Background
On 30 August 2019, the Association of Banks in Singapore and the Singapore Foreign Exchange Market Committee (ABS-SFEMC) recommended SORA as the most suitable and robust benchmark to replace the SGD Swap Offer Rate (SOR) for SGD interest rate derivatives, given the likely discontinuation of LIBOR after end-2021.
Concurrently, MAS established an industry-led Steering Committee for SOR Transition to SORA (SC-STS) , comprising senior representatives from key banks, relevant industry associations and MAS. The SC-STS was tasked to provide strategic direction and oversee the transition from SOR to SORA.
Key Features and Policies
SORA is defined as the volume-weighted average rate of borrowing transactions in the unsecured overnight interbank SGD cash market in Singapore between 8am and 6.15pm.
Calculation Methodology
On each business day in Singapore, reporting banks provide data on all eligible transactions traded and booked in the window between 8am and 6.15pm (both timings inclusive).
MAS conducts thorough data validation checks and computes SORA by taking the volume-weighted average rate of all eligible transactions. SORA is then published on the MAS website the next business day at 9am.
For more details, refer to our Methodology document here (195.9 KB).
Review of Methodology
As administrator, MAS reviews SORA’s methodology and governance processes periodically to ensure that it continues to capture the underlying interest adequately and are aligned with the IOSCO Principles.
Daily Publication
SORA for a given business day in Singapore is published by 9am the next business day on the MAS website and through third party redistributors.
The following information is published alongside SORA:
- SORA Index
- 1-month Compounded SORA
- 3-month Compounded SORA
- 6-month Compounded SORA
- Aggregate Volume
- Highest Transacted Rate
- Lowest Transacted Rate
- SORA Calculation Method
Data Sufficiency
SORA is computed based on reporting banks' concluded arms-length transactions subject to data sufficiency conditions being met.
If there are insufficient transactions on a given day, SORA will be produced using contingent data sources, as outlined below.
Conditions for data sufficiency (all conditions to be met):- Minimum number of reporting banks: 5
- Minimum number of transactions: 10
- Minimum volume of transactions: S$500m
If any one of the above conditions is not met, SORA will not be computed using the normal calculation methodology, and a contingency process will be triggered (Contingency SORA).
Contingency SORA
The rate for Contingency SORA will be computed by first calculating the difference between the reference rate of MAS’ Standing Facility (SF reference rate) on trade date and that of the previous business day. This spread will then be applied to the previous business day’s SORA to get the Contingency SORA, subject to a floor of zero. In the event that the contingency production process is used, this will be clearly indicated under “SORA Calculation Method” on the MAS website.
Example: On day T, data sufficiency conditions are not met. Contingency SORA will be computed and published at 9am on day T+1.
Contingency SORA for day T = SORA on day T-1 + (SF reference rate on day T – SF reference rate on day T-1)
Example 1:
Assuming SORA on day T-1 = 0.7%
SF reference rate on day T-1 = 0.4%
SF reference rate on day T = 0.6%
Contingency SORA for day T = 0.7 + (0.6 - 0.4) = 0.9%
Example 2:
Assuming SORA on day T-1 = 0.2%
SF reference rate on day T-1 = 0.3%
SF reference rate on day T = 0.0%
Contingency SORA for day T = 0.2 + (0 - 0.3) = 0% (floored at zero)
Handling Data Errors
Any erroneous trade inadvertently included by reporting banks into the SORA published at 9.00am must be highlighted to MAS by 11.30am on the day, for SORA to be republished.
SORA will be republished on a given day if the re-calculated SORA is two or more basis points away from the rate published at 9am.
Republication will be no later than 12.00pm. MAS will only republish SORA once for a given day.
Once the republication deadline has passed, no amendment will be made under any circumstances.
For transparency, MAS will periodically publish summary information on errors that did not meet the republication criteria.
Contact
General queries regarding the administration of SORA can be made directly to the Monetary and Domestic Markets Management Department (MDD) by emailing sgddiv@mas.gov.sg
Any complaints on the administration of SORA can be made directly to MAS through the feedback form or by calling 6225 5577.