The US bank outlines its updated weights for its SGD NEER model, see below for more details.

" We had introduced a systematically re-weighted S$NEER model back in 2013 (link) and most recently had re-weighted the basket in August 2022. As of July 2023, the model has shown a systematic bias to overstate the official S$NEER (Figure 1), and triggered our re-weighting signal. Our re-estimated S$NEER now sits +1.66% above the mid-point of the band (as of 3:45pm SGP time, 18 July 2023)."

"USD, CNY, EUR, MYR and JPY remain the top five currencies in our 2023 S$NEER basket, making up 72% of the full basket. Updating S$NEER weights is a two-step process: Step 1 is to pick potential currencies based on Singapore’s external trading patterns, and Step 2 is to estimate weights empirically through a constrained optimization that minimizes the squared deviation of weekly changes in our estimated NEER vis-à-vis those of the MAS-declared NEER over the most recent 120-week observation window, subject to individual currency weights being greater than or equal to zero and cumulating to 100% in aggregate. In the current reweighting exercise, currencies with increased weights in the basket include USD (+2.4% weight compared to the August 2022 version), TWD (+1.4%), AUD (+0.9%) and EUR (+0.9%), at the expense of lower weights for KRW (-1.9%), IDR (-1.2%) and MYR (-1.1%). A notable currency omission this time around is that the re-weighting optimization assigns zero weight to PHP (vs +0.45% in the previous version). Our estimated 6m S$NEER basket yield is 3.49% using the new basket, vs 3.51% using the 2022 basket. This does not change the overall conclusion that long the S$NEER basket is still a positive carry trade, though the magnitude of the carry benefit has dwindled substantially this year."