Singapore rates benchmark error causes CCP split
Delays amending an incorrect fixing of Singapore's swap offer rate in March led to a price difference between an interest rate swap traded at LCH.Clearnet and Singapore Exchange
Data gathering errors meant a key Singapore interest rate swap benchmark was set 11 basis points too high in March last year, Risk.net can reveal. While the rate was amended an hour and a half later, millions of dollars worth of swaps were traded in the meantime – and two major clearing houses still disagree on which rate to use.
According to six independent market sources, on March 3 last year the Association of Banks in Singapore (ABS) gathered incorrect trade data for the swap offer rate (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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
‘Trump slump’ hedges rise on rate cut fears
One dealer notes five-fold increase in number of clients hedging against possibility of faster rate cuts
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
Disappearing dealer gamma spurs wild stock swings
Stock market sell-off leaves dealers perilously close to peak short gamma positioning
German defence announcement hits steepener trades
Rapid euro curve flattening following Merz’s comments last week caught out a number of hedge funds, say dealers
Tech firm OneChronos to offer ‘bundled’ equity-FX trading
New auction algorithms will optimise multi-leg trades; roll-out due later this year
SRT markets kick US banks’ caution to the kerb
Market for capital relief trades continues apace despite US banks’ reluctance to offer leverage
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
China programme trading rules to buoy futures market
Futures firms could adjust strategies to avoid HFT classification under new framework
