What is the Singapore Overnight Rate Average?

Key takeaways

• MAS defines SORA as the volume-weighted average rate of borrowing transactions in the unsecured overnight interbank SGD cash market in Singapore between 8am and 6.15pm. MAS is the administrator — MoneySense notes it has administered SORA since 2005 — and states that SORA is computed from actual transactions and meets the IOSCO Principles for Financial Benchmarks.
• Each Singapore business day, reporting banks provide data on all eligible transactions traded and booked between 8am and 6.15pm (both times inclusive), and MAS computes SORA as their volume-weighted average after data validation checks. An eligible transaction is an unsecured overnight interbank SGD borrowing by a reporting bank, traded with an onshore bank (any bank or merchant bank in Singapore, including foreign bank branches), booked in Singapore or outside it under central-booking arrangements approved by MAS, settled on the trade date and of at least SGD 1 million. Transactions with the reporting bank’s own affiliates, and those done on behalf of a foreign branch or head office, are left out.
• SORA for a business day is published by 9am the next business day, to 4 decimal places, on the MAS website and through third-party redistributors, together with the SORA Index, 1-month, 3-month and 6-month Compounded SORA, aggregate volume, the highest and lowest transacted rates and the SORA calculation method. An erroneous trade highlighted to MAS by 11.30am leads to republication only if the recalculated SORA is 2 or more basis points away from the 9am rate; republication is no later than 12.00pm, at most once for a given day, and after that deadline no amendment is made.
• MAS computes SORA in the normal way only when there are at least 5 reporting banks, 10 transactions and SGD 500 million of volume. If any one of these is not met, a Contingency SORA applies: the previous business day’s SORA plus the change in the MAS Standing Facility reference rate between the two days, subject to a floor of zero. The calculation method used for each day is published with SORA.
• The SORA Index represents the return from earning compounded interest each day at SORA; it was set at 1.0000000000 on 3 January 2020 and has been published to 10 decimal places since 1 September 2020. MAS computes the 1-, 3- and 6-month Compounded SORA from it as (Index on the end date ÷ Index on the start date − 1) × 365 ÷ the calendar days in the period, rounded to the nearest 0.0001%. Interest compounds only on Singapore business days: over a typical weekend, Friday’s SORA, published the following Monday, is applied for three days and compounded once.