The Edge of Risk Menu 搜索
New thinking on corporate risk and resilience in the global economy.
Economy

Time to Switch Rates: Preparing for the Libor Transition

自从金融行为管理局(FCA)首席执行官和德里·贝利(FCA)首席执行官近两年了两年,宣布了FCAwould not compel panel banks to submit to the London Interbank Offered Rate — or Libor — beyond 2021. While progress has been made for the transition since then, there is still much to do.

据奥利弗·威曼估计,LIBOR称为“世界上最重要的数字”,LIBOR有超过240万亿美元与其日常波动相关。它与各种金融产品相关联;您可能有抵押贷款或学生或汽车贷款,您的公司可能会根据其借用。换句话说,它推动了您的公司利息费用。

奥纬咨询的新报告取代Libor概述为什么改变速度需要加速2021年,为银行,监管机构和市场基础设施提出一些行动。

The report argues that, while banks with large Libor-based exposures have used the time since the FCA’s announcement in 2017 to assess their exposure, develop transition plans and begin moving certain new transactions to risk free rates (RFRs), additional risks and complexities have emerged.

什么将取代libor?

Progress has been held back by uncertainties around where and whether term RFRs or alternative credit-sensitive benchmarks will be available. Smaller banks with less exposure appear to be planning to rely predominantly on the existing fallback clauses in contracts to bring about the transition away from Libor — an approach that regulators have explicitly advised against.

活动现在需要从后备转移到新产品开发和转变,而变化的速度需要急剧加速,以满足2021截止日期。这需要市场参与者和监管机构的行动,以避免主要的市场中断。

加速Libor转换的行动

Regulators:监管机构应删除市场参与者的抑制因素从基于RFR的衍生品切换,包括增加进入基于RFR的交易的初始保证金要求(特别是如果现有交易是祖父的),从而实现收益的税收负债,以及可能的不利会计效果。

They should also clarify whether or not credit-sensitive benchmarks are a realistic alternative to Libor and RFRs — banks would understandably prefer to use a credit-sensitive rate for lending. The hope that this will be possible is holding back development of products based on RFRs.

银行:银行应制定基于RFRS的贷款产品。在近期来看,落后的RFR是唯一可用的选择,可能需要调整利息观察期,以减轻系统,并在现金流量上提高可见性。如果和当术语RFRS - 甚至是信用敏感率 - 建立时,可以添加使用这些利率的产品来允许客户(和银行)选择。但由于过渡遗留合同的交易时间,银行不能等待。

还应开始遗留交易过渡的准备工作。在单一客户关系中,不同产品的不同影响将需要集成的数据和分析以及一致的重新协商册,这将需要时间来发展由于银行系统和组织的复杂性。

There are a series of new emerging risks that have not been sufficiently addressed and that will need to be urgently looked at.

中央交易对手清理房屋(CCPS):CCPS应加快转变来保护过夜融资率(SOFR)折扣和p(价格对准利息)清算衍生品减少对美联储资金的依赖,增加 - 和流动性 - SOFR掉期的需求。

基准管理员:基准管理人员应加速开发和出版术语RFRS,协调交易平台和流动资业提供者,以确保访问所需的衍生工具或期货投入数据。

此外,需要在行业转型之前停产的较大运营和金融风险的背景下浪费努力和投资,特别是银行的努力和投资的风险,特别是银行。

如果在2021年底将完成过渡的猛犸象的猛犸象任务,则必须并行发生以上行动。进一步的延迟提高了市场脱位的风险,以及经济,行为和运营影响个人市场参与者。

新风险新兴

While there is uncertainty and progress has been slow, banks and industry groups are continuing to work to prepare for a transition from Libor. As these efforts progress, there are a series of new emerging risks that have not been sufficiently addressed and that will need to be urgently looked at.

风险1.过度依赖后退条款:Some market participants are planning to rely on updated fallback clauses to transition from Libor when it becomes unavailable. This creates major operational risk, from needing to process new and different fallback formulae, to needing to calculate new interest payments, valuations, margin and collateral requirements for tens or hundreds of thousands of contracts on a single day.

风险2.后备术语和触发器的不一致威胁风险管理诚信:While current fallback language in contracts is inadequate because it may result in unintended consequences (e.g., floating rate notes fallback to the last Libor fixing and thus effectively become fixed-rate notes), it is at least reasonably consistent in terms of the fallback trigger (i.e., the non-publication of Libor) and the actual fallback rate itself within each asset class.

While new fallback language being developed by ISDA (the International Swaps and Derivatives Association) and other industry bodies is a positive step forward, differences in fallback language for subsets of transactionscould result in increased basis risk

风险3.在重新覆盖过程中进行风险和数据复杂性:Negotiations to “repaper” existing transactions will be challenging. Banks require a complete view of their exposures to each customer/counterparty and the estimated economic impact of transition across products and currencies, including the differences in fallback terms. This is particularly challenging when products are booked across different businesses and will require significant lead time.

为减轻过渡的行为风险,银行将需要通过适当的治理制定标准化的处理,决策树和剧本,以确保在选择更换率时确保可辩护的位置。分散的方法可能会对客户关系产生负面影响,并导致声誉损害,经济损失,进行罚款或法律诉讼。

Risk 4. Impact on earnings from using a risk-free rate for lending:通过如此多的变量仍然未知,大多数银行尚未开始正式和定量分析各种过渡情景的经济,资产负债表和P&L影响,也没有未来的应力场景潜在影响,一旦业界转向基于RFR的产品。

亚当施奈德

Partner, Retail & Business Banking and Digital at Oliver Wyman

Adam Schneider是美国奥利弗·威曼的数字和银行业的合作伙伴。他专注于行业的大规模转变和相关的开发和企业战略的执行。

Serge Gwynne.

奥利弗·威曼的全球企业和机构银行业务的合作伙伴

Serge Gwynne.is a partner in Oliver Wyman’s Global Corporate & Institutional Banking Practice, and is based in London.

    詹妮弗·蒂姆

    奥利弗·威曼公司的公司和机构银行业务的合作伙伴

    Jennifer Tsim是Oliver Wyman公司的公司和机构银行业务的合作伙伴,并位于伦敦。

      边缘的日常通讯提供关于企业风险和弹性的新思路。 订阅