CME will update the PA/Discounting protocol for CME cleared SGD IRS to SORA to take effect at close of business on February 24, 2023.
The Singapore Dollar (SGD) Swap Offer Rate (SOR) is scheduled to be discontinued after June 30, 2023. To support market participants wishing to reduce their exposure to SOR as they seek to transition to the successor Singapore Overnight Rate Average (SORA), subject to regulatory review, Chicago Mercantile Exchange Inc. (CME) will facilitate a transition to SORA price alignment and discounting for certain CME cleared IRS contracts denominated in SGD.
This initiative follows CME’s successful previous transitions of certain other CME cleared OTC IRS products to successor risk-free rate (RFR) price alignment and discounting (PA/Discounting) in 2020 and 2021, for example, those IRS denominated in Euros and U.S. Dollars, in each case ahead…
Read More
