ABS Benchmarks Administration Co Pte Ltd (“ABS Co.”) was setup on 13 June 2013, as a wholly owned subsidiary of The Association of Banks in Singapore (“ABS”), to own and administer the ABS Benchmarks in Singapore - the Singapore Interbank Offered Rate (“SIBOR”), the Swap Offer Rate (“SOR”) [discontinued from 1 July 2023], the Singapore Dollar Spot FX and the Thai Baht Spot FX. ABS Co. also owns and administers the Fallback Rate (SOR).
Refinitiv (formerly known as Thomson Reuters) is the appointed Calculation Agent for the above-mentioned ABS Benchmarks.
ABS Co. was formally licensed on 15 April 2020 by the Monetary Authority of Singapore (“MAS”) as an Authorised Benchmark Administrator to carry on the business of administering the designated benchmark(s). The notification in the Government Gazette may be accessed at www.egazette.com.sg and may also be viewed here.
IOSCO Statement of Compliance
Definitions
SIBOR is the rate at which an individual Contributor Bank could borrow funds, were it to do so by asking for and then accepting the interbank offers in reasonable market size, just prior to 11:00 a.m. Singapore time.
Fallback Rate (SOR) is the synthetic rate for deposits in Singapore Dollars (“SGD”), which represents the effective cost of borrowing SGD synthetically by borrowing US Dollars (“USD”) for the same maturity, and swapping out the USD in return for the SGD.
Calculation Methodology
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 |
will be the last day of publication for 1M and 3M SIBOR as announced in ABS-SFEMC and SC-STS’ December 2020 response paper.
was the last day of publication for SOR across all tenor settings, following the UK Financial Conduct Authority’s announcement in March 2021 that the overnight, 1-month, 3-month, 6-month and 12-month USD LIBOR settings, which were used in SOR, would cease to be provided by any administrator or be no longer representative immediately after 30 June 2023.
was the last day of publication for the 6M SIBOR. 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 in 2022, and the 1M and 3M SIBOR by 31 December 2024.
was the last day of publication for the 12M SIBOR. The 12M SIBOR was discontinued 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”.
Fallback Rate (SOR) is the primary fallback rate that will first apply upon the discontinuation of SOR after 30 June 2023. Similar to SOR, Fallback Rate (SOR) is an FX-implied rate based on actual qualifying transactions in the USD/SGD FX swap market reported by Reporting Brokers and a USD interest rate.
The final Fallback Rate (SOR) publication date for each tenor is the date corresponding to an Original SOR Rate Record Day of 31 December 2024 for that tenor, as projected in the table below:
| Projected Last Date of Fallback Rate (SOR) Publication |
| Tenor |
Original SOR Rate Record Day |
Publication Date |
| Overnight |
31 December 2024 |
2 January 2025 |
| 1-month |
28 January 2025 |
| 3-month |
1 April 2025 |
| 6-month |
1 July 2025 |
Benchmark Submitters for SIBOR, Fallback Rate (SOR) and Spot FXs
Codes of Conduct for SIBOR and SOR
The respective Codes of Conduct for SIBOR and SOR are effective as of 15 April 2020.
Publication of 7-day delayed SIBOR and SOR data
From 1 October 2015, the rates will be published on the ABS website 7 calendar days delayed from the original publication date and time.
The last SOR publication on 30 June 2023 will be available on 7 July 2023 around 11.30am (Singapore time), 7 calendar days delayed. For avoidance of doubt, SOR was discontinued from 1 July 2023.
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.
Following the permanent cessation of SOR after 30 June 2023, users who continue to subscribe to real-time SOR package will have access to newly published forward points, SGD spot reference rate and Fallback Rate (SOR). This is applicable for all subscribers and redistributors and the relevant licence fees will apply.
More information can be found in the following documents:-
Please contact ABS Co. at absCo@abs.org.sg or +65 6224-4300 for more information