2014年-FSB全球金融稳定委员会_Foreign_Exchange_Benchmarks_68页_771kb

Reforming Major Interest Rate Benchmarks Summary

I. Executive Summary

The global financial system relies heavily on major interest rate benchmarks such as LIBOR, EURIBOR, and TIBOR (IBORs) for pricing a wide range of financial products and contracts. However, these benchmarks have faced significant challenges, including market manipulation, false reporting, and reduced liquidity in interbank unsecured funding markets post-crisis. These issues have undermined confidence in the reliability and robustness of existing benchmarks, posing a systemic risk.

In response, the G20 asked the Financial Stability Board (FSB) to conduct a fundamental review of major interest rate benchmarks and to develop reform plans that are consistent, coordinated, and robust. To support this, the FSB established the Official Sector Steering Group (OSSG), a high-level group of regulators and central banks, to coordinate benchmark reviews and guide the Market Participants Group (MPG). The FSB also endorsed the IOSCO Principles for Financial Benchmarks, which provide a framework for assessing and improving benchmark governance, methodology, and accountability.

The OSSG's work focused on the most critical IBORs, and it recommended a multiple-rate approach to replace or supplement them. This approach includes:

1. Enhancing existing IBORs (referred to as "IBOR+") by anchoring them more closely to observable transactions.
2. Developing alternative, nearly risk-free reference rates (RFRs) to better meet the needs of financial markets, especially derivatives.

The FSB fully endorsed these recommendations and mandated the OSSG to monitor and oversee their implementation. A final monitoring report is expected 24 months after the report's publication, with an interim report after 12 months.

II. Introduction

The reform of major interest rate benchmarks was initiated due to the vulnerability of existing rates to manipulation and the lack of robust governance. The FSB emphasized the importance of aligning benchmarks with high standards of governance, transparency, and reliability to ensure they meet the needs of both the private and official sectors.

Key criteria for benchmark reform included:

• Minimizing opportunities for market manipulation.
• Anchoring rates in observable transactions.
• Ensuring robustness in times of market stress.

The OSSG was tasked with reviewing benchmark governance and guiding the MPG, which was responsible for identifying alternative benchmarks and analyzing transition strategies. The MPG's report, completed in March 2014, proposed a range of alternative rates and strategies for their adoption.

III. The Role of Reference Interest Rates

A. Different Uses of Reference Interest Rates

Reference interest rates underpin a vast array of financial instruments, including:

• Credit products: Loans, structured products, money market instruments, and fixed income products.
• Derivatives: Interest rate swaps, options, forwards, and futures.
• Other products: Accounting, taxation, regulatory cost of capital calculations, project finance, trade finance, and performance benchmarks for asset managers.

The most significant notional volumes are associated with IBORs, with LIBOR being the most referenced benchmark in USD, GBP, and CHF, and EURIBOR dominant in EUR products.

B. Market Demand for Different Types of Rates

Market participants have different needs for reference rates, which can be broadly categorized into:

• Risk-free or nearly risk-free rates: Suitable for derivatives and other products where minimal credit risk is preferred.
• Rates with credit risk: Necessary for products like bank loans and credit derivatives.

The MPG found that no single alternative rate could fully replace LIBOR or similar benchmarks. Therefore, the recommendation for a multiple-rate approach was proposed to better meet diverse market needs.

C. Fit for Purpose (Official Sector's Viewpoint)

The official sector believes that a range of reference rates would better serve the diverse needs of market participants. This approach would increase flexibility and reduce systemic risk by avoiding over-reliance on a single benchmark that may be vulnerable to manipulation.

A broader set of rates would also support market choice and resilience, especially in the context of increased use of collateral and central clearing in derivatives markets.

IV. Framework for Change

A. Guiding Principles

The reform framework is guided by the following principles:

1. Robustness: Benchmarks should be resilient to market dislocation and maintain confidence during stress periods.
2. Transparency: Processes should be open and accountable.
3. Data sufficiency: Reference rates should be based on sufficient and observable market data.
4. Market choice: Encourage the development of alternative rates to provide options for different market needs.

B. Implications

The transition to alternative benchmarks may pose challenges, including:

• Legacy contracts: Need for clear transition strategies and protocols.
• Market infrastructure: Development of new methodologies and administrators for RFRs.
• Regulatory coordination: Ensuring that reforms are consistent across jurisdictions.

V. Currency Reports

The report includes detailed currency-specific analyses for:

• Euro (EURIBOR): Dominant in EUR products, with high notional volumes.
• Sterling (LIBOR): Most referenced in GBP, with significant volumes in short-term instruments.
• Swiss Franc (LIBOR): Used in CHF, with notable volumes in 3m and 6m tenors.
• U.S. Dollar (LIBOR): The most widely used benchmark globally, with large notional volumes.
• Yen (LIBOR and TIBOR): LIBOR is the most referenced in JPY, with TIBOR also having a presence.
• Global transition issues: The need for coordinated efforts across jurisdictions to ensure a smooth and orderly transition to alternative benchmarks.

VI. Contingency Arrangements

Contingency plans were developed to address potential risks and challenges during the transition to new benchmarks. These include strategies for dealing with legacy contracts, testing new methodologies, and ensuring the continued functioning of financial markets.

VII. Review of Existing Benchmarks

The review found that administrators of LIBOR, EURIBOR, and TIBOR had made progress in implementing the IOSCO Principles, particularly in governance, transparency, and accountability. However, further improvements are needed in benchmark design and data sufficiency.

The FSB urged administrators and submitting banks to begin the process of developing new methodologies and infrastructure to support the transition to alternative benchmarks.

VIII. Recommendations and Next Steps

A. Summary of Recommendations

• IBOR+: Strengthen existing IBORs by anchoring them more closely to observable transactions.
• RFRs: Identify and develop robust, nearly risk-free rates in each currency area.
• Currency subgroups: Formed to evaluate feasibility, identify administrators, and develop transition strategies.
• Global subgroup: To ensure international coordination and alignment.

B. Future of the OSSG

The OSSG was given a renewed mandate to monitor and oversee the implementation of the reform recommendations. Its responsibilities include:

• Tracking progress against the recommendations.
• Facilitating information exchange.
• Coordinating international transition efforts.

The OSSG will deliver an interim progress report after 12 months and a final monitoring report after 24 months.

Key Takeaways

• IBORs are central to the global financial system but are vulnerable to manipulation and lack robust governance.
• A multiple-rate approach is recommended to address diverse market needs and reduce systemic risk.
• The OSSG and MPG were established to guide the reform and transition process.
• The FSB endorsed the IOSCO Principles as a global standard for benchmark governance.
• RFRs are being developed as alternatives to IBORs, with a focus on risk-free or nearly risk-free methodologies.
• Implementation timelines and monitoring mechanisms are in place to ensure the reform process is orderly and effective.

Annexes and Glossary

• Annex 1: Lists the members of the OSSG.
• Abbreviations: Includes definitions of key terms such as IBOR, RFR, and IOSCO Principles.

This report outlines a comprehensive path for reforming major interest rate benchmarks to ensure they remain reliable, transparent, and fit for purpose in a post-crisis financial landscape.