SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
With the Singapore dollar interest rate swap market swiftly adopting the currency’s new risk-free rate as the benchmark for new positions, dealers say unwinding existing positions referencing the outgoing rate is increasingly challenging.
Singapore’s swap offer rate (SOR) was until recently the prevailing reference rate for Singapore dollar-denominated interest rate swaps, but liquidity has drained away to the Singapore overnight offered rate (Sora). That means unwinding positions linked to SOR
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 print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Derivatives
Risk Management
Banks relieved as EBA punts on dual-track stress tests
Hybrid approach for 2023 will see top-down models used to project net fee and commission income only
Receive this by email
Most read on Risk.net
- People moves: BNP Paribas reshuffle, Tradeweb gains Pluta, and more
- Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
- Pick a lane: Anna DSB to rival CDM coded swaps reporting?
- Esma warns new foreign clearing house rules could backfire
- Banks begin China close-out netting work after Isda opinion