Secured Overnight Financing Rate 的性質與信用利差加碼的需求探討

Abstract

隨著 Libor 的退場期限逐漸逼近，由 Fed 召集 Alternative Reference Rates Committee (ARRC) 逐步完成對於新的參考利率 Secured Overnight Financing Rate (SOFR) 的使用架構， 市場上各類 SOFR 產品也逐漸增加，是近年利率市場的一大重要發展。 本文首先拆解 SOFR 的組成成分，並且分析 SOFR 是否是個理想的參考利率。在介紹 完 SOFR 是如何使用在各類金融商品後，我們探討了在交易新的 SOFR 商品時市場參與者 是如何看待 Libor – SOFR 這個銀行間的信用利差 (亦可稱為信用利差加碼)，得出美國本土 的銀行相對於非美國的銀行來說比較不需要短期的美金參考利率中有包含信用利差。另外 我們也嘗試在參考利率轉換過程中的異常狀態中進行套利，為發行浮動利率債券的銀行提 供降低成本的方法。

As the Libor’s cessation is looming, the Fed has convened the Alternative Reference Rates Committee (ARRC) to complete the recommended SOFR adoption method. Various SOFR products on the market have gradually increased, which is a significant issue in the interest rate market in recent years. This dissertation discusses transaction bases underlying SOFR and analyzes whether SOFR is an ideal reference interest rate. After introducing how SOFR is used in various financial products, we discussed how market participants view Libor – SOFR Spread. Our result shows that there is less need for short-term credit spread for domestic banks in the United States than non-US banks. In addition, we also try to carry out arbitrage in the abnormality during the conversion of the reference interest rate.