Singapore rates benchmark error causes CCP split

Refixing in March led to price difference between LCH and SGX

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, 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 the Association of Banks in Singapore (ABS) gathered incorrect trade data for the swap offer rate (SOR

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