Association of Banks in Singapore changes to SGD-SOR reference rates

On September 30th 2013 the Association of Banks in Singapore will discontinue the calculation and publication of the existing SGD-SOR-Reuters rate (the “Old Rate”) and will begin publication of a new SGD-SOR-VWAP rate (the “Replacement Rate”) on 1 October 2013.

For more information please see:

http://www.abs.org.sg/pdfs/Financial/Consumers_faq/Trading_Protocol_Jun%202013.pdf

As a consequence of the above,  LCH.Clearnet Limited intends to take steps with respect to both the SCM and FCM SwapClear Services such that:

• Owing to unavailability of the Old Rate, and pursuant to Procedure 2C.7.12.1 (and the equivalent provision in the FCM Procedures), all open SwapClear Contracts and FCM SwapClear Contracts referencing the SGD-SOR-Reuters rate will be maintained in accordance with reset rates determined by reference to SGD-SOR-VWAP from (and including) 1 October 2013;

• the SwapClear Eligibility Criteria will be amended such that all new SwapClear Transactions with a first fixing date on or after 1 October must reference the Replacement Rate; and

• pursuant to paragraph 1.5 of the Schedule to the SwapClear Regulations (and the equivalent provision in the FCM Regulations) the SwapClear Contract Terms will be amended to incorporate the new ISDA definition of the Replacement Rate (and corresponding rule changes will also be made).

Changes to the rulebook have been self-certified with the Commodity Futures Trading Commission and will become effective on October 4th 2013.

If you require additional information please contact Boaz Schechter (SCM Clearing Members) on Tel: +44 20 7426 3797 Email: [email protected] or Nicholas Varelakis (FCM Clearing Members) on Tel: +1 212 513 8294 Email: [email protected]