Singapore, 5 August 2020… The Monetary Authority of Singapore (MAS) today announced several initiatives to support the adoption of the Singapore Overnight Rate Average (SORA)
2 First, MAS will issue SORA-based floating rate notes (MAS FRN) on a monthly basis, starting from 21 August 2020. This will broaden MAS’ suite of money market instruments used to manage banking system liquidity. It will also facilitate the adoption of SORA as a floating rate benchmark, provide a pricing reference for SORA cash products
3 Second, MAS will enhance transparency and data availability on SORA. MAS has published the key features and calculation methodology of SORA.
4 Third, MAS has prescribed SORA as a financial benchmark under the Securities and Futures Act (SFA). This will ensure that regulatory and enforcement powers, including criminal and civil actions, can be taken against any market misconduct
5 Finally, MAS has issued a Statement of Compliance with the IOSCO Principles for Financial Benchmarks (IOSCO Principles) for SORA.
6 Ms Jacqueline Loh, Deputy Managing Director, MAS, said, “These initiatives mark an important milestone in supporting broad-based adoption of SORA in SGD financial markets. They complement the recently announced industry proposal to shift to a SORA-centered SGD interest rate market
7 More information on SORA is available on the MAS website.
[1] SORA is defined as the volume-weighted average rate of borrowing transactions in the unsecured overnight interbank SGD cash market in Singapore between 8.00am and 6.15pm. SORA for a given business day will be published by 9.00am on the next business day.
[2] These include floating rate notes, syndicated loans, and commercial and retail loans.
[3] The document “SORA - Key Features and Calculation Methodology” is available here (191.4 KB).
[4] These include aggregate volume and the highest/lowest transacted rates.
[5] The SORA Index is a daily data series representing the returns from earning compounded interest each day at the daily SORA rate.
[6] For example, providing a false or misleading appearance to the price, value, performance or rate of SORA, or providing or disseminating any information, or expressing any opinion that is false or misleading to the benchmark administrator.
[7] The Statement of Compliance with the IOSCO Principles can be found here (1.05 MB). The IOSCO Principles have been endorsed by the Financial Stability Board, and have been adopted widely by benchmark administrators globally.
[8] The scope of eligible transactions for the calculation of SORA has been broadened. Previously, SORA was based only on brokered unsecured overnight interbank SGD cash transactions provided by brokers. It now captures both brokered and bilateral interbank transactions provided by reporting banks to MAS.
[9] For further details, please see the media release , “Joint Industry Consultation on the SIBOR Reform and a Shift to a SORA-Centered SGD Interest Rate Market”, 29 July 2020.