "CAD-CORRA-OIS Compound" | MODI | FALSE | 2023-07-02 (Thh:mm:ssZ to be left to discretion of party) 4. Based on ISO 8601 date and time format. | Spread fields would be reported | 1 | MNTH | |
| 28-Jun-24 | CAD-BA-CDOR-Bloomberg | CAD-CDOR | Fallback Rate (CORRA) | CORRA | CORA | "CAD-CORRA-OIS Compound" | MODI | FALSE | 2023-07-02 (Thh:mm:ssZ to be left to discretion of party) 4. Based on ISO 8601 date and time format. | Spread fields would be reported | 3 | MNTH | |
| https://www.isda.org/2020/05/11/benchmark-reform-and-transition-from-libor/#background | |||||||||||||
| Refinitiv as CDOR administrator stated that publication of 1-month and 3-month CDOR settings will cease for good immediately after June 28, 2024 https://www.lseg.com/content/dam/ftse-russell/en_us/documents/announcement/cdor-cessation-notice.pdf | |||||||||||||
| Table 1 "Mapping between FROs under the 2006 Definitions and FROs under the 2021 Definitions" | |||||||||||||
| ISDA 2020 IBOR Fallbacks Protocol (October 23, 2020), https://assets.isda.org/media/3062e7b4/08268161-pdf/ | |||||||||||||
| “BenchmarkCurveName2Code,” ISO 20022, https://www.iso20022.org/standardsrepository/type/BenchmarkCurveName2Code | |||||||||||||
| The date on which the fallbacks take effect is the “Index Cessation Effective Date”, a term used in the ISDA Definitions, which are incorporated into legacy contracts via the 2020 IBOR Fallbacks Protocol. That is the first Toronto Banking Day on or after June 29, 2024 for all CDOR tenors (expected to be July 2, 2024, unless that is an unscheduled holiday in Toronto). | |||||||||||||