The Future Without Libor, Part II: How Will Non-Derivative Markets Transition to Alternative Rates?

没有Libor的未来,第二部分:非衍生品市场将如何转向替代利率?

2019/05/03 02:03
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许多投资者担心,当伦敦银行间同业拆借利率(Libor)不复存在时,目前与Libor挂钩的短期和浮动利率工具将如何调整。

As the transition away from Libor (the London Interbank Offered Rate) as the industry-preferred floating-rate benchmark continues, many investors are raising concerns about how both new and existing short-term and floating-rate instruments currently indexed to Libor will adjust when Libor is no longer available.

随着伦敦银行间拆放款利率(Libor)作为行业首选的浮动利率基准的转变继续,许多投资者开始担心,当Libor不再可用时,目前与Libor挂钩的新、现有短期和浮动利率工具将如何调整。

As the transition away from Libor (the London Interbank Offered Rate) as the industry-preferred floating-rate benchmark continues, many investors are raising concerns about how both new and existing short-term and floating-rate instruments currently indexed to Libor will adjust when Libor is no longer available.

随着伦敦银行间拆放款利率(Libor)作为行业首选的浮动利率基准的转变继续,许多投资者开始担心,当Libor不再可用时,目前与Libor挂钩的新、现有短期和浮动利率工具将如何调整。

The short answer is that although official sector working groups have convened and taken initial steps in designing and implementing transition plans, there still remain unanswered questions that could leave many issuers and markets in Libor limbo. But proposals are well underway that if enacted could help clarify the transition. Or if the limbo persists, another option (at least in theory) is an extension of Libor beyond its current 2021 end date – but investors should not rely on that.

简而言之,尽管官方部门的工作组已经召开会议,并在设计和实施过渡计划方面采取了初步措施,但仍有一些悬而未决的问题,可能会让许多发行者和市场陷入伦敦银行间同业拆借利率(Libor)的波动区间。不过,目前正在进行的一些提议正在顺利实施,如果这些提议获得通过,可能有助于澄清过渡过程。或者,如果这种不确定局面持续下去,另一个选择(至少在理论上)是将伦敦银行间拆放款利率(Libor)延长至2021年目前的结束日期之后——但投资者不应指望这一点。

We are seeing some progress: Many markets are beginning to turn to alternative rates. One of these rates, the Secured Overnight Financing Rate (SOFR) published by the Federal Reserve Bank of New York, is gaining some traction particularly in security markets. Issuance of SOFR floating-rate deals has increased in response to investor demand, albeit from very low levels. However, the gradual increase in issuance is not a complete gauge of progress toward widespread market adoption of SOFR. In our view, the sign of meaningful progress is more issuers (both financial and nonfinancial) utilizing SOFR more frequently as a viable index. Regulatory agencies and issuers need to take several more steps in this direction, and risks and uncertainties are clouding the path.

我们看到了一些进展:许多市场开始转向另类利率。其中一种利率——纽约联邦储备银行(Federal Reserve Bank of New York)公布的有担保隔夜融资利率(SOFR)——正在获得一些吸引力,尤其是在证券市场。由于投资者的需求,SOFR浮动利率债券的发行有所增加,尽管发行水平很低。然而,发行数量的逐渐增加并不能完全衡量SOFR在市场上的广泛应用。我们认为,有意义的进展的迹象是,越来越多的发行机构(包括金融机构和非金融机构)更频繁地使用SOFR作为可行的指数。监管机构和发行机构需要朝这个方向采取更多措施,而风险和不确定性正在给这条道路蒙上阴影。

Efforts to encourage SOFR adoption

鼓励采用SOFR的努力

We believe that liquidity in the SOFR-indexed derivative market is a necessary precondition for greater issuance in larger- and longer-maturity corporate floating-rate debt as well as for expanded use of the rate in other products such as loans, mortgages and other consumer products.

我们认为,sofr指数衍生品市场的流动性,是更大期限和更长期公司浮动利率债券发行规模扩大的必要前提,也是贷款、抵押贷款和其他消费产品扩大利率使用的必要前提。

To help pave the way, the Federal Reserve Bank of New York aims to publish a backward-looking compounded form of the overnight rate. Compounding the SOFR rate over a specific term (period of time) should help smooth the impact of any realized short-term volatility in SOFR in overnight markets, such as we witnessed in year-end 2018. In the U.K. and U.S., the public sectors are also planning to publish a forward-looking term rate for SOFR based on expectations from the derivative markets.

为了帮助铺平道路,纽约联邦储备银行(Federal Reserve Bank of New York)计划公布一种追溯过去的隔夜利率复合形式。按特定期限(一段时间)计算SOFR利率的复利,应有助于消除我们在2018年年底看到的隔夜市场上SOFR的任何已实现短期波动的影响。在英国和美国此外,公共部门还计划根据衍生品市场的预期,公布SOFR的远期利率。

Fallback language in new issues

新问题中的备用语言

Many markets have not yet embraced the transition to alternative rates. Enhanced fallback language in new issue contracts would provide greater certainty and alignment for any new bonds still linked to Libor. The Alternative Reference Rates Committee (ARRC) at the New York Fed issued consultations on language that – if included in new Libor deals – would greatly enhance the ability of a cash-equivalent security to adjust if Libor is no longer available. Ideally we would see consistency across calculation methodologies and fallback triggers for new issues, but operational issues could prevent that. Investors should be aware of the potential for basis risk if cash flows and methodologies are not perfectly aligned.

许多市场尚未接受向替代利率的转变。在新发行的合约中使用更强的后备语言,将为任何仍与Libor挂钩的新债券提供更大的确定性和一致性。纽约联邦储备银行(New York Fed)另类参考利率委员会(ARRC)就相关措辞发表了磋商。如果这些措辞被纳入新的Libor交易,将大大增强现金等价物证券在Libor不再存在时进行调整的能力。理想情况下,我们将看到计算方法和新问题的回退触发器之间的一致性,但是操作问题可以防止这种情况发生。如果现金流和方法不完全一致,投资者应该意识到潜在的基础风险。

Risks surrounding legacy cash-equivalent investments

遗留现金等价物投资的风险

In our view, one of the greatest risks in the market transition away from Libor concerns legacy cash-equivalent investments. Back in 2017 we noted how the constrained ability to amend legacy cash-equivalent securities limits the options for transitioning them to new benchmark rates. Recent speeches from policymakers at the U.K. Financial Conduct Authority (FCA) likewise acknowledged this risk, and also made subtle references that a continued publication of Libor may be a potential solution to easing disruption in liquidity markets.

在我们看来,市场脱离Libor的最大风险之一是遗留的现金等价物投资。早在2017年,我们就注意到,修改传统现金等价物证券的能力有限,这限制了将其转换为新基准利率的选择。英国金融市场行为监管局(FCA)的政策制定者最近也在讲话中承认了这一风险,并暗示继续公布Libor可能是缓解流动性市场混乱的一个潜在解决方案。

That said, investors shouldn’t rely on an extension of the Libor deadline. We believe that regulators should focus not only on fostering new reference rates (including SOFR), but also on assessing and managing the consequences for assets whose referenced index cannot be easily transitioned away from Libor.

尽管如此,投资者不应指望伦敦银行间同业拆借利率(Libor)最后期限的延长。我们认为,监管机构不仅应关注于培育新的参考利率(包括SOFR),还应关注于评估和管理那些无法轻易将参考指数从伦敦银行间同业拆借利率(Libor)转移出去的资产的后果。

Preparing portfolios for several scenarios

为几个场景准备投资组合

At PIMCO, we continue to support market initiatives to establish alternative rates that are robust and representative of actual transactions. Our portfolio management teams have reviewed potential outcomes following a Libor discontinuation, including performing scenario analysis on securities whose cash flows may be linked to Libor after its current 2021 end date. The uncertainty regarding the timing and nature of a Libor discontinuation underscores the risks of being complacent in preparing for a future without Libor.

在太平洋投资管理公司(PIMCO),我们继续支持市场举措,以建立稳健且能代表实际交易的替代利率。我们的投资组合管理团队已经审查了Libor中止后的潜在结果,包括对现金流可能与Libor相关的证券在当前2021年结束日期后进行情景分析。伦敦银行间同业拆借利率(Libor)停牌的时机和性质存在不确定性,突显出在为没有Libor的未来做准备时自满的风险。

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