截至6月30日, 2023, 伦敦银行间拆放款利率 will no longer be a viable reference rate for a wide variety of debt transactions. This change will have a significant impact on trillions of dollars of outstanding debt, as firms have used 伦敦银行间拆放款利率 for decades as the benchmark reference for determining interest rates for debt instruments and OTC derivatives, 包括结构性证券, 公司债, 市政债券.
Related: The "Secret Sauce" to Navigating the 伦敦银行间拆放款利率 Cessation
2017年7月, the UK Financial Conduct Authority (FCA) announced that 伦敦银行间拆放款利率 would cease to be published, 理由是对伦敦银行间同业拆借利率(伦敦银行间拆放款利率)稳健性的担忧, 包括对操纵的脆弱性.
While the transition away from 伦敦银行间拆放款利率 is intended to enhance the integrity and stability of the financial system, it requires the financial services industry to address several data challenges ahead of the June 30th deadline. Any issuer of a security that matures after the 伦敦银行间拆放款利率 cessation date and relies on 伦敦银行间拆放款利率 to calculate interest rates will need to choose and communicate a fallback replacement rate to the investor community prior to the 伦敦银行间拆放款利率 retirement date.
为伦敦银行间拆放款利率停止做准备, industry-led groups have convened in various markets to identify alternatives to 伦敦银行间拆放款利率. 在美国.S., The Federal Reserve Bank of New York’s Secured Overnight Financing Rate (SOFR) was recommended by the Alternative Reference Rates Committee (ARRC) as the preferred 伦敦银行间拆放款利率 replacement benchmark.
The ARRC is a group of market participants focused on ensuring a successful 伦敦银行间拆放款利率 transition. 除了, 存, 与ARRC合作, 市场数据供应商, 以及行业参与者, designed a workflow and several tools that can be used by bond issuers and their agents to assist with the capture and communication of the new fallback index that will replace 伦敦银行间拆放款利率 on outstanding debt.
随着戒烟日期的迅速临近, it is crucial that the industry devote sufficient attention and resources toward ensuring an orderly transition from 伦敦银行间拆放款利率. 这样做, industry participants must have a clear understanding of the data challenges presented by 伦敦银行间拆放款利率 cessation and the resources available to help meet them.
伦敦银行间拆放款利率和SOFR的主要区别
There are several key differences in the underlying data and the methodologies used to calculate 伦敦银行间拆放款利率 and SOFR. These differences present certain challenges as the industry navigates the transition from 伦敦银行间拆放款利率.
第一个, 伦敦银行间拆放款利率 is a forward-looking rate that relies on submissions from a panel of banks, while SOFR is an overnight rate based on actual transactions in the U.S. 国债回购协议市场. This fundamental difference means that industry participants must carefully review and update their systems, 流程, and models to accommodate the new benchmark replacement data.
第二个, SOFR几乎是零风险利率, meaning it does not reflect ongoing unsecured credit exposure or forward expectation on the direction of rates. 因此, a Credit Spread Adjustment (CSA) will be needed to underlie the SOFR rate in order to calculate the rate that will drive interest accrual once 伦敦银行间拆放款利率 ceases to be a functioning rate.
The CSA will typically be based on the trading of SOFR-linked interest rate derivatives products in multiple tenors and determined by benchmark administrators including CME Group, 冰, 和Refinitiv.
除了检查系统和过程, market participants should also review financial contracts to determine whether their terms need to be updated.
一项艰巨的任务
The issues arising from the retirement of 伦敦银行间拆放款利率 are complex and are magnified by the sheer volume of bonds for which a replacement benchmark must be communicated. 存估计超过100个,000 bonds will mature after 伦敦银行间拆放款利率 ceases to function as a benchmark rate.
随着各公司加大伦敦银行间拆放款利率转换力度, they can turn to their traditional data providers to gather the necessary information on bonds that reference the 伦敦银行间拆放款利率 rate. 除了, firms can take advantage of tools such as 存’s recently launched 伦敦银行间拆放款利率 Benchmark Replacement Index solution, 可通过本所的法律通知系统(LENS)访问.
Users of this solution can view information on securities whose rate is currently based on USD 伦敦银行间拆放款利率 and obtain the new benchmark rate that has been selected for such securities. 存 also provides this information through an automated file delivery. 最后, several market data providers will disseminate benchmark rate information collected by 存 through their existing products and distribution channels.
Significant work still lies ahead for the industry, as the June 30th deadline nears. 然而, 的ARRC, 存, 数据供应商和发行者, and their agents have shown their ability to collaborate and remain committed to working together to support market participants as they prepare for 伦敦银行间拆放款利率 cessation.
本文最初发表于 “保障未来粮食供给”的新闻 2023年6月13日.