Replacing LIBOR

目录

LIBOR结束时的风险（2个）：

现状：

1. There remain plenty of dollar LIBOR legacy contracts outstanding.

2. There is no central repository providing information about what, if any, fallback language exists in these contracts.

3. While the process of creating a satisfactory replacement for dollar LIBOR is well advanced, it is far from complete.  比如SOFR（2017）

SOFR

The government’s role in the transition：政府的作用

总结

补充说明：

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（Current Issue 7: Stephen Cecchetti, Kim Schoenholtz, “Replacing LIBOR” https://voxeu.org/article/replacing-libor. September 2019. 整理）

LIBOR结束时的风险（2个）：

1. 来自the legacy contracts referencing LIBOR，含有libor的旧合同，contracts that lack adequate fallback provisions may plunge in value. 
2. 是否有足够替代品使中介机构既可以在流动市场中为自己融资，又可以提供信贷。Whether, when LIBOR ceases, there will be an adequate substitute that allows intermediaries both to fund themselves in a liquid market and to provide credit.

 

现状：

1. There remain plenty of dollar LIBOR legacy contracts outstanding.

2016年底美元伦敦银行同业拆借利率挂钩的合同（万亿美元，名义价值）

2. There is no central repository providing information about what, if any, fallback language exists in these contracts.

- 没有充足的中央储备金，会导致一系列的诉讼，FRBNY General Counsel Michael Held (2019) has called this a “DEFCON 1 litigation event”.

- Fortunately, to address the challenge posed by the stock of existing derivatives – by far the largest component of the LIBOR footprint – the International Swaps and Dealers Association (ISDA) is at work developing fallback language that dealers and customers could adopt voluntarily (ISDA 2019).官方ISDA有发布相关替代方案；

- In addition, the ARRC has recommended fallback language for business loans, floating rate notes (FRNs), and securitisations, and it is consulting on language for adjustable rate mortgages (ARMs). 但不知道目前各种合约使用情况；

 

3. While the process of creating a satisfactory replacement for dollar LIBOR is well advanced, it is far from complete.  比如SOFR（2017）

- Historically, reference rates arise through an extended process of trial and error in which counterparties eventually adopt a benchmark that enhances market depth and liquidity (e.g. Duffie and Stein 2015, Kroszner 2018). 历史上这种参考利率都需要反复试验，但是当前情况下，没有足够时间来验证他。

 

SOFR

SOFR meets a range of criteria that a robust benchmark must satisfy (IOSCO Board 2013).This includes the key standard that LIBOR lacks: a deep, liquid market.

尽管LIBOR缺乏流动性，但目前使用程度仍然超过 SOFR：

• While SOFR futures trading has increased rapidly on the Chicago Mercantile Exchange, as of early August 2019, the average daily volume and open interest of the CME Eurodollar futures contract  (the price of which varies inversely with three-month LIBOR) was nearly 65 times larger than that of SOFR futures.

截止2019.3，芝加哥商业交易所，欧洲美元期货占比比SOFR大65倍；

The expectation is that SOFR swaps will follow (not precede) the evolution of SOFR futures. But, when? Similarly, in the bond market, SOFR is just gaining steam, with new issuance records set almost every month.  

• Path dependence is probably the dominant force behind the sluggish transition: having used LIBOR since the mid-1980s, everyone is comfortable with it.

替代/过渡成本昂贵：

- the cost of writing new contracts

- working out new investment and risk management strategies, including developing new software for implementation

- training personnel

- informing and educating clients, investors, and regulators. 

 

The ARRC’s “paced transition plan” anticipates the creation of a term SOFR rate by the end of 2021. However, to ensure that the end of LIBOR does not lead to systemic disruption, financial firms and their clients cannot wait for a term SOFR. 

To be sure, unsecured funding has declined sharply, but it has not disappeared (Schrimpf and Sushko 2019).无抵押贷款已经大幅减少

Ultimately, we suspect that there will be a variety of ways to hedge unsecured funding risk. Large banks might use internal models to compute risk premia to add to SOFR, while smaller institutions may prefer some market-based rate (Ameribor and the ICE Bank Yield Index seem like possibilities).

LIBOR是指无抵押贷款采用的基准利率，但是目前越来越多银行倾向于抵押支持交易，转向无风险融资，使得支持LIBOR估算的实际交易越来越少，准确报价的难度加大。

The government’s role in the transition：政府的作用

1. The greater the certainty about the end date, the faster the LIBOR transition will be (e.g. Oliver Wyman 2019). At the very least, authorities can further intensify warnings about the imprudence of relying on LIBOR, while promoting timely disclosure of LIBOR-related risks.  结束时间越确定，转变越快；
2. Supervisors must ensure that all systemically important banks and financial market utilities are fully prepared.确保重要银行与金融市场工具完全准备好；
3. There remains a remarkable absence of up-to-date data on LIBOR-linked instruments. The aggregate numbers in our table date from the end of 2016.In the course of monitoring institutions and markets, regulators should gather and publish data showing the evolution of LIBOR exposure (including information on fallback language) at least quarterly. 目前没有即时的libor统计数据，机构至少应该每季度总结汇报一次；
4. Because the LIBOR transition will directly affect many households and small businesses with LIBOR-linked debt, it is important for authorities (including the Consumer Financial Protection Bureau) to promote public awareness of the changes underway. 提高公众对这一变化的认识

 

总结

The transition from LIBOR is “an unprecedented global financial engineering project of massive scale that will require extraordinary coordination and cooperation across institutions, markets and jurisdictions” (LIBOR to SOFR Working Group 2019). 

 

补充说明

1. 自2014年以来，官方机构就已经公开警告，LIBOR或不再稳定。
2. ARRC有责任为市场提供如下工具：
   • 能够克服LIBOR不稳定性的替代参考利率；
   • 为该参考利率的衍生产品市场提供流动性，以便于持有现金者可以对冲利率风险的计划；
   • 能够限制LIBOR终止所带来的风险的合约模型。
3. LIBOR即伦敦同业拆借利率，是指伦敦的第一流银行之间短期资金借贷的利率，是国际金融市场中大多数浮动利率的基础利率。作为银行从市场上筹集资金进行转贷的融资成本，贷款协议中议定的LIBOR通常是由几家指定的参考银行，在规定的时间（一般是伦敦时间上午11：00）报价的平均利率。最经常使用的是3个月和6个月的Libor。我国对外筹资成本即是在LIBOR利率的基础上加一定百分点。从LIBOR变化出来的，还有新加坡同业拆放利率(SIBOR)、纽约同业拆放利率(NIBOR)、香港同业拆放利率(HIBOR)等等。