The Monetary Authority of Singapore (MAS) and the SC-STS are jointly consulting, until June 10, 2022, on setting adjustment spreads for the conversion of legacy SOR contracts to SORA reference rate. SC-STS is the Steering Committee for Singapore Dollar Swap Offer Rate (SOR) and Singapore Interbank Offered Rate (SIBOR) Transition to Singapore Overnight Rate Average (SORA).
The consultation paper sets out recommendations for setting the MAS Recommended Rate, including the appropriate calculation methodology for the adjustment spreads to be used. The rate will apply as a fallback rate for outstanding SOR-based business loans and derivatives that mature after the end of 2024. The Steering Committee will provide supplementary guidance on adjustment spreads to support the industry’s ongoing active transition of wholesale SOR contracts. The consultation seeks feedback for proposals on:
- adjustment spreads for setting of the MAS Recommended Rate in International Swaps and Derivatives Association (ISDA) Interbank Offered Rate (IBOR) 2020 Fallbacks Protocol, Supplement number 70 to the 2006 ISDA Definitions and the 2021 ISDA Interest Rate Derivatives Definitions (collectively referred to as the “ISDA Documentation”), and the Steering Committee's recommended contractual fallbacks for bilateral and syndicated corporate loans. These fallbacks will apply after Fallback Rate (SOR) is discontinued after December 31, 2024
- supplementary guidance on adjustments spread for the period before and including December 31, 2024, which would be necessary to support the industry’s active transition from SOR
- application of the Steering Committee's supplementary guidance to active transition across various product types
The consultation focuses on the setting of adjustment spreads for the conversion of institutional SOR contracts (for example, bilateral and syndicated corporate loans, bonds, and derivatives) and does not affect earlier the earlier Steering Committee guidance on the setting of adjustment spreads for the conversion of legacy SOR retail loans to compounded-in-advance SORA.
Comment Due Date: June 10, 2022
Keywords: Asia Pacific, Singapore, Banking, SC-STS, SORA, SIBOR, SOR, IBOR Reform, Derivatives, Benchmark Reforms, Interest Rate Risk, Basel, Lending, MAS
Previous ArticleEBA Sets Out Decision on Reporting for IPU Threshold Monitoring
The U.S. regulators recently released baseline and severely adverse scenarios, along with other details, for stress testing the banks in 2024. The relevant U.S. banking regulators are the Federal Reserve Bank (FED), the Federal Deposit Insurance Corporation (FDIC), and the Office of the Comptroller of the Currency (OCC).
The regulatory landscape for artificial intelligence (AI), including the generative kind, is evolving rapidly, with governments and regulators aiming to address the challenges and opportunities presented by this transformative technology.
The European Union (EU) has been working on the final elements of Basel III standards, with endorsement of the Banking Package and the publication of the European Banking Authority (EBA) roadmap on Basel III implementation in December 2023.
The European Financial Reporting Advisory Group (EFRAG), which plays a crucial role in shaping corporate reporting standards in European Union (EU), is seeking comments, until May 21, 2024, on the Exposure Draft ESRS for listed SMEs.
Banking regulators worldwide are increasingly focusing on addressing, monitoring, and supervising the institutions' exposure to climate and environmental risks.
The use cases of generative AI in the banking sector are evolving fast, with many institutions adopting the technology to enhance customer service and operational efficiency.
As part of the increasing regulatory focus on operational resilience, cyber risk stress testing is also becoming a crucial aspect of ensuring bank resilience in the face of cyber threats.
A few years down the road from the last global financial crisis, regulators are still issuing rules and monitoring banks to ensure that they comply with the regulations.
The European Commission (EC) recently issued an update informing that the European Council and the Parliament have endorsed the Banking Package implementing the final elements of Basel III standards
The Swiss Federal Council recently decided to further develop the Swiss Climate Scores, which it had first launched in June 2022.