기간물 무위험지표금리(Term RFR) 산출방안 연구: 주요국 사례를 중심으로
Transition to Risk-Free Rates from LIBOR: Evidence from Major Currencies
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초록
2022년 이후 LIBOR 금리의 산출이 중단될 것으로 예상됨에 따라, 많은 국가들은 기존 IBOR 금리를 대체할 무위험지표금리(RFR)를 개발하였다. 국내에서도 LIBOR의 역할을 해본, CD금리를 대체할 무위험지표금리의 개발하기 위한 연구가 진행 중에 있다. 미국, 유럽, 일본 등의 해외 사례를 볼 때, 국내 RFR금리의 후보로 익일Repo금리 또는 한국은행의 콜금리가 그 후보로 꼽히고 있다. 그러나 국내에서 Repo금리가 RFR로 선정된다면, 거래상대방 및 담보증권에 관계없는 무차별한 헤어컷 비율이 활용되는 관행이 수정되어야 할 것이며, 산출측면에서도 미국 SOFR와 같이 국채 등 우량담보 Repo만으로 대상으로 RFR금리를 산출해야 할 것이다. 반면, 콜금리가 선정될 경우, 기초거래인 콜거래의 거래량을 증가시키기 위한 조치 및 콜금리에 내재된 신용위험을 제거하기 위한 방안을 마련해야 할 것으로 보인다. 마지막으로, RFR이 선정 된 이후, RFR의 활용이 시장에 정착되기 위해서는 Cash Product 등에 활용될 기간물 RFR의 개발이 필요하다. 그리고 이를 위해서는 OIS 또는 RFR 선물 등의 관련 파생상품이 거래소에 상장되어야 할 것이다. 단, RFR 파생상품시장에서 생산된 지표금리에 대한 신뢰성을 확보하기 위해서는, 상장 초기 정부 및 공공기관이 적극적인 지원을 통해 거래량이 충분히 확보되었던 영국 및 미국의 사례를 참조해야할 것이다.
Abstract
After the disclosure of the LIBOR manipulation in 2008, countries associated with LIBOR, including United Kingdom, United States, EU, Switzerland, and Japan, have been preparing to transit LIBOR to the ‘reference risk-free rate (RFR)’ in financial transactions such as loans, bonds and derivatives. As of 2019, many countries have completed the development of reference RFR for their currencies and Korea is also pushing for the development of a new reference RFR for Korean Won. Based on this circumstance, this study investigates the progress of calculating the risk-free rates in major countries and proposes the direction for the improvement of domestic RFR. Specifically, we summarize the development and utilization of the RFR in major counties. In addition, we introduce methods to convert RFR to ‘term RFR’ and present the policy implications for the development of RFR.
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