earticle

영어

The uncertainty surrounding the continuing availability of LIBOR after 2022 requires financial authorities and financial institutions in major countries to be thoroughly prepared. In this regard, financial authorities in major countries such as the U.S., the U.K., and Japan have recently completed the development of a new risk-free rate (RFR) to replace the existing IBOR and have been listing the RFR derivatives. The working group of Korea, which has been relatively late in developing a RFR, has also selected the overnight repo rate of government bonds and monetary stabilization bonds as the RFR in March 2021 after a series of discussions and votes, and announced that the development of detailed calculation method will be finalized in the third quarter of 2021. The repo market’s sufficient liquidity and use in derivatives markets were the main reasons for this selection. However, for the newly selected RFR to be settled in the market, a sufficient liquidity is required for related financial instruments or contracts, including RFR futures. Based on this circumstance, this study attempts to present policy implications for listing RFR futures in Korea Exchange by grasping the current status and structure of RFR futures listed in major countries. More specifically, we propose a plan to vitalize the domestic RFR futures market by presenting examples of major countries in which RFR futures are actively traded. In particular, the U.S.‘s Secured Overnight Financing Rate (SOFR) futures and the U.K.’s Sterling Overnight Index Average (SONIA) futures have been cross-listed on CME in the U.S. and ICE in Europe, so that existing Eurodollar futures and Fed rate futures could be replaced by these products. These countries’s experiences can be helpful for us to list a similar RFR product. Of course, it is unclear whether the RFR futures for Korean Won, which is not used as an international currency, can be settled down in a short period of time. The major countries already had derivatives market for short-term interest rate such as IBOR before listing RFR futures. In addition, they have sufficient demand for hedging short-term interest rate risk. Considering this domestic situation in which short-term interest rate futures are absent after the delisting of CD rate futures, the vitalizations of domestic RFR futures is difficult unless there is sufficient and institutional supports. The governments, government-related agencies and exchanges of major countries also have helped and supported RFR futures in order to improve their reliability and liquidity when they were first listed in exchanges. In the paper, we suggest the following methods to list and activate the RFR futures transaction. First, we propose diversification and centralization of RFR products that can satisfy the needs of market participants. For example, we can consider listing the Monetary Policy Board (MPB) RFR futures or spread trades between RFR futures and mid-term government bond futures. The introduction of spread trading with 3-year Treasury bond futures, which currently has sufficient liquidity, can induce existing market participants into the RFR futures market. In addition, it is necessary to design an appropriate incentive system for market makers by referring to overseas markets and past domestic cases with successful results.

한국어

LIBOR 금리의 산출 중단이 예정됨에 따라 최근 미국, 영국, 일본 등 주요국의 금융당국은 기존 IBOR금리를 대체할 무위험지표금리(Risk Free Rate, RFR)의 개발을 완료하고, RFR 파생상품을 상장하고 있다. 상대적으로 지표금리의 개발이 늦은 우리나라도 2021년 3월 무위험지표금리를 최종 선정하였으며, 구체적인 산정방식을 2021년 내에 완료할 것으로 발표하였다. 그러나 신규 선정된 RFR금리가 시장에 정착하기 위해서는 RFR 파생상품의 상장을 비롯하여, 관련 금융상품의 풍부한 유동성이 마련되어야 한다. 본 연구는 Cash Product 등에 사용될 수 있는 신뢰성 있는 기간물 RFR을 산출하기 위해 RFR 선물 상장 방법에 대해서 논의한다. 미국, 영국의 주요국뿐만 아니라 국제통화를 사용하지 않는 호주, 캐나다 등의 RFR 선물사례를 함께 소개함으로써 국내 RFR 선물의 성공을 위한 방안을 제시한다. 또한 RFR 선물이 상장되었을 경우, 시장 활성화를 위해 필요한 정책적 과제를 정리한다.