2017年-FSB全球金融稳定委员会_Reforming_major_interest_rate_benchmarks_43页_755kb

Summary of Reforming Major Interest Rate Benchmarks

Core Content

This document provides a progress report on the implementation of the 2014 FSB recommendations regarding the reform of major interest rate benchmarks. It outlines the ongoing efforts to strengthen existing interbank offered rates (IBORs) and promote the development and adoption of alternative nearly risk-free reference rates (RFRs). The report also discusses the importance of ensuring contractual robustness to the risk of discontinuance of widely-used interest rate benchmarks.

Main Recommendations and Progress

1. Strengthening IBORs

• IBOR+ Benchmarks: The FSB recommended enhancing IBORs by anchoring them more closely to transaction data and improving submission processes. These enhanced benchmarks are referred to as "IBOR+".
• Progress: Administrators of EURIBOR, LIBOR, and TIBOR have made progress in implementing these changes. However, the underlying transaction data in some currency-tenor combinations remains limited, making it difficult to fully transition to transaction-based methodologies.
• EURIBOR: EMMI has tested a fully transaction-based methodology through the PLV Programme, but found it insufficient. A hybrid model is now being explored, combining transactions, market data, and expert judgment.
• LIBOR: IBA has implemented changes to the methodology, including removing the use of parallel shifts and adjusting publication times. Despite these improvements, the long-term sustainability of LIBOR remains uncertain due to declining market activity.
• TIBOR: JBATA has finalized the reform of TIBOR, implementing a new methodology that includes both interbank and wholesale transactions. The new methodology will be in place by 24 July 2017, with some tenors discontinued by April 2019.

2. Development of Alternative RFRs

• RFRs: The FSB encouraged the development of at least one IOSCO-compliant RFR in each major market by Q2 2016.
• Progress:
  • RFRs have been identified in Australia, Brazil, Canada, Hong Kong, Japan, Switzerland, the UK, and the US.
  • In the euro area, EONIA is an existing RFR that is actively used. EMMI is working on strengthening EONIA and exploring a transactions-based repo benchmark.
  • A new working group has been formed to identify and adopt an RFR for the euro area.
  • In Mexico and South Africa, the official sector is still in the early stages of considering RFR options.

3. Contractual Robustness

• Objective: To ensure that financial contracts referencing IBORs include fallback provisions in case of permanent discontinuation.
• Progress:
  • The OSSG has been working with ISDA to develop robust fallback arrangements for new contracts and to amend existing contracts.
  • The goal is to have these protocols in place by the end of 2017.
  • The OSSG will also coordinate with non-derivative market participants to ensure that fallback provisions are applied across various financial instruments.

Key Information

• Timeline:
  • EURIBOR reforms are expected to be implemented in the second half of 2017, with a stakeholder consultation prior to the full implementation in 2018.
  • LIBOR will no longer be sustained by the FCA after 2021.
  • TIBOR reforms were implemented by 24 July 2017, with some tenors discontinued by April 2019.
• Regulatory Environment:
  • The EU Benchmark Regulation (BMR) requires EMMI to apply for authorisation by 31 December 2019.
  • The UK FCA has launched consultations to align its regulatory framework with the BMR and to clarify its compulsion powers for mandatory contributions to LIBOR.
• Challenges:
  • Some IBORs, like LIBOR and EURIBOR, face challenges in maintaining robustness due to limited transaction data.
  • Transition to RFRs has not yet been fully implemented in all markets.
  • There is a need for continued engagement with market participants to ensure that contracts are robust against the risk of benchmark discontinuation.

Conclusion and Next Steps

• Conclusion: While progress has been made in strengthening IBORs and identifying RFRs, the long-term sustainability of some IBORs remains uncertain.
• Next Steps:
  • The OSSG will continue monitoring the reform process and prepare a progress report for 2018.
  • Work on contractual robustness and transition to RFRs will continue, with the aim of ensuring a smooth and orderly transition.
  • Further international cooperation is necessary to address the risks associated with benchmark discontinuation and to support the transition to more robust alternatives.