“In August last year, ABS and Singapore Foreign Exchange Market Committee (SFEMC) recommended a transition from Sor to Sora. This is necessary as Sor relies on USD Libor in its computation, and will not be sustainable when USD Libor ceases. In addition, Sora is a robust benchmark underpinned by actual transactions in a deep and liquid overnight unsecured SGD interbank funding market,” says Jacqueline Loh, deputy managing director of the Monetary Authority of Singapore (MAS), during a webinar on Sept 9.
MAS has started publishing, compounded Sora rates for one-month, three-month and six-month tenors, and a Sora Index on a daily basis. MAS has also broadened its suite of money market instruments by issuing floating rate notes based on Sora.
In June this year, MAS established a daily auction process for Sora Overnight Indexed Swaps and Sor-Sora Basis Swaps up to five years in tenor, to spur development in the Sora derivatives market. Since Sor ceases at end-2021, and Sibor in 2024,
MAS, together with the banks have to transition legacy contracts which mature after the end of 2021, from Sor to Sora. These include around $1.4 trillion notional value of outstanding SGD derivatives contracts referencing Sor, and around 12,000 Sor contracts in SGD cash markets amounting to $95 billion.
