SOFR利率期限結構建構探討

Discussion About Constructing Secured Overnight Financing Rate Term Structure

黃俊瑋(Chun-Wei Huang)

指導教授 ： 張焯然

國立清華大學/科技管理學院/財務金融碩士在職專班/碩士(2021年)

摘要

本文的主要目的是透過市場上既有的報價資料，建立出SOFR期限結構，以了解其在LIBOR轉換過程上可能遇到的困境。在期限結構模型建構上，我們採用CME提供的利率期貨轉換出的升降息機率，以及SOFR本身的每日報價預估未來每日SOFR利率，再以FED建議方式複利計算出不同天期的利率曲線。研究結果發現，此模型所展出的期限結構，會受到FOMC會議決議不同所影響，且越長天期的利率曲線，其模擬結果與實際報價差距越大。然由於此模型使用的參數較易取得及使用，故我們認為在目前尚未有具公信力的機構提出SOFR期限結構計算方式下，本文可以提供實務界一個可行的SOFR估計方式。

關鍵字

期限結構 ； LIBOR Transition ； SOFR ； ARRC ； 衍生性商品

並列摘要

The main purpose of this article is to establish a SOFR term structure based on the existing market data and understand the difficulties that it may encounter in the process of LIBOR transition. In the construction of the SOFR term structure, we use the probability about Fed Fund Rate cut or hike which converted from interest rate future provided by the CME and the daily quotations of SOFR. First, we forecast daily SOFR quotations and then compound it to get different tenor about term structure through the formula recommended by the FED. The result implies that the term structure construct by our model is highly affected by different conclusion in FOMC meeting. Also, the longer the tenor on rate curve, the greater the difference between the simulated result and the actual quotation. Because the parameters used in this model can be easily obtained, we believe that this article can provide a practical SOFR estimation under the circumstance that there are no credible institutions have proposed an estimation method about SOFR term structure.

並列關鍵字

Term Structure ； LIBOR Transition ； SOFR ； ARRC ； Derivatives

參考文獻

1. 李昂洋(2018)，「FED 寬鬆政策退場措施及 LIBOR 替代利率指標改革計畫」，中央銀行

2. 張啟邦(2020)，「LIBOR替代利率指標之轉換及其面臨之挑戰」，中央銀行業務局

3. Andrei Lyashenko and Fabio Mercurio, “Looking Forward to Backward-Looking Rates: A Modeling Framework for Term Rates Replacing LIBOR,” Available at SSRN: https://ssrn.com/abstract=3330240 or http://dx.doi.org/10.2139/ssrn.3330240

4. Chicago Mercantile Exchange Group (2020), “Understanding the CME Group Fed Watch Tool and Fed Funds Futures Probability Tree Calculator,” https://www.cmegroup.com/education/demos-and-tutorials/FED-funds-futures-probability-tree-calculator.html

5. Chicago Mercantile Exchange Group (2020), “CME Term SOFR Reference Rates Benchmark Methodology” https://www.cmegroup.com/market-data/files/cme-term-sofr-reference-rates-benchmark-methodology.pdf