Singapore rates benchmark error causes CCP split

Refixing in March led to price difference between LCH and SGX

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

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