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SFEMC statement on ABS financial benchmarks
1. The Association of Banks in Singapore (ABS), in consultation with the Singapore Foreign Exchange Market Committee (SFEMC), has announced the following changes to the ABS financial benchmarks:

  1. The following benchmarks will be discontinued due to low usage and market demand. Their last day of publication will be as follows:



  2. Two other benchmarks will be replaced with benchmarks in other jurisdictions:



  3. The calculation methodology of the USD/SGD and USD/THB spot rate benchmarks will be changed from using the trimmed arithmetic mean of quotations contributed by a panel of banks (Bank Contributors) to a rate that is based on the Volume Weighted Average Price of actual interbank USD/SGD and USD/THB spot transactions respectively which are electronically routed and captured through money brokers approved by the Monetary Authority of Singapore (MAS). The existing USD/SGD and USD/THB spot rate benchmarks will cease to be published on 5 August 2013 and the new USD/SGD and USD/THB spot rate benchmarks will commence to be published on 6 August 2013.

  4. The calculation methodology of the USD/IDR spot rate benchmark will be changed from using the trimmed arithmetic mean of quotations contributed by the Bank Contributors to an implied rate that is based on the difference between (i) the Volume Weighted Average Price of actual interbank USD/IDR one-month non-deliverable forward (NDF) outright transactions and (ii) the Volume Weighted Average Price of actual interbank USD/IDR one-month NDF against the fix transactions, in each case, which are electronically routed and captured through money brokers approved by the MAS. The existing USD/IDR spot rate benchmark will cease to be published on 5 August 2013 and the new USD/IDR spot rate benchmark will commence to be published on 6 August 2013.

  5. The calculation methodology of the SGD SOR rate benchmark (for the retained maturities of overnight, 1 month, 3 months and 6 months) will be changed from using the trimmed arithmetic mean of quotations of the USD/SGD spot rate and the forward swap points on the offered side contributed by the Bank Contributors to a rate that is based on the Volume Weighted Average Price of actual interbank USD/SGD FX swap transactions of the relevant tenor which are electronically routed and captured through money brokers approved by the MAS. In addition, the SGD SOR rate benchmark will be calculated using the USD LIBOR instead of the USD SIBOR rate benchmark. The existing SGD SOR rate benchmark will cease to be published on 30 September 2013 and the new SGD SOR rate benchmark will commence to be published on 1 October 2013.



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