Singapore rates benchmark error causes CCP split

Delays amending an incorrect fixing of Singapore's swap offer rate in March led to a price difference between an interest rate swap traded at LCH.Clearnet and Singapore Exchange

SOR represents the effective cost of borrowing Singapore dollars synthetically

Data gathering errors meant a key Singapore interest rate swap benchmark was set 11 basis points too high in March last year, Risk.net can reveal. While the rate was amended an hour and a half later, millions of dollars worth of swaps were traded in the meantime – and two major clearing houses still disagree on which rate to use.

According to six independent market sources, on March 3 last year