摘要 国际基准利率改革将对各国监管部门、金融机构和客户带来深远的影响。目前,各国拟采用的新基准利率与伦敦同业拆借利率(LIBOR)体系存在较大结构性差异。一是新基准利率将由各国独立发布,导致不同货币存在不一致性;二是新基准利率均为隔夜利率,暂不具备期限利率;三是新基准利率都是无风险利率,不包含信贷风险溢价。新基准利率与LIBOR的隔夜利率利差分析显示,担保隔夜融资利率(SOFR)波动性高于LIBOR,且数值普遍高于LIBOR;英镑隔夜指数均值(SONIA)与LIBOR的利差相较SOFR更小,且改革后的SONIA数值普遍高于LIBOR。新基准利率与LIBOR的期限利率利差分析显示,远期定价SOFR比复合SOFR波动性小、利差小,且普遍低于LIBOR;远期定价SOFR的1个月期限定价效果好于3个月、6个月期限。针对基准利率替代改革,商业银行应积极跟进监管及市场最新进展,及时梳理自身敞口,做好充分应对的准备。 The reform of the international benchmark interest rate will have a profound impact on the regulatory authorities,financial institutions and clients in almost all countries.At present,the new benchmark interest rate to be adopted by various countries is quite structurally different from the London interbank offered rate(LIBOR)system.First,the new benchmark interest rate will be issued independently by a country,resulting in inconsistencies in different currencies;second,the new benchmark interest rates are all overnight rates and currently there are not interest rates with longer maturities;third,the new benchmark interest rates are all risk-free and do not have credit risk premiums.The analysis of the overnight interest rate spread between the new benchmark interest rate and LIBOR shows that the guaranteed overnight financing rate(SOFR)is more volatile than LIBOR,and the value is generally higher than that of LIBOR;the spread between the sterling overnight index average(SONIA)and LIBOR is smaller than SOFR,and the reformed SonIA value is generally higher than LIBOR.The analysis of the term interest rate spread between the new benchmark interest rate and LIBOR shows that the forward pricing SOFR has less volatility and smaller spreads than the compound SOFR interest rate,and the spread is generally lower than LIBOR;the forward pricing SOFR has a better 1-month term pricing effect than 3-month and 6-month period.Regarding the replacement reform of benchmark interest rates,commercial banks should actively follow the latest developments in regulation and the market developments,sort out their exposures in a timely manner,and get prepared for coping with the new situation.
机构地区 中国银行研究院
出处 《国际经济评论》 CSSCI 北大核心 2020年第6期71-84,6,共15页 International Economic Review
分类号 F83 [经济管理—金融学]
