新参考利率：告别LIBOR，探索RFR基准转型概览
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"Beyond LIBOR: A Primer on the New Reference Rates" 是FRM 2020 当前问题的重要参考资料，探讨了从传统的基于银行间拆放利率（Interbank Offered Rates, IBOR）的参考利率体系向以新的隔夜风险-free rates (Risk-Free Rates, RFRs) 为中心的转变。这一转型是金融市场的一个重要范式转移，因为LIBOR长期以来作为金融系统的核心，被广泛用于定价各类金融合约，如衍生品、贷款和证券。据估计，到2018年中期，仅主要货币中就约有400万亿美元的金融合同依赖于LIBOR。
新的RFRs设计初衷是为了提供一个基于流动性市场交易的、稳健且可信赖的隔夜基准，它们的优势在于反映了市场的实际资金成本。然而，RFRs的一大挑战在于它们并未充分捕捉到银行的边际长期融资成本，这与传统的LIBOR设计有所不同。这意味着在新体系下，可能会出现多种利率并存的情况，每种利率都有其特定的目的和市场需求，比如满足不同期限或风险级别的借贷需求。
RFRs的推广涉及全球主要中央银行，例如BIS（巴塞尔银行监管委员会）在2019年第一季度的季度审查中强调了这一转型。这些新基准可能包括Fed Fund Rate（美国联邦基金利率）、EURONEXT EURIBOR（欧元区银行间欧元利率）等，它们旨在提高透明度和稳定性，减少市场操纵的可能性。
尽管如此，过渡期并非无缝，金融机构和市场参与者需要时间调整他们的定价模型，以适应新的利率环境。监管机构也在制定指导原则和过渡计划，以确保平稳过渡并避免市场动荡。此外，由于不同市场的RFRs可能存在差异，未来可能会看到一种多元化的基准环境，金融机构可能需要根据合同条款和市场条件灵活选择适合的基准。
JEL分类：D47（金融市场的运行和组织）、E43（金融市场的微观结构）、G21（金融市场的微观结构与行为）、G23（金融市场的国际关系），这些类别表明了本文研究的主题和理论背景。
理解Beyond LIBOR的新参考利率是现代金融市场理解和应对复杂金融环境的关键，尤其是在风险管理、投资决策和监管政策制定方面。随着这一转型的深入进行，市场参与者需密切关注其对金融定价、市场稳定以及整个金融生态系统的影响。"
BIS Quarterly Review, March 2019
33
Box A
LIBOR and “benchmark tipping”: then and now
This is not the first time a major shift towards a fundamentally different set of reference rates has taken place in the
financial system. However, in contrast to earlier examples of “benchmark tipping”, the ongoing reform process is a
public-private effort to shift away from unsecured interbank rates towards near risk-free benchmarks. This contrasts
with the market-driven process from the late 1980s to the early 1990s of shifting away from risk-free reference rates
based on US Treasury bill rates towards benchmarks that embed credit risk based on IBORs. Ironically, back then,
market participants transitioned away from using risk-free benchmarks to the risky ones based on eurodollar rates.
Banks seeking to manage asset-liability mismatches found the latter a much closer approximation to their actual
borrowing costs and lending rates. Otherwise, hedging, say, a portfolio of privately issued securities with a short
position in T-bill futures exposed dealers to so-called basis risk, as reflected in a widening TED spread.
LIBOR emerged in the late 1960s to support the burgeoning syndicated loan market. In 1986, the British Bankers’
Association (BBA) assumed control of the rate, taking responsibility for its publication until January 2014. The BBA
collected interbank offered rate quotes from a panel of banks, reflecting the rates at which banks said they could
borrow funds from other banks, just prior to 11:00 local time. The top and bottom four responses were discarded in
computing LIBOR as an interquartile trimmed mean of the submissions. At one point, the BBA was computing LIBOR
for 10 currencies. By October 2013, that number had dropped to five: the US dollar, euro, sterling, yen and Swiss franc.
Some central banks have also relied on LIBOR for their operational policy targets (most notably the Swiss National
Bank). Following the cases of LIBOR misconduct, in June 2012 the UK Treasury commissioned Martin Wheatley, then
CEO-designate of the Financial Conduct Authority (FCA), to establish an independent review into the setting and usage
of LIBOR. The findings, along with a plan for the reform of the benchmark, were published in September 2012 in the
Wheatley Review. In April 2013, the FCA was given responsibility for regulating LIBOR, while a new private organisation,
the Intercontinental Exchange (ICE) Benchmark Administration Limited (IBA), began to administer ICE LIBOR starting
in February 2014, following a tender process.
A number of official bodies have steered the reform process since then. In February 2013, the G20 tasked the
Financial Stability Board (FSB) with reviewing and reforming major reference rates. To take the work forward, the FSB
commissioned an Official Sector Steering Group (OSSG) to monitor and oversee the efforts to implement the reforms.
The FSB has convened a Market Participants Group (MPG) to represent private sector interests and address issues that
may arise in the implementation and transition (FSB (2014a)). In July 2013, the International Organization of Securities
Commissions (IOSCO) published an overarching framework for the principles underlying benchmarks for use in
financial markets (IOSCO (2013)). This was followed by the July 2014 publication of FSB proposals on the
implementation of the IOSCO principles by benchmark administrators as the starting point for robust reference rates
(FSB (2014b)). The FSB continues to monitor and report on progress (eg FSB (2018)). Since then, various new
committees and working groups comprising the official and private sectors have sought to establish viable alternative
RFRs. Central banks have taken a lead role in the reforms, both as convenors of the committees or working groups
tasked with identifying the new RFRs, and as benchmark administrators. This is largely because reference rates have
the character of public goods. Further, the private sector faces coordination challenges while central banks have a
long history of producing such measures due to their importance in policymaking (Dudley (2018)).
LIBOR has a host of cousins across currency areas and jurisdictions. As the dominant euro benchmark, EURIBOR
was the second most widely used benchmark next to LIBOR. Other financial centres such as Hong Kong SAR, Mumbai,
Singapore, Sydney, Tokyo and Toronto featured their own fixings in HIBOR, MIBOR, SIBOR, the bank bill swap rate
(BBSW), TIBOR and CDOR, respectively. Overall, there were at least 13 similar poll- or quote-based IBOR-style
benchmarks. Notably, several jurisdictions with their own IBORs have opted to reform and retain these rates, where
reform was deemed feasible. In these cases, a credit-sensitive term benchmark will coexist with the local currency
RFR. The reforms of credit-sensitive term benchmarks also aim to bring them into compliance with IOSCO principles
by rooting them as far as possible in transactions or executable quotes, subjecting them to stricter oversight, and
broadening the set of counterparties to include borrowing from non-banks.
McCauley (2001) referred to this process as “benchmark tipping”, defined as a strategic situation in which the benefits of a given benchmark
choice to one player depend in a positive manner on a similar choice by other players. Currency areas that have opted for such an
approach include Australia, Canada and Japan, where reformed editions of the BSSW, CDOR and TIBOR will continue to exist. Meanwhile,
attempts to reform EURIBOR are still in flux (EMMI (2019)).
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