A World Without SOR – Singapore
Let me congratulate everyone who has re-fixed their loans voluntarily or involuntarily from SOR because …..
since the clean up and the fool proof fixing methodology deployed, we have enjoyed no trading for 3 consecutive days and hence, there was no fixing published on the Association of Banks in Singapore’s swap fixing page.
After MAS’s super efficient monetary policy pack on Monday – there is no need to trade no more. Maybe there was no need to trade all this while except for fraud but that is just a baseless observation.
So what happens to all those billions and billions of SOR derivatives ?
The USD/SGD Swap Offer Rate refers to the cost of borrowing SGD synthetically by borrowing USD for the same tenor and swapping out the USD in return for the SGD. Rates are annualised. As of 1 Oct 2013, the Association of Banks Singapore’s (ABS) SGD SOR benchmark transitions from a surveyed benchmark to a traded benchmark. It will be changed from a trimmed arithmetic mean of submissions contributed by a panel of banks (Contributor Banks) to a rate based on the Volume Weighted Average Price (VWAP) of actual interbank transactions.
We fall back onto Plan B when Plan A fails.
There is a cap to the “look back” of a maximum of 2 consecutive Business Days. If there continues to be insufficient Qualifying Transactions on the 3rd consecutive Business Day, then no Rate will be published and the contractual fallbacks agreed between the parties shall apply.
We are now at Plan C.
page 55/56 of the 2006 ISDA definition which is essentially a poll of banks etc which IN OTHER WORDS, means BACK TO THE OLD METHOD.
I have always maintained that it is redundant to have 2 fixings in 1 country in the spirit of the new banking Liability base definition (wrote a long article on it ages ago but no one was really interested in reading it).
And we all hang on dearly to SIBOR now, when it is, errrrr, hard to prove (is a good word to use).