人民银行：发布《参与国际基准利率改革和健全中国基准利率体系》白皮书
（本文中英文来自人民银行官网，相关权利归人民银行所有）
http://www.pbc.gov.cn/goutongjiaoliu/113456/113469/4079810/index.html
中国人民银行发布《参与国际基准利率改革和健全中国基准利率体系》白皮书
中国人民银行2020年8月31日发布《参与国际基准利率改革和健全中国基准利率体系》白皮书。
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。
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。
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）。
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。
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。
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。
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。
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。
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。
中文报告链接：
http://www.pbc.gov.cn/goutongjiaoliu/113456/113469/4079810/2020083117120579027.pdf
http://www.pbc.gov.cn/en/3688110/3688172/4048269/4079948/index.html
The People’s Bank of China Publishes the White Paper Participating in International Benchmark Interest Rate Reform and Improving China’s Benchmark Interest Rate System
On August 31, 2020, the People’s Bank of China publishes the White Paper Participating in International Benchmark Interest Rate Reform and Improving China’s Benchmark Interest Rate System.
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.
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.
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.
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.
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.
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.
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.
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.
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.
See attachment for full text.
英文报告全文链接：
file:///C:/Users/henry/Downloads/2020083117585690510.pdf
