ABS Co. - RATE SETTING BENCHMARKS

ABS Benchmarks Administration Co Pte Ltd (ABS Co.) was setup in June 2013 specifically to own and administer the ABS Benchmarks in Singapore - the Singapore Interbank Offered Rate (SIBOR), the Swap Offer Rate (SOR), the SGD Spot FX and the THB Spot FX. It is a fully owned subsidiary of the Association of Banks in Singapore (ABS).

Effective, 15 April 2020, Wednesday, ABS Co had been authorised by the Monetary Authority of Singapore (MAS) as an Authorised Benchmark Administrator to carry on the business of administering the designated benchmarks, Singapore Interbank Offered Rate (SIBOR) and Singapore Dollar Swap Offer Rate (SOR). The notification in the Government Gazette may be accessed at www.egazette.com.sg and may also be viewed here.

Refinitiv is the official Calculating Agent of the ABS Co SIBOR and SWAP Offer Rates.

Definitions

SIBOR stands for Singapore Interbank Offered Rates. An individual Contributor Bank contributes the rate at which it could borrow funds, were it to do so by asking for and accepting the interbank offers in reasonable market size, just prior to 11:00 a.m. Singapore time.

SOR is defined as the synthetic rate for deposits in SGD, which represents the effective cost of borrowing the SGD synthetically by borrowing USD for the same maturity, and swap out the USD in return for the SGD.

Calculation Methodology

6M SIBOR will be discontinued effective from 1 April 2022, the last day of its publication being 31 March 2022. This follows ABS-SFEMC and SC-STS’ December 2020 response paper that set out plans to discontinue all remaining tenors of SIBOR in a few years, starting with the 6M SIBOR likely in 2022, and the 1M and 3M SIBOR by end-2024. Given the March 2021 ICE Benchmark Administration (IBA)’s announcement, which would result in SOR discontinuation only in mid-2023, ABS Co has updated the methodological fallback for 6M SOR effective 1 April 2022 to remove reliance on 6M SIBOR to allow 6M SIBOR to be discontinued separately from 6M SOR. The SC-STS confirmed on 31 March 2021 the 6M SIBOR discontinuation by 31 March 2022.

The last day of publication for the 12M SIBOR was on 31 December 2020 due to low market usage and the lack of underlying transactions underpinning this benchmark tenor, as mentioned in the July 2018 “Response to Feedback Received from the Consultation Paper on the Evolution of SIBOR

SIBOR is calculated in accordance with the Calculation Methodology for SIBOR. The published rate in respect of each tenor is the trimmed arithmetic mean of Contributor Banks’ contributions in respect of that tenor, rounded to the nearest five decimal places. The contributed rates will be ranked in order, the top and bottom quartiles will be trimmed, with the remaining rates averaged arithmetically. Each Contributor Bank's contribution carries an equal weight in the calculation, subject to the trimming.

Details are shown in the table below:

Number of SIBOR Contributor Banks Number of Contributed Rates Trimmed
(Top)
Number of Contributed Rates Trimmed
(Bottom)
Number of Contributed Rates Remaining
(Arithmetically Averaged)
9 2 2 5
10 3 3 4
11 3 3 5
12 3 3 6
13 3 3 7
14 4 4 6
15 4 4 7

IOSCO Statement of Compliance

SIBOR Panel Banks AND SOR Reporting Brokers

Published SIBOR & SOR

From 1 October 2015, the rates will be published on the ABS website seven days after. Click here to view the rates.

Real-time SIBOR and SOR data to be Fee-liable from 1 October 2015

SIBOR and SOR data usage fees were introduced on 1 October 2015 where subscribers who receive real-time SIBOR and/or SOR data from a market data vendor are required to pay the associated data fees. SIBOR and SOR data delayed by 24-hours or more will be available for free to end users of a market data vendor. Effective 1 July 2019, the SIBOR and SOR data usage fees will increase and all users currently subscribing to real-time SOR are now also required to subscribe to real-time Intercontinental Exchange London Interbank Offered Rate (ICE LIBOR) end user licence to ensure continuity of all SOR fixing real time service i.e. real-time SOR, real-time Singapore Dollar Spot Reference Rate and real-time Singapore Dollar Forward Points. More information can be found in the Data Fees & FAQ document below.


Please contact ABS Co at absCo@abs.org.sg or +65 6224-4300 for more information

ABS-SFEMC Public Consultation on the Roadmap for Transition of Interest Rate Benchmarks: From SGD Swap Offer Rate (“SOR”) to Singapore Overnight Rate Average (“SORA”)

This consultation report identifies SORA as the alternative interest rate benchmark to SOR, sets out a roadmap for this transition, and seeks feedback on issues related to the proposed transition roadmap. The ABS-SFEMC public consultation and media release can be found here:


ABS-SFEMC welcomes interested parties to provide feedback using the feedback template found here to: SORTransition@abs.org.sg. This Consultation closes on 31 October 2019, Thursday.

Consultation Paper on the Evolution of SIBOR

This consultation paper sets out the proposals to strengthen the SGD Singapore Interbank Offered Rates (“SIBOR”) methodology, and seeks feedback on a range of issues.

Click here for the Consultation Paper.

This Consultation has closed.

Click here for the Press Release (4 Dec 2017) on Consultation

Click here for the Press Release (24 July 2018) on ABS-SFEMC Finalises Proposals on the Evolution of SIBOR

Click here for the Response to Feedback Received

Click here for the Press Release (01 July 2019) on ABS Co’s commencement of transitional testing for the enhanced SIBOR

View the press release here.


Please contact ABS Co at absCo@abs.org.sg or +65 6224-4300 for more information

ABS-SFEMC Public Consultation on the Roadmap for Transition of Interest Rate Benchmarks: From SGD Swap Offer Rate (“SOR”) to Singapore Overnight Rate Average (“SORA”)

This consultation report identifies SORA as the alternative interest rate benchmark to SOR, sets out a roadmap for this transition, and seeks feedback on issues related to the proposed transition roadmap. The ABS-SFEMC public consultation and media release can be found here:


ABS-SFEMC welcomes interested parties to provide feedback using the feedback template found here to: SORTransition@abs.org.sg. This Consultation closes on 31 October 2019, Thursday.

Consultation Paper on the Evolution of SIBOR

This consultation paper sets out the proposals to strengthen the SGD Singapore Interbank Offered Rates (“SIBOR”) methodology, and seeks feedback on a range of issues.

Click here for the Consultation Paper.

This Consultation has closed.

Click here for the Press Release (4 Dec 2017) on Consultation

Click here for the Press Release (24 July 2018) on ABS-SFEMC Finalises Proposals on the Evolution of SIBOR

Click here for the Response to Feedback Received

Click here for the Press Release (01 July 2019) on ABS Co’s commencement of transitional testing for the enhanced SIBOR