Singapore Interest Rate Curve – Looking Ahead
Decided to share this with readers. The pre and post FOMC interest rates that is stripped from the SG interest rate swap curve that is derived from 6 month SOR.
It is segmenting the curve into 6 month portions and the expected forward 6 month SOR interest rate ahead. Thus, the first cell 0.29% refers to the interest rate between 24 Mar to 24 Sep 2014 which is actually today’s 6M SOR fixing rate.
I have highlighted the area where marked difference is observed which is in line with the US curve movements and we are expecting rates higher in about 18 months time and thereafter.
I do not have anything on Sibor to share but expectations are also for it to trend up.