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’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 funding rate (SOFR) in place of US dollar Libor – a current calculation input – is being considered by a group led by the Singapore Foreign Exchange

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: