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 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

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