Singapore looks to synthetic Libor for new benchmark calculation

The way Singapore’s swap rate is calculated must change if Libor disappears after 2021

singapore-merlion-buildings

Singapore’s key benchmark for interest rate swaps could be replaced by an alternative version that applies a spread adjustment over the US dollar risk-free rate to preserve the present value of contracts should Libor cease to exist after 2021, people familiar with the matter say.

A revised Singapore Swap Offer Rate that uses the secured overnight financing rate (SOFR) in place of US dollar Libor – a current calculation input – is being considered by a group led by the Singapore Foreign Exchange

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: