2016年-FSB全球金融稳定委员会_Reforming_Major_Interest_Rate_Benchmarks_34页_741kb

Summary of "Reforming Major Interest Rate Benchmarks" – Progress Report on Implementation of July 2014 FSB Recommendations

Core Content

This report provides an update on the progress made in implementing the recommendations from the 2014 FSB report Reforming Major Interest Rate Benchmarks. The focus is on the reform of existing interbank offered rates (IBORs) and the development and adoption of risk-free rates (RFRs) as alternatives.

Main Recommendations

• Enhance IBORs (IBOR+): Strengthen existing IBORs by anchoring them in transaction data rather than expert judgment.
• Develop RFRs: Promote the use of RFRs where appropriate, especially for derivatives and other financial instruments that are better suited to risk-free reference rates.
• Improve Contract Robustness: Ensure that market participants understand and prepare for fallback arrangements in case of a benchmark discontinuation.
• Regulatory Oversight: Establish a regulatory framework for benchmarks, including the EU Benchmarks Regulation, which will apply from 1 January 2018.

Key Developments

IBOR+ Benchmarks

• EURIBOR: The European Money Markets Institute (EMMI) has been working on reforming EURIBOR, moving it towards a transaction-based methodology. The EURIBOR+ Task Force has been involved, and the ECB has provided technical support. A reformed EURIBOR is expected by H1 2017.

  • EMMI conducted a data evaluation test in Q3 2016.
  • A new methodology includes smoothing techniques and a tiered contingency approach.
  • A Legal Working Group has been established to assess legal risks associated with the transition.

• LIBOR: ICE Benchmarks Administration (IBA) has published a revised roadmap for LIBOR reform, including:

  • A transaction-based methodology with a waterfall structure (Level 1 to Level 3).
  • Expansion of eligible counterparties to include corporations, central banks, and non-bank financial institutions.
  • A broader transaction window and a reduction in the weight of trades booked on the previous day.
  • A feasibility study is ongoing to centralise LIBOR determination based on real-time transaction data.
  • A new definition and submission methodology is expected to be implemented in 2016.

• TIBOR: The TIBOR administrator is accelerating its reform process, incorporating feedback from its second consultation and considering the impact of current financial market conditions.

RFR Benchmarks

• Progress: Authorities and market participants in several jurisdictions have made strides in identifying and promoting RFRs.
• Key Jurisdictions: The United States, United Kingdom, Switzerland, Japan, and the euro area have identified potential RFRs, including overnight secured and unsecured rates.
• Implementation: The FSB encourages the adoption of at least one IOSCO-compliant RFR by Q2 2016.
• Ongoing Work: Groups in the UK and euro area have developed new privately administered secured rates, and the OSSG continues to monitor progress.

International Cooperation and Regulatory Environment

• EU Benchmarks Regulation: Published in June 2016, this regulation applies to all benchmarks referenced in financial instruments traded on EU venues, consumer credit, and investment funds. It will take effect on 1 January 2018.
• Belgium: The Belgian Financial Services and Markets Authority (FSMA) has been designated as the supervisor of EURIBOR.
• Japan and UK: Regulatory frameworks for TIBOR and LIBOR have already been established.
• Global Coordination: The OSSG encourages international cooperation to ensure consistency in benchmark reforms and to address cross-border issues.

Contract Robustness

• The FSB emphasizes the importance of preparing for the potential discontinuation of key interest rate benchmarks.
• Market participants are advised to understand and implement robust fallback mechanisms to prevent market disruption.
• EMMI and IBA have both initiated efforts to ensure that contracts are resilient against benchmark discontinuation, including legal and operational assessments.

Future Work

• The OSSG will continue to monitor progress in benchmark reforms.
• A final report is expected to be published in 2017, following further implementation steps in major markets.
• The transition to IBOR+ and RFRs is ongoing, with a focus on ensuring data reliability, transparency, and legal compliance.

Conclusion

While significant progress has been made in the reform of IBORs and the identification of RFRs, the process is not yet complete. The FSB and OSSG stress the importance of maintaining momentum to ensure the successful implementation of these reforms, which are crucial for the stability and integrity of global financial markets.