Singapore looks to synthetic Libor for new benchmark calculation
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 financing 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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