abscologo ABS Co. - SIBOR AND SWAP OFFER RATES

 

ABS Co. SIBOR and SOR on: 09 April 2021*

* From 1 October 2015, the rates will be published on the ABS website seven days after. The rates on the website are updated around 11.30am (Singapore time) each business day.

SGD SIBOR SGD SWAP OFFER
Overnight - 0.02108
1 month 0.28126 0.17598
3 month 0.43750 0.27085
6 month 0.59321 0.28575
1 year - -
+ There are no SGD Overnight Forward Point and Swap Offered Rate due to a New York Holiday.

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

  1. Your usage of this website and the rates published therein construe acceptance of the terms and conditions in the attached document.

  2. The ABS Benchmarks are proprietary information, and may not be reproduced, transmitted, or distributed in whole or part without the express written permission of the ABS Co.

  3. The rates supplied here are for personal use only. No commercial or business use is allowed.

  4. ABS Co., the Contributor Banks and Refinitiv shall not be liable for any loss of business or profits nor any direct, indirect or consequential loss or damage resulting from any such use of these rates.

SIBOR/SOR Trends (Updated 31 March 2021)

Click here for SIBOR trends

Click here for SOR trends

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.

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

SIBOR Panel Banks AND SOR Reporting Brokers

Codes of Conduct for SIBOR and SOR

The respective Codes of Conduct for SIBOR and SOR are effective as of 15 April 2020, Wednesday.

Please note

ABS Benchmarks Administration Co Pte Ltd (ABS Co.) is the owner and administrator of 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.

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

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