LOG IN⠴ݱâ

  • ȸ¿ø´ÔÀÇ ¾ÆÀ̵ð¿Í Æнº¿öµå¸¦ ÀÔ·ÂÇØ ÁÖ¼¼¿ä.
  • ȸ¿øÀÌ ¾Æ´Ï½Ã¸é ¾Æ·¡ [ȸ¿ø°¡ÀÔ]À» ´­·¯ ȸ¿ø°¡ÀÔÀ» ÇØÁֽñ⠹ٶø´Ï´Ù.

¾ÆÀ̵ð ÀúÀå

   

¾ÆÀ̵ð Áߺ¹°Ë»ç⠴ݱâ

HONGGIDONG ˼
»ç¿ë °¡´ÉÇÑ È¸¿ø ¾ÆÀ̵ð ÀÔ´Ï´Ù.

E-mail Áߺ¹È®ÀÎ⠴ݱâ

honggildong@naver.com ˼
»ç¿ë °¡´ÉÇÑ E-mail ÁÖ¼Ò ÀÔ´Ï´Ù.

¿ìÆí¹øÈ£ °Ë»ö⠴ݱâ

°Ë»ö

SEARCH⠴ݱâ

ºñ¹Ð¹øÈ£ ã±â

¾ÆÀ̵ð

¼º¸í

E-mail

ÇмúÀÚ·á °Ë»ö

¹«À§ÇèÁöÇ¥±Ý¸®(RFR) ¼±¹°ÀÇ »óÀå°ú È°¼ºÈ­ ¹æ¾È

  • ±èÁø¿± µ¿±¹´ëÇб³ °æÁ¦Çаú
  • ÀÓÁöÈÆ µ¿±¹´ëÇб³ °æÁ¦Çаú
  • Á¤Àϱ³ µ¿±¹´ëÇб³ °æÁ¦Çаú
  • ÇÔ¹®±Ô µ¿±¹´ëÇб³ °æÁ¦Çаú
  • À±¼±Áß µ¿±¹´ëÇб³ °æ¿µÇаú ±³¼ö
LIBOR ±Ý¸®ÀÇ »êÃâ Áß´ÜÀÌ ¿¹Á¤µÊ¿¡ µû¶ó ÃÖ±Ù ¹Ì±¹, ¿µ±¹, ÀϺ» µî ÁÖ¿ä±¹ÀÇ ±ÝÀ¶´ç±¹Àº ±âÁ¸ IBOR±Ý¸®¸¦ ´ëüÇÒ ¹«À§ÇèÁöÇ¥±Ý¸®(Risk Free Rate, RFR)ÀÇ °³¹ßÀ» ¿Ï·áÇÏ°í, RFR ÆÄ»ý»óÇ°À» »óÀåÇÏ°í ÀÖ´Ù. »ó´ëÀûÀ¸·Î ÁöÇ¥±Ý¸®ÀÇ °³¹ßÀÌ ´ÊÀº ¿ì¸®³ª¶óµµ 2021³â 3¿ù ¹«À§ÇèÁöÇ¥±Ý¸®¸¦ ÃÖÁ¾ ¼±Á¤ÇÏ¿´À¸¸ç, ±¸Ã¼ÀûÀÎ »êÁ¤¹æ½ÄÀ» 2021³â ³»¿¡ ¿Ï·áÇÒ °ÍÀ¸·Î ¹ßÇ¥ÇÏ¿´´Ù. ±×·¯³ª ½Å±Ô ¼±Á¤µÈ RFR±Ý¸®°¡ ½ÃÀå¿¡ Á¤ÂøÇϱâ À§Çؼ­´Â RFR ÆÄ»ý»óÇ°ÀÇ »óÀåÀ» ºñ·ÔÇÏ¿©, °ü·Ã ±ÝÀ¶»óÇ°ÀÇ Ç³ºÎÇÑ À¯µ¿¼ºÀÌ ¸¶·ÃµÇ¾î¾ß ÇÑ´Ù. º» ¿¬±¸´Â Cash Product µî¿¡ »ç¿ëµÉ ¼ö ÀÖ´Â ½Å·Ú¼º ÀÖ´Â ±â°£¹° RFRÀ» »êÃâÇϱâ À§ÇØ RFR ¼±¹° »óÀå ¹æ¹ý¿¡ ´ëÇؼ­ ³íÀÇÇÑ´Ù. ¹Ì±¹, ¿µ±¹ÀÇ ÁÖ¿ä±¹»Ó¸¸ ¾Æ´Ï¶ó ±¹Á¦ÅëÈ­¸¦ »ç¿ëÇÏÁö ¾Ê´Â È£ÁÖ, ij³ª´Ù µîÀÇ RFR ¼±¹°»ç·Ê¸¦ ÇÔ²² ¼Ò°³ÇÔÀ¸·Î½á ±¹³» RFR ¼±¹°ÀÇ ¼º°øÀ» À§ÇÑ ¹æ¾ÈÀ» Á¦½ÃÇÑ´Ù. ¶ÇÇÑ RFR ¼±¹°ÀÌ »óÀåµÇ¾úÀ» °æ¿ì, ½ÃÀå È°¼ºÈ­¸¦ À§ÇØ ÇÊ¿äÇÑ Á¤Ã¥Àû °úÁ¦¸¦ Á¤¸®ÇÑ´Ù.
¹«À§ÇèÁöÇ¥±Ý¸®,´Ü±â±Ý¸®¼±¹°

Listing of RFR (Risk-Free Rate) Futures in Korean Financial Markets

  • Jin Yeop Kim
  • Ji Hun Lim
  • Il Gyo Jeong
  • Moon Kyu Ham
  • Sun-Joong Yoon
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.
SOFR,SONIA,AONIA,CORRA,Risk-free Rate,RFR futures,SOFR,SONIA,AONIA,CORRA