The Future Without Libor, Part I: Transition Framework for Derivatives

没有Libor的未来,第一部分:衍生品的过渡框架

2019/05/03 02:01
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伦敦银行间同业拆借利率(Libor)退出后,投资组合将会发生什么变化?衍生品行业正在为转型做准备,尽管不确定性依然存在。

Many investors wonder what will happen in their portfolios following the retirement of Libor as the predominant floating-rate benchmark index. The derivative industry, including investment managers, is preparing for the transition, though uncertainties remain.

许多投资者想知道,在伦敦银行间同业拆借利率(Libor)作为主要的浮动利率基准指数退出后,他们的投资组合会发生什么。包括投资经理在内的衍生品行业正在为转型做准备,尽管不确定性依然存在。

(Background: Libor, short for London Interbank Offered Rate, is a widely used benchmark for floating-rate and short-term investments. The index is administered by ICE Benchmark Administration (IBA) and provides an indication of the average rate at which panel banks can obtain unsecured funding. After problems with Libor arose during and after the global financial crisis, the U.K. Financial Conduct Authority (FCA), which regulates the IBA, announced in July 2017 that it would eventually stop sustaining Libor. Since then, market participants and policymakers have started work on transition plans and developed or identified alternative rates.)

(背景:伦敦银行间拆放款利率(Libor)是伦敦银行间同业拆借利率(Libor)的简称,被广泛用于浮动利率和短期投资。该指数由洲际交易所基准管理委员会(IBA)管理,并提供了面板银行获得无担保资金的平均利率的指示。在全球金融危机期间和之后,伦敦银行间同业拆借利率(Libor)出现问题,监管IBA的英国金融市场行为监管局(FCA)于2017年7月宣布,最终将停止维持Libor。自那以来,市场参与者和政策制定者已开始制定转型计划,并制定或确定了替代利率。)

In the derivatives market, ISDA (the International Swaps and Derivatives Association) solicited feedback from the market via public consultation on a transition approach for non-U.S.-dollar (USD) currencies. With the results of the consultation published in late 2018, ISDA expects to produce a complete methodology this summer for the Libor spread adjustment along with supplemental consultation for USD-denominated derivatives. The approach ISDA is developing would allow for derivatives to fall back to alternative rates, such as SOFR (the Secured Overnight Financing Rate, published by the Federal Reserve Bank of New York). We believe if derivative markets adopt alternative “risk-free rates,” it will help smooth the way for other markets and other currencies.

在衍生品市场,ISDA(国际掉期和衍生品协会)通过就非美国市场的过渡方式进行公开咨询,征求市场的反馈意见。美元货币(美元)。根据2018年底公布的咨询结果,ISDA预计今年夏天将为Libor息差调整提供一套完整的方法,并为美元计价衍生品提供补充咨询。ISDA正在开发的方法将允许衍生品回落到替代利率,如SOFR(纽约联邦储备银行公布的有担保隔夜融资利率)。我们认为,如果衍生品市场采用另类的“无风险利率”,将有助于为其它市场和其它货币铺平道路。

Transition methodology for derivative contracts

衍生品合约的转换方法

As described in our last update, in 2018 ISDA solicited feedback from global financial entities on an optimal, realistic approach for derivative contracts that reference certain non-USD interbank rates to handle a discontinuation in Libor. Based on the feedback, ISDA plans to utilize a backward-looking, compounded-in-arrears approach for determining a construct of the alternative risk-free overnight rate covering a specific term (time period). To adjust for Libor’s credit component, a static spread adjustment would be applied to the compounded risk-free rate, which would be informed by the historical realized difference between the rates.

正如我们在上一期更新中所述,在2018年,ISDA征求了全球金融实体的反馈意见,寻求一种最优的、现实的方法来处理衍生品合约,即参考某些非美元银行间利率来处理伦敦银行间同业拆借利率(Libor)的中止。根据反馈,ISDA计划使用一种向后看的、补缴欠款的方法来确定覆盖特定期限(时间段)的替代无风险隔夜利率的构造。为了调整伦敦银行间同业拆借利率(Libor)的信贷构成,将对复合无风险利率进行静态息差调整,而复合无风险利率将由利率之间的历史实际息差决定。

This summer, we expect ISDA to publish the exact calculation methodology for the static spread adjustment. Although the FCA has stated it will compel panel banks to support Libor until the end of 2021, it is possible Libor will continue to be published beyond that date, and if so, the ISDA spread calculation will incorporate the realized differentials until a formal announcement of discontinuation at a later date.

今年夏天,我们预计ISDA将公布静态价差调整的精确计算方法。尽管FCA已经表明这将迫使面板银行支持伦敦银行同业拆放利率直到2021年底,伦敦银行间拆放款利率有可能继续除此之外出版日期,如果是这样,ISDA传播计算将把意识到差异,直到正式宣布中止在稍后的日期。

SOFR-indexed futures and swaps

sofr指数期货和掉期

The derivative infrastructure that was put in place during 2018 to support market liquidity for SOFR in the U.S. has supported increased trading in futures and overnight index swaps referencing SOFR. Futures contracts offered by the Chicago Mercantile Exchange (CME) on compounded SOFR rates exceeded 100,000 contracts in open interest, with similar volumes continuing this year. At this time, liquidity in swaps linked to alternative reference rates remains fairly limited, but is gradually increasing.

2018年为支持美国SOFR市场流动性而建立的衍生品基础设施,支持了期货和隔夜指数掉期交易的增加。芝加哥商品交易所(CME)以复合SOFR利率提供的期货合约超过10万份未平仓合约,今年仍有类似的交易量。目前,与其它参考利率挂钩的互换产品的流动性仍相当有限,但正在逐渐增加。

Although activity has been less robust in derivatives linked to SOFR relative to derivatives linked to Libor, future growth in trading liquidity should inform longer-horizon market expectations for SOFR. We expect that liquidity could increase in 2020 after central counterparties (CCPs) switch to discounting of all USD-cleared swap cash flows with the SOFR rate, as outlined in the ARRC transition plan. (ARRC is the Alternative Reference Rates Committee at the New York Fed.)

尽管与伦敦银行间同业拆借利率(Libor)挂钩的衍生品相比,与SOFR挂钩的衍生品交易活动不那么强劲,但未来交易流动性的增长应该会影响市场对SOFR的长期预期。我们预计,到2020年,随着中央交易对手方(ccp)按照ARRC过渡计划中所述的SOFR利率,对所有以美元结算的掉期现金流进行贴现,流动性可能会增加。(ARRC是纽约联邦储备银行的另一个参考利率委员会。)

Necessary precondition

必要的前提

In our view, SOFR derivative liquidity is a necessary precondition to an expanded use of SOFR in other markets and products. Derivative markets provide both a view into market expectations for the level of SOFR rates in the future and a mechanism for hedging SOFR-related risks. At PIMCO, we will continue to monitor derivative market developments in SOFR as a key indicator of the trajectory of the transition process.

我们认为,SOFR衍生品流动性是SOFR在其他市场和产品中得到广泛应用的必要前提。衍生品市场既提供了对未来SOFR利率水平的市场预期,也提供了对冲与SOFR相关风险的机制。在太平洋投资管理公司,我们将继续监测SOFR衍生品市场的发展,将其作为过渡进程轨迹的一个关键指标。

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