2015年-FSB全球金融稳定委员会_Progress_in_Reforming_Major_Interest_Rate_Benchmarks_–_Interim_Report_34页_597kb

Progress in Reforming Major Interest Rate Benchmarks

Core Content

This report outlines the progress made in reforming major interest rate benchmarks following the FSB's July 2014 recommendations. The focus is on enhancing existing interbank offered rates (IBORs) and developing risk-free rates (RFRs) to improve the robustness and integrity of financial market benchmarks.

Main Recommendations

The FSB recommended that:

• IBORs should be underpinned with transactions data to create "IBOR+" benchmarks.
• RFRs should be developed where appropriate, especially for financial transactions that are better suited to risk-free rates.
• Authorities and market participants should collaborate to ensure a smooth transition and address legal, operational, and reputational risks.
• A public consultation on proposed changes should be completed by the end of 2015.
• At least one IOSCO-compliant RFR should be implemented by Q2 2016.

Key Developments in IBOR+ Benchmarks

Overview

• EURIBOR, LIBOR, and TIBOR are the three major IBORs being reformed.
• All three administrators have conducted data collection and consultations with stakeholders.
• Authorities in these jurisdictions have taken steps to regulate these benchmarks.

EURIBOR

• The EURIBOR+ Project was launched by EMMI in 2013 to develop a transaction-based unsecured benchmark.
• The project includes four work streams:
  1. Benchmark Design - EURIBOR Definition: Focuses on aligning definitions and clarifying panel bank eligibility.
  2. Benchmark Design - EURIBOR+ Methodology: Finalises a transaction-based methodology and contingency measures.
  3. Infrastructure and Operations: Develops clear criteria for panel size and data collection methods.
  4. Transition Execution: Plans for migrating to a transaction-based methodology by Q3 2016.
• The project is supported by the ECB and involves stakeholder consultations.

LIBOR

• The IBA (ICE Benchmarks Administration) is responsible for LIBOR administration.
• IBA has issued a position paper and is consulting with users and submitters to determine the evolution of LIBOR.
• A waterfall approach is proposed for submissions, incorporating transactions, interpolation, and expert judgment.
• IBA is considering expanding the definition of eligible counterparties and changing the calculation method.
• A second consultation paper is planned for Q3 2015.

TIBOR

• The JBATA (JBA TIBOR Administration) is working to reform TIBOR in line with FSB recommendations.
• Close cooperation with the MPG, JFSA, and BOJ is underway.
• The reform is expected to focus on transitioning TIBOR to a transaction-based methodology.

Risk-Free Rate (RFR) Developments

• Efforts are being made to develop alternative RFRs for markets where they are not yet established.
• Central banks and supervisory authorities are working to:
  • Collect transaction data by end Q4 2014.
  • Identify potential RFR designs and administrators by end Q2 2015.
  • Assess feasibility and compliance with IOSCO standards by end Q3 2015.
  • Implement at least one IOSCO-compliant RFR by Q2 2016.
• Authorities in various jurisdictions, including Australia, Canada, Hong Kong, Mexico, Singapore, and South Africa, are also taking steps to reform their own benchmarks.

International Cooperation

• The FSB and IOSCO have played key roles in establishing a global framework for benchmark reform.
• OSSG (Official Sector Steering Group) coordinates the reform efforts across jurisdictions.
• Authorities from different regions, including the EU, US, UK, Japan, Switzerland, and Hong Kong, have engaged in discussions and cooperation to align reforms and ensure consistency.

Regulatory Environment

• The UK has been regulating LIBOR since April 2013 under the Financial Services Market Act 2012.
• A pan-European Regulation on benchmarks is under negotiation and will replace existing UK regulations.
• EURIBOR will be regulated under the new EU Regulation, which will also apply to LIBOR.
• Japan designated TIBOR as a regulated benchmark in May 2015 under its new legislative framework.

Future Work

• The OSSG will continue to monitor progress and prepare an updated progress report for publication by the FSB in July 2016.
• IOSCO will conduct a follow-up review in the second half of 2015 to assess the implementation of its principles.
• The transition to RFRs and IBOR+ is expected to be completed in 2016, with ongoing stakeholder engagement and international coordination.

Conclusion

The reform of major interest rate benchmarks is a global effort to enhance transparency, reduce manipulation risks, and align with more reliable transaction-based methodologies. The collaboration between authorities and market participants has been crucial, with each jurisdiction taking steps to reform their own benchmarks. The focus on RFRs is also gaining momentum, with the aim of providing more accurate and robust reference rates for financial instruments.