FSB全球金融稳定委员会-Reforming-major-interest-rate-benchmarks_-Progress-report_56页_986kb

Summary of "Reforming Major Interest Rate Benchmarks"

Core Content

This document outlines the progress made in reforming major interest rate benchmarks, particularly focusing on the transition from Interbank Offered Rates (IBORs) to Alternative Reference Rates (RFRs), as recommended by the Financial Stability Board (FSB) in its 2014 report. It also highlights the efforts to enhance contractual robustness and address international coordination issues related to accounting, tax, and regulatory aspects of the transition.

Main Recommendations and Progress

The FSB and its member authorities have been working to implement the following key recommendations:

• Strengthen IBORs by anchoring them to a greater number of transactions and improving submission processes.
• Identify and promote the use of alternative RFRs, which are nearly risk-free, to replace IBORs where appropriate.

The FSB Official Sector Steering Group (OSSG) has been coordinating these efforts globally since 2014. In 2016, the OSSG launched a third initiative to improve contract robustness against the discontinuation of interest rate benchmarks.

Progress by Currency Area

• LIBOR (USD, EUR, JPY, GBP, CHF):

  • The FSB has emphasized the need to transition away from LIBOR by the end of 2021.
  • The UK Financial Conduct Authority (FCA) has stated it will not compel panel banks to submit to LIBOR beyond 2021.
  • The ICE Benchmark Administration (IBA) has confirmed that all LIBOR panel banks are now submitting using the waterfall methodology, as outlined in the LIBOR output statement.
  • IBA has published a survey identifying the most used currency/tenor pairs, with USD and GBP being the top priorities.
  • No guarantees have been given that LIBOR will continue after 2021, and users are advised not to rely on its continued publication.

• EURIBOR:

  • The European Money Markets Institute (EMMI) has implemented a hybrid methodology for EURIBOR, prioritizing real transactions and using other market pricing sources when necessary.
  • EMMI completed the phased implementation of the hybrid methodology by November 2019.
  • The Belgian FSMA authorized EMMI as the administrator of EURIBOR under the EU Benchmarks Regulation (BMR).

• TIBOR:

  • Japan has continued to support a multiple-rate approach, where TIBOR may coexist with the RFR for the Japanese yen (JPY).
  • Authorities in Japan are working to develop a robust RFR for JPY, with the Japanese Bankers Association (JBA) and Japan Financial Services Agency (JFSA) involved in the process.

International Coordination and Contractual Robustness

• The OSSG has encouraged the use of overnight RFRs over term RFRs in most cases, as they are more suitable for replacing IBORs.
• ISDA has made substantial progress in incorporating fallback provisions into IBOR derivatives, including the completion of consultations on USD LIBOR, CDOR, HIBOR, and spread adjustments.
• ISDA aims to finalize definition amendments for LIBOR, TIBOR, BBSW, CDOR, and HIBOR and offer protocols for legacy contracts.

Harmonization and Awareness

• The OSSG has promoted harmonization through the publication of Overnight Risk-Free Rates: A User's Guide, which clarifies the use of RFRs in cash products.
• There is a growing use of RFR-based products, with SOFR-based debt exceeding $300 billion in the US and SONIA becoming the dominant rate in the UK.
• Authorities have emphasized the importance of raising awareness among a wide range of market participants, especially those with global exposures to USD LIBOR, which is estimated to be $8 trillion in loans outside the US.

Challenges

• Transition in lending and securitisation markets has been slower compared to derivatives and securities markets.
• Awareness and communication among a diverse range of market participants, including non-financial firms, are critical to the success of the transition.
• Multinational firms face challenges with multi-currency credit agreements, where the same spread applies across different currencies and maturities.
• International coordination and communication are necessary to address cross-border transition issues and non-US exposures to USD LIBOR.

Key Information

• LIBOR Discontinuation: Expected to end by the end of 2021, with no likelihood of continuation.
• RFRs: Overnight RFRs are being promoted as the primary replacement for IBORs.
• Transition Efforts: Vary by jurisdiction, with some continuing a multiple-rate approach while others are moving toward full RFR adoption.
• ISDA Protocols: Playing a central role in updating definitions and offering fallback mechanisms for legacy contracts.
• Global Exposure: USD LIBOR has significant global exposure, especially in non-US markets, which requires coordinated efforts for a smooth transition.
• System Readiness: Market participants need to upgrade systems to support the use of compounded RFRs in both derivatives and cash products.

Conclusion

The transition from IBORs to RFRs is a multi-year international effort, with progress made across various jurisdictions. While the use of RFRs is increasing, challenges remain in certain markets, particularly in lending and securitisation. The FSB and its member authorities continue to work with market participants to ensure a smooth and efficient transition, emphasizing the importance of awareness, communication, and system upgrades.