| Participating in International Benchmark Interest Rate Reform and Improving China's Benchmark Interest Rate System | | 参与国际基准利率改革和健全中国基准利率体系 |
| (The People's Bank of China August 31, 2020) | | （中国人民银行 2020年8月31日） |
| Preface | | 前言 |
| The Fourth Plenary Session of the 19th Central Committee of the CPC proposed to improve the benchmark interest rates and market-based interest rate system. As an important pricing reference for various financial products, the benchmark interest rate is an important financial market element and core link in monetary policy transmission. Improving the benchmark interest rate system is not only the key to the construction of financial market, but also an important part of deepening the market-oriented interest rate reform, and is of great significance for improving monetary policy management and transmission mechanism. | | 党的十九届四中全会提出，健全基准利率和市场化利率体系。基准利率作为各类金融产品利率定价的重要参考，是重要的金融市场要素，也是货币政策传导中的核心环节。健全基准利率体系既是建设金融市场的关键，也是深入推进利率市场化改革的重要内容，对于完善货币政策调控和传导机制具有重要意义。 |
| In global financial market, the most widely used benchmark interest rate is the London Interbank Offered Rate (LIBOR). Since the global financial crisis in 2008, the unsecured interbank lending markets worldwide have significantly shrunk, which weakened reference base for LIBOR quotes. In particular, during the global financial crisis, multiple cases of LIBOR manipulation were exposed, and as a result, market credibility of LIBOR has been severely weakened. Since then, the administrators of LIBOR have launched a series of reform measures, but still unable to regain wide market recognitions. In 2017, the Financial Conduct Authority (FCA) announced that, it will no longer persuade, or compel, banks to submit to LIBOR beyond the end of 2021, which means that exit of LIBOR from the market by then becomes highly likely. | | 在国际金融市场上，运用最广的基准利率是伦敦银行间同业拆借利率（LIBOR）。2008年国际金融危机以来，各国同业拆借市场有所萎缩，LIBOR报价的参考基础弱化。尤其是在国际金融危机期间爆发多起报价操纵案，严重削弱了LIBOR的市场公信力。此后LIBOR管理机构推出了一系列改革举措，但仍未获得市场广泛认可。2017年英国金融行为监管局（FCA）宣布，2021年底后将不再强制要求报价行报出LIBOR。这意味着届时LIBOR或将退出市场。 |
| In response to the possible discontinuation of LIBOR, major developed economies are actively promoting benchmark interest rate reforms and, so far have basically concluded the selection of alternative reference rates. New benchmark interest rates selected by these economies are mostly risk-free rates (RFRs) published independently by each economy. Those rates are based on actual transactions, with a single tenor of overnight, and mostly administered by central banks. For instance, the U.S., UK, Eurozone, and Japan have identified the Secured Overnight Financing Rate (SOFR), Sterling Overnight Index Average (SONIA), Euro Short-Term Rate (□STR), and Tokyo Overnight Average Rate (TONA), respectively. | | 为应对LIBOR退出，各主要发达经济体积极推进基准利率改革，目前已基本完成替代基准利率的遴选工作。各经济体选定的新基准利率多为无风险基准利率（RFRs），由各经济体独立发布，均为实际成交利率，仅有单一的隔夜期限，且绝大多数由中央银行管理。例如，美国、英国、欧元区和日本分别选择了有担保隔夜融资利率（SOFR）、英镑隔夜平均指数（SONIA）、欧元短期利率（□STR）和日元无担保隔夜拆借利率（TONA）。 |
| Considering the fact that new benchmark interest rates are of a single tenor of overnight, the global community is studying on constructing term rates, mainly through two methodologies. First, the backward-looking approach, that is, to refer to the overnight benchmark interest rates that have been produced to calculate their simple or compounded averages as the term rates. Second, the forward-looking approach, under which the term rates will be calculated based on relevant interest rate derivatives transactions. While a number of institutions are studying on developing forward- looking term rates, the backward-looking approach, which has a more robust transaction basis, has received more attention at present. In the meantime, relevant parties are actively promoting the application of new benchmark interest rates as well as the transition from the old benchmarks to the new ones. At the moment, transition arrangements for new and legacy derivatives contracts have been basically determined, and those for new cash products have already been released, while the transition arrangements for legacy cash products have not been clearly clarified. | | 考虑到新的基准利率均只有隔夜单一期限，国际上正在研究构建各期限利率的方法，主要有两种：一是参考实际已生成的隔夜基准利率，计算单利或复利得出各期限利率的后顾法；二是根据相关利率衍生品交易计算各期限利率的前瞻法。目前交易基础更为牢固的后顾法受到较多关注，也有部分机构在研究构建前瞻法计算的期限利率。同时，各方面都在积极推进新基准利率的运用和新旧基准利率的转换。目前衍生品的基准转换方案已基本确定，现货产品中新签合约的基准转换方案也已公布，但存量合约则尚未完全明确。 |
| Domestic banks in China also carry out foreign currency businesses referenced to USD LIBOR, etc., and now face the same problem of LIBOR transition. The People's Bank of China (PBC) has actively participated in international benchmark interest rate reform, and guided the Self- regulatory Mechanism for Market Rate Pricing in setting up a special working group as well as carrying out a series of research. By now it has been made clear that international benchmark interest rate transitions, including LIBOR, etc., in domestic market will follow the general idea of mainly referring to international consensus and best practices, and actively promote the application of new benchmark interest rates. In accordance with that general idea, the PBC has instructed the development of the roadmap and the timetable with respect to the benchmark transitions in domestic market, organized in-depth research and instructed relevant banks to initiate preparation for benchmark transitions as soon as possible. These preparations include participating in the design and application of new benchmark interest rates, promoting benchmark transitions of new contracts, and exploring the benchmark transition arrangements for the legacy contracts. | | 中国境内一些银行开展了基于LIBOR定价的美元等外币业务，同样面临基准利率转换问题。中国人民银行积极参与国际基准利率改革，指导市场利率定价自律机制成立了专门工作组，主动开展研究。目前已明确境内涉及LIBOR等国际基准利率转换将借鉴国际共识和最佳实践，积极推动新的基准利率运用。根据这一总体思路，中国人民银行指导制定了境内基准转换的路线图和时间表，从参与新基准利率设计运用、推进新签合约基准利率转换、探索存量合约基准转换方案等方面入手，组织开展深入研究，指导相关银行尽早启动基准利率转换的各项准备工作。 |
| Although China started late, compared internationally, in building benchmark interest rate system, we have the obvious first-mover advantage in cultivating benchmark interest rates based on actual transactions. Since the establishment of China interbank market, we have already cultivated benchmark interest rates based on actual transactions such as bond repo rates, which have shown a certain level of benchmarking and credibility and have been in operation for over two decades. After years of continuous cultivation, by now significant progress has been made in the construction of China's benchmark interest rate system. Money market, bond mark, loan market, etc., have basically cultivated their own representative interest rate indicators. Depository-Institutions Repo Rate (DR), government bond yield, Loan Prime Rate (LPR), etc., have played a significant role as benchmark interest rates in corresponding financial market, providing relatively good reference in observing market operation and guiding financial product pricing. | | 与国际相比，中国基准利率体系建设虽整体起步较晚，但在培育基于实际交易的基准利率方面，具有明显的先发优势。自中国建立银行间市场之初，就已培育形成了基于实际交易的债券回购利率等基准利率，具有较好的基准性和公信力，至今已超过20年。经过多年来持续培育，目前中国的基准利率体系建设已取得重要进展，货币市场、债券市场、信贷市场等基本上都已培育了各自的指标性利率。存款类金融机构间的债券回购利率（DR）、国债收益率、贷款市场报价利率（LPR）等在相应金融市场中都发挥了重要的基准作用，为观测市场运行、指导金融产品定价提供了较好参考。 |
| Overall, China's benchmark interest rates based on actual transactions have been in operation for a long time, and China possesses full-scale market transaction data with transparency and availability. In addition, the PBC consistently attaches great importance on the regulatory management of benchmark interest rates. These features have established solid foundation for the construction of China's benchmark interest rates, and are conducive to ensuring the credibility, authority and market recognition of each benchmark interest rate. | | 总体看，中国基于实际交易的基准利率运行已久，具有全面、透明、易得的市场交易数据，并且中国人民银行始终高度重视对基准利率的监督管理，这些特征为中国基准利率体系建设奠定了良好的基础，有利于保障各个基准利率具有较强的公信力、权威性和市场认可度。 |
| As the market-oriented interest rate reform further advanced, a sounder benchmark interest rate system is required. Therefore, the PBC has made in-depth research and, proposed ideas and plans on improving China's benchmark interest rates and the market-based interest rate system with the focus on DR. Next, the development priority of China's interbank benchmark interest rate system is to promote wide application of various benchmark interest rates. Efforts will be made in innovating and broadening the application of DR in financial products, including floating-rate bonds and floating-rate interbank certificate of deposits (CDs), etc., so as to make DR a key reference indicator for China's monetary policy management and financial market pricing. | | 随着利率市场化改革的深入推进，中国的基准利率体系还需不断健全。对此，中国人民银行做了深入研究，提出了以培育DR为重点、健全中国基准利率和市场化利率体系的思路和方案。下阶段，中国银行间基准利率体系建设的重点在于推动各类基准利率的广泛运用，通过创新和扩大DR在浮息债、浮息同业存单等金融产品中的运用，将其打造为中国货币政策调控和金融市场定价的关键性参考指标。 |
| In order to give a comprehensive introduction to China's progress and plan to participate in international benchmark interest rate reform, to summarize current development of China's benchmark interest rate system, and to study and further promote the soundness of the benchmark interest rate system, the PBC hereby publishes this White Paper. | | 为全面介绍中国参与国际基准利率改革的进展和计划，梳理总结中国的基准利率体系建设情况，研究推动进一步健全基准利率体系，特发布本白皮书。 |
| CONTENTS | | 目录 |
| 1. Progress on International Benchmark Interest Rate Reforms and China's Preparations | | 一、国际基准利率改革进展及中国准备情况 |
| 1.1. Progress on International Benchmark Interest Rate Reforms | | （一）国际基准利率改革进展 |
| 1.1.1. Identification of Alternative Reference Rates Has Basically Concluded | | 1、基本完成替代基准利率遴选 |
| 1.1.1.1. Complete Replacement Mode: the U.S. and UK | | （1）完全替代模式：美国和英国 |
| 1.1.1.2. Coexistence of Several Benchmark Interest Rates Mode: Eurozone and Japan | | （2）多基准并存模式：欧元区和日本 |
| 1.1.2. Exploring the Construction Methods of Term Rates | | 2、研究探索各期限利率构建方法 |
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| 1.1.3. Actively Promoting Benchmark Interest Rate Transitions | | 3、积极推进基准利率转换 |
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| 1.1.3.1. ISDA Has Basically Concluded the Benchmark Transition Plans for LIBOR Derivatives | | （1）ISDA基本确定衍生品合约基准转换方案 |
| 1.1.3.2. The U.S. Has Drawn Up Transition Plans for New Cash Products | | （2）美国拟定了现货新签合约转换方案 |
| 1.1.3.3. International Accounting Standards Board (IASB) Revised the Accounting Standards | | （3）国际会计准则理事会修订了会计准则 |
| 1.1.3.4. International Organizations Promote International Coordination | | （4）国际组织推动国际协调 |
| 1.2. China's Preparation for International Benchmark Interest Rate Reform | | （二）中国对国际基准利率改革的准备情况 |
| 1.2.1. The PBC Makes Overall Plans for Relevant Work on International Benchmark Interest Rate Reform | | 1、中国人民银行统筹规划国际基准利率改革相关工作 |
| 1.2.1.1. Providing China's Experience to International Benchmark Interest Rate Transitions | | （1）为国际基准利率转换提供中国经验 |
| 1.2.1.2. Setting up a Special Working Group to Promote International Benchmark Transitions in Domestic Market | | （2）组织成立专门工作组推进境内基准转换工作 |
| 1.2.2. Domestic Banks Actively Conduct Internal Relevant Work | | 2、各银行内部积极推动相关工作 |
| 1.2.2.1. Setting up High-Level Working Groups | | （1）成立级别较高的工作小组 |
| 1.2.2.2. Assessing the Impact of LIBOR Cessation and Compile Transition Guidelines | | （2）评估LIBOR退出影响并编制转换指引 |
| 1.2.2.3. Drawing Experiences from International Counterparts | | （3）积极借鉴国际同业经验 |
| 1.3. China's Roadmap and Timetable for International Benchmark Transitions | | （三）中国的国际基准利率转换路线图和时间表 |
| 1.3.1. Promoting the Design and Application of New Benchmark Interest Rates | | 1、推进新基准利率设计与运用 |
| 1.3.1.1. Research on New Benchmark Interest Rate RFRs Calculation Methodologies | | （1）研究新基准利率RFRs计算规则 |
| 1.3.1.2. Encouraging Banks to Initiate Preparations for the Application of New Benchmark Interest Rate As Soon As Possible | | （2）推动银行尽早启动新基准利率运用准备工作 |
| 1.3.1.3. Guiding Banks to Launch Products Referencing New Benchmark Interest Rates | | （3）指导银行推出新基准利率相关产品 |
| 1.3.2. Exploring Benchmark Transitions for New Contracts 8 | | 2、探索新签合约基准利率转换 |
| 1.3.2.1. Studying and Formulating Fallback Languages for New Contracts | | （1）研究形成新签合约备份条款 |
| 1.3.2.2. Publishing the Benchmark Transition Plan for New Contracts in Due Course | | （2）择机发布新签合约基准转换方案 |
| 1.3.2.3. Coordinating the Promotion of Domestic Benchmark Interest Rate Transitions | | （3）统筹开展境内基准转换宣传工作 |
| 1.3.3. Research on the Benchmark Transition Plan for Legacy Contracts | | 3、研究存量合约基准转换方案 |
| 1.3.3.1. Closely Following up the Global Transition Progress of Legacy Contracts | | （1）密切关注国际存量合约基准转换进展 |
| 1.3.3.2. Guiding Banks in Gradual Cessation of New Use of LIBOR | | （2）引导银行逐步停止叙作LIBOR产品 |
| 1.3.3.3. Organizing Banks to Conduct Benchmark Transitions with Respect to Legacy Contracts | | （3）组织银行开展存量合约基准转换 |
| 1.3.4. Conducting On-going Monitoring and Research | | 4、持续开展相关监测研究 |
| 1.3.4.1. Closely Following Up the Progress of International Benchmark Interest Rate Reform | | （1）密切跟踪国际基准利率改革进展 |
| 1.3.4.2. Monitoring Domestic LIBOR Exposure on a Regular Basis | | （2）定期统计境内LIBOR敞口 |
| 2. Current Status and Prospects of China's Benchmark Interest Rate System | | 二、中国基准利率体系建设现状及展望 |
| 2.1. Important Progress Has Been Made in the Construction of China's Benchmark Interest Rate System | | （一）中国基准利率体系建设已取得重要进展 |
| 2.1.1. Repo Rate System Based on Actual Transactions | | 1、基于实际交易的回购利率指标体系 |
| 2.1.1.1. Repo Rate (R) | | （1）质押式回购利率（R） |
| 2.1.1.2. Depository-Institutions Repo Rate (DR) | | （2）存款类金融机构间的债券回购利率（DR） |
| 2.1.1.3. Fixing Repo Rate (FR, FDR) | | （3）回购定盘利率（FR、FDR） |
| 2.1.1.4. General Collateral Repo Rate (GC) | | （4）交易所回购利率（GC） |
| 2.1.2. Interbank Lending Market Rate | | 2、银行间拆借市场利率 |
| 2.1.2.1. China Interbank Offered Rate (CHIBOR) | | （1）中国银行间同业拆借利率（CHIBOR） |
| 2.1.2.2. Shanghai Interbank Offered Rate (SHIBOR) | | （2）上海银行间同业拆放利率（SHIBOR） |
| 2.1.3. Yields for Government Bonds and Policy Financial Bonds | | 3、国债和政策性金融债收益率 |
| 2.1.4. Interest Rate Swap Curves | | 4、利率互换曲线 |
| 2.1.5. Loan Prime Rate (LPR) | | 5、贷款市场报价利率（LPR） |
| 2.2. First-Mover Advantage and Experience in the Development of China's Benchmark Interest Rate System | | （二）中国基准利率体系建设的先发优势及经验 |
| 2.2.1. Transaction-Based Benchmark Interest Rates Have Been in Operation for a Long Time | | 1、基于实际交易的基准利率运行已久 |
| 2.2.2. Possessing Full-Scale Market Transaction Data with Transparency and Availability | | 2、具有全面、透明、易得的市场交易数据 |
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| 2.2.3. Consistently Attaching Great Importance to the Regulatory Management of Benchmark Interest Rates | | 3、始终高度重视对基准利率的监督管理 |
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| 2.3. Further Cultivating China's Interbank Benchmark Interest Rate System with DR as Representative | | （三）进一步培育以DR为代表的银行间基准利率体系 |
| 2.3.1. Encouraging the Issuance of Floating-Rate Bonds Referencing DR and Related Interest Rates | | 1、鼓励发行以DR及相关利率为参考的浮息债 |
| 2.3.2. Promoting FDR-Based Interest Rate Swap Transactions | | 2、推动以FDR为浮动端参考的利率互换交易 |
| 2.3.3. Encouraging Financial Institutions to Conduct Interbank Business with Reference to DR | | 3、鼓励金融机构参考DR开展同业业务 |
| 2.3.4. Encouraging International Organizations to Use DR as the RMB Benchmark Interest Rate | | 4、鼓励国际组织以DR作为人民币计息基准 |
| 2.3.5. Research on Constructing Term Rates Based on Short-Term DR | | 5、研究构建基于短端DR的期限利率 |
| Conclusion | | 结束语 |
Appendix: Chinese-English Vocabulary Index | | 附录：名词对照表 |
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| 1. Progress on International Benchmark Interest Rate Reforms and China's Preparations | | 一、国际基准利率改革进展及中国准备情况 |
| | |
| 1.1. Progress on International Benchmark Interest Rate Reforms | | （一）国际基准利率改革进展 |
| 1.1.1. Identification of Alternative Reference Rates Has Basically Concluded | | 1、基本完成替代基准利率遴选 |
| To avoid repeating the LIBOR manipulation scandal, under the promotion of the Financial Stability Board (FSB), regulatory authorities around the world conducted in-depth reforms on LIBOR and other Interbank Offered Rates (IBOR). Reformed LIBOR, however, is still unable to regain market recognition. As a result, the Financial Conduct Authority (FCA) decided not to persuade, or compel, banks to submit to LIBOR, and in turn, to construct new benchmark interest rates based on actual transactions. Subsequently, major economies including the U.S., Eurozone, Japan, and Switzerland all conducted research on discontinuing LIBOR and developing alternative benchmark interest rates. | | 为避免重蹈LIBOR报价操纵覆辙，在金融稳定委员会（Financial Stability Board, FSB）的督促下，各国监管当局对LIBOR及与之类似的银行间报价利率（IBOR）进行了大刀阔斧的改革。但经过一系列改革后，LIBOR仍难获得市场广泛认可，英国金融行为监管局（Financial Conduct Authority, FCA）决定不再强制要求报价行报出LIBOR，转而培育基于实际交易的基准利率。随后，其他使用LIBOR作为基准利率的美国、欧元区、日本、瑞士等主要发达经济体，也开始研究退出LIBOR和培育替代基准利率。 |
| So far major developed economies have basically completed identification of alternative reference rates, and the emerging economies, such as Mexico and Brazil, are also following the practice of developed economies to launch new benchmark interest rates. In general, those economies have selected RFRs as the alternative of IBOR benchmark interest rates. These alternative benchmark interest rates are generated based on actual transactions. In order to ensure a stable trading basis, there is only one single tenor of overnight. The sample of trading participants is also relatively wide, and most of the RFRs are directly supervised and managed by the central bank, so as to enhance their benchmarking and credibility. | | 目前主要发达经济体已基本完成替代基准利率的遴选工作，墨西哥、巴西等新兴经济体也效仿英美等发达经济体研究推出新基准利率。这些经济体大都选择采用无风险基准利率（RFRs）作为IBOR类基准利率的替代。这些替代基准利率均基于实际交易生成，为确保交易基础稳固，仅有隔夜单一期限，交易主体样本也较为广泛，并多由中央银行直接负责监督管理，以增强其基准性和公信力。 |
| Major economies followed two paths in promoting the benchmark interest rate reforms. One is to completely replace IBOR benchmark interest rates with RFRs, such as the U.S. and UK. The other is to reform the existing IBOR quote mechanism, while introducing RFRs, to improve the reliability of IBOR quotes, and to allow the coexistence of several benchmark interest rates, such as Eurozone and Japan. | | 主要发达经济体推进基准利率改革主要有两种模式。一种是采用RFRs完全替代IBOR类基准利率，如美国和英国。另一种则是在引入RFRs的同时，对现有IBOR报价机制进行改革，提高IBOR报价的可靠性，并允许多个基准利率并存，如欧元区和日本。 |
| 1.1.1.1. Complete Replacement Mode: the U.S. and UK | | （1）完全替代模式：美国和英国 |
| The U.S. is replacing USD LIBOR with Secured Overnight Financing Rate (SOFR). SOFR is a new benchmark interest rate jointly prepared by the Federal Reserve Bank of New York (FRBNY) and Office of Financial Research (OFR). It was officially launched in April 2018 and is now directly administered by FRBNY. SOFR is generated based on overnight treasury bond repo transactions with an average trading base of more than $1 trillion daily. UK identified reformed Sterling Overnight Index Average (SONIA) to replace GBP LIBOR. SONIA is based on unsecured sterling overnight lending transactions and was first introduced in 1997. The Bank of England (BOE) has further improved SONIA's calculation rules and expanded SONIA's trading base. The average daily trading volume has increased by four to five times, reaching about ￡50 billion. In 2017, the Bank of England announced SONIA as the alternative benchmark interest rate for the GBP LIBOR. | | 美国以有担保隔夜融资利率（SOFR）替代美元LIBOR。SOFR是纽约联邦储备银行（Federal Reserve Bank of New York, FRBNY）和美国财政部金融研究办公室（Office of Financial Research, OFR）共同编制的新基准利率，于2018年4月正式推出，由纽约联邦储备银行担任管理人。SOFR基于隔夜国债回购交易生成，对应的市场日均交易基础超过1万亿美元。英国采用完善后的英镑隔夜平均指数（SONIA）替代英镑LIBOR。SONIA基于英镑隔夜无担保拆借交易生成，1997年就已推出。英格兰银行进一步改良了SONIA计算规则，扩大了SONIA的交易基础，日均交易量提升了4至5倍，目前已达到约500亿英镑。2017年英格兰银行宣布将SONIA作为英镑LIBOR的替代基准利率。 |
| 1.1.1.2. Coexistence of Several Benchmark Interest Rates Mode: Eurozone and Japan | | （2）多基准并存模式：欧元区和日本 |
| The Eurozone introduced □STR. The □STR, which is based on the euro unsecured overnight lending market and represents the large banks' financing interest rate, has been officially put into operation in October 2019. Meanwhile, Euro Interbank Offered Rate (EURIBOR) will coexist with □STR, and the Eurozone introduced the ‘waterfall methodology'1 to reform EURIBOR and improve the reliability of quotes. Japan has similar situations with the Eurozone. On the one hand, they identified Tokyo Overnight Average Rate (TONA) as RFR. On the other hand, they retained Tokyo Interbank Offered Rate (TIBOR), and adopted a similar waterfall methodology with that of EURIBOR. | | 欧元区推出了欧元短期利率（□STR）。□STR基于欧元隔夜无担保拆借市场，代表大型银行融入资金的利率，于2019年10月开始正式运行。同时，欧元区仍保留了欧元银行间同业拆借利率（EURIBOR），并引入“瀑布法则[1]”，对EURIBOR进行改革，提升报价的可靠性。日本与欧元区类似，既培育了日元无担保隔夜拆借利率（TONA）作为新的基准利率，又保留东京银行间同业拆借利率（TIBOR），并引入“瀑布法则”改进TIBOR的报价形成机制。 |
| 1.1.2. Exploring the Construction Methods of Term Rates | | 2、研究探索各期限利率构建方法 |
| One of the major challenges in international benchmark interest rate reform is to develop term rates. The RFRs that will replace LIBOR are overnight rates, but market participants still need term rates for reference, so it is also necessary to construct term rates based on overnight benchmark interest rates. Major methodologies proposed by Alternative Reference Rates Committee (ARRC) and other benchmark working groups include the backward-looking approach and the forward-looking approach. | | 国际基准利率改革的一个重大挑战是构建各期限利率。替代IBOR的RFRs均为隔夜利率，但市场对其他期限的参考利率也有较大需求，需要研究以隔夜基准利率为基础构建各期限利率。美国替代基准利率委员会（ARRC）等基准利率改革工作组研究提出了后顾法、前瞻法两种构建方法。 |
| 1.1.2.1. Backward-Looking Approach | | （1）后顾法（Backward-Looking Approach） |
| The backward-looking approach is to use the compound or simple average of RFRs that have been realized in the past period of time. The term rate constructed by this approach is actually the simple interest or compound interest value of historical data of RFRs. The backward-looking approach has the following advantages: First, it is simple, intuitive and highly operable. Second, in arrears structure may reflect the actual movements of interest rates during the interest period. Third, taking simple average or compound average calculation may smooth the fluctuation of RFRs at individual time points. In backward looking methodology, users may choose from in advance or in arrears structure, representing data collection backwards from the start or the end of the interest rate period. However, there are certain deficiencies no matter which structure is adopted. If the in advance structure is adopted, that is, the interest rate value is calculated according to the past RFRs at the beginning of the interest period, the data collection period is inconsistent with the interest period, and the actual interest rate in the interest period cannot be fairly reflected. If the in arrears structure is adopted, that is, the term rate is calculated according to the interest period's actual RFRs at the end of the interest period, it would result in a relatively late determination of interest rate, which will adversely affect market participants' liquidity management and expenditure budget management. | | 后顾法是指以过去一段时间内已经实现的RFRs为基础，进行单利或复利滚动计算各期限利率的方法。由此构建的期限利率，实质上就是RFRs历史数据的单利或复利值。后顾法的优点：一是简易直观，可操作性高；二是若按后置取值能最真实、公允地体现计息期内利率走势；三是取单利或复利计算可平滑个别时点RFRs的波动。后顾法在具体的技术选择上，又有前置和后置的不同计算方法，分别代表从计息期的起点、终点进行回顾取值。问题是在实际计算时，无论采取哪种计算方法都有一定不足。若采取前置计算，即在计息期开始时就根据过去的RFRs计算利率数值，则计算取值的时间段与实际计息期并不一致，未真实体现计息期内的实际利率。若采取后置计算，即在计息期结束时再根据计息期内实际的RFRs计算期限利率，则会导致确定利率的时间较晚，不利于参与机构的流动性管理和支出预算管理。 |
| 1.1.2.2. Forward-Looking Approach | | （2）前瞻法（Forward-Looking Approach） |
| Forward-looking approach will be based on RFRs derivatives including overnight indexed swaps (OIS) or futures, which in general reflects market expectations of the average value of RFRs in the future. The advantage of forward-looking approach is that the interest rate can be determined at the beginning of the interest period, which is consistent with the general market practice. But the problem is that a highly liquid RFRs derivatives market and additional regulatory arrangements are needed to ensure the fairness and credibility of forward-looking term rates. Enterprises and individuals who will use this approach should also have more financial knowledge to understand RFRs derivatives and the forward-looking mechanism. | | 前瞻法是指以RFRs的隔夜指数掉期（OIS）或期货等衍生品交易为基础计算各期限利率的方法，实质上体现的是对未来一段时间内RFRs均值的预期。前瞻法的优点是在计息期开始时即可确定利率数值，符合市场一贯以来的定价习惯。但问题是需要较为发达的衍生品市场，以及额外的监管安排，以确保期限利率的公允性和基准性，同时还需要使用该利率的企业和个人具有较高的金融知识，以理解衍生品交易及由此计算的期限利率。 |
| At the moment, the international regulatory organizations including FSB and the national benchmark working groups such as ARRC showed a preference in backward-looking approach. The main reasons: First, the underlying transaction volume of backward-looking rate is significantly higher. At present, the average daily transactions underlying SOFR is more than $1 trillion, which is much higher than that of SOFR derivatives. Second, the backward-looking approach is more consistent with the calculation mechanism of OIS contracts, which will be more convenient for hedging purposes. Third, the recommended forward-looking term rate is yet to be determined, but the backward-looking rate can be used immediately. Therefore, in absence of special needs, the backward-looking approach is highly likely to be the mainstream. | | 目前FSB等国际监管组织及ARRC等基准利率改革工作组相对更偏好后顾法。主要原因：一是后顾法的交易支撑更牢固。目前SOFR的交易基础日均超过1万亿美元，远高于SOFR衍生品的日均交易量。二是后顾法与OIS合约的计算机制更为吻合，便于机构对冲利率风险。三是前瞻法参考的衍生品交易及其具体计算方式还需研究探索，但后顾法可立即投入运用。因此，在没有特殊需求的情况下，后顾法很可能成为国际上确定期限利率的主要方法。 |
Progress has been made in constructing term rates based on RFRs. The
FRBNY has already begun publishing 30-day, 90-day and 180-day SOFR
compound average in arrears rates since the first quarter of 2020. In
order to accommodate the preferences of LIBOR users to determine the
interest rate in advance, some private benchmark administrators in the
U.S. are also exploring the construction of forward-looking SOFR term
rates. ARRC intends to select and recommend a forward-looking SOFR term
rate by the end of 2021 if a consensus among its members can be reached
that a robust benchmark exists and meets appropriate criteria set by the
ARRC. | | 国际上的监管机构和市场主体已开始探索构建基于RFRs的期限利率。纽约联邦储备银行已于2020年第一季度开始发布30天、90天和180天后置复利SOFR，供市场参考。为适应LIBOR现货合约用户提前确定利率数值的定价习惯，美国的一些私营基准利率管理人也在研究运用前瞻法构建RFRs的期限利率。ARRC表示后续将对这些私营基准利率管理人构建的期限利率进行评估，若符合标准，将在2021年底前向市场推荐。 |
| 1.1.3. Actively Promoting Benchmark Interest Rate Transitions | | 3、积极推进基准利率转换 |
| Another major challenge in international benchmark interest rate reform is promoting the transition of financial contracts that reference LIBOR to new benchmark interest rates. The FSB has requested the International Swaps and Derivatives Association (ISDA) to work on the enhancement of the contractual robustness of LIBOR derivatives, while national benchmark working groups are responsible for the benchmark transition of LIBOR cash products. | | 推动金融合约基准利率由IBOR转换为新的基准利率，是国际基准利率改革的另一个重大挑战。FSB委托国际掉期与衍生工具协会（ISDA）牵头完善LIBOR衍生品合约的基准转换方案，LIBOR现货合约基准转换则由各经济体的基准利率改革工作组各自负责。 |
| 1.1.3.1. ISDA Has Basically Concluded the Benchmark Transition Plans for LIBOR Derivatives | | （1）ISDA基本确定衍生品合约基准转换方案 |
After multiple rounds of consultations, ISDA has almost concluded the benchmark transition arrangements of LIBOR derivatives. The latest developments suggest that the key parameters include. (1) Fallback Rate. RFRs of relevant currencies will be used as the primary fallback rate of LIBOR. (2) Spread Adjustment. To account for the difference between LIBOR and RFRs, a compound setting in arrears structure will be used to account for the term premium, and a historical median spread adjustment over a five-year look-back period will be implemented to account for the credit spread. (3) Trigger Event. ISDA identifies permanent cessation and pre-cessation triggers for benchmark transitions. In the case of permanent cessation, a fallback trigger event occurs when there's a public statement or publication of information by or on behalf of the benchmark administrator or the regulatory authorities of the benchmark administrator announcing that such administrator has ceased or will cease to provide the benchmark, permanently or indefinitely, provided that, at the time of such statement or publication, there is no successor administrator that will continue to provide the benchmark. In the case of pre-cessation, a fallback trigger event occurs when there's a public statement or publication of information by the regulatory supervisor for the benchmark administrator announcing that the benchmark is no longer representatively. (4) Timing of Transition. It will be the official date of LIBOR discontinuation stated in the relevant public statement, or the date of the public statement by regulatory authorities announcing that LIBOR is no longer representative. (5) Scope of Use. New and legacy derivatives contracts will be treated separately. Amendments to 2006 ISDA Definitions will apply to new derivatives contracts, and a multilateral ISDA 2020 Fallbacks Protocol will be incorporated to legacy contracts.
．．．．．． | | 经过多轮征求意见，ISDA已基本确定衍生品LIBOR的基准转换方案，根据最新进展，要点包括：一是后备利率。直接采用各币种RFRs作为LIBOR的首要后备利率。二是溢价调整。对RFRs取后置复利计算作期限溢价调整，对LIBOR与后置复利RFRs的利差取5年历史中位数作信用溢价调整。三是触发事件。ISDA对基准转换设置了永久终止触发事件及提前终止触发事件，分别为：监管当局或基准管理人发布公开声明，基准管理人将永久终止发布该基准利率，且不再有继任的基准管理人；监管当局宣布该基准利率已不再具有代表性。两种情景的任意一种发生均将触发基准转换。四是转换时点。为相关公告中明确的LIBOR正式终止时点或监管当局宣布其“不再有代表性”的公告发布时点。五是适用范围。按新老划断原则，新签合约适用新添加的ISDA定义（2006版）修订文件；存量合约需补充签订2020版ISDA后备条款多边协议。
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