
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
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